Patent ID: 7747514

Claim:
A computer implemented method, comprising: producing a creation unit for a tradable index share that tracks performance of an index, the tradable index share backed by a fractional interest in the creation unit by: recording by one or more computers, information related to receipt of a pair of derivative financial instruments, the pair of financial instruments being a long call index options contract; and a short put index options contract, with the long call index options contract and the short put index options contract having an initial strike price and an expiration date that are the same as the initial strike price and expiration date for the long call index options contract; and recording by the one or more computers, information related to receipt of an initial amount of cash, the initial amount of cash at a time of producing the creation unit being substantially equal to the initial strike price of the long call index options contract and the short put index options contract; generating by the one or more computers a plurality of tradable index shares backed by fractional interests in the creation unit; accessing by the one or more computers values of the long call index options contract, the short put index options contract, and the initial amount of cash; calculating by the one or more computers a value for the tradable index shares based on the values of the long call index options contract, the short put index options contract, and the initial amount of cash.