Patent ID: 8671049

Claim:
A computer implemented method for the creation and trading of financial instruments based upon the intensity of an underlying index comprising the following steps: (a) creating at least one futures contract by a computer, said at least one futures contract having a predetermined formula for a settlement price (AR) based at least in part on the following formula: AR = [ 1 N ⁢ ∑ j = 1 N ⁢ r j ] × C wherein: N=a number of total observation periods; and C=a constant multiplier; and r j =a capped absolute period return calculated using the formula: r j =min( d,|x j |); wherein: d=a contract period observation cap; and x j =a period return based on a formula of the group consisting of: x j = ln ⁡ ( I j I j - 1 ) ; ⁢ and x j = ( I j I j - 1 ) - 1 ; wherein: I j =a reference index reported price/level j observation periods after an initial observation date/time; and (b) trading said at least one futures contract at a market-determined price from creation through the date of expiration.