Method and apparatus for improved electronic trading

Details Method and apparatus for improved electronic trading Method and apparatus for improved electronic trading

G - Physics

06

Q

G06Q 40/04 (2012.01)

Patent

CA 2701750

A method and apparatus for outputting data that represents the change in value of an options premium that would have resulted if the options traded in a direct linear volume relationship with its underlying security is provided. Input values utilized include a delta value, a gamma value, a value-weighted average price of an underlying stock, a reference price of the underlying stock, and an original order premium value.

L'invention propose un procédé et un appareil d'émission de données qui représente le changement de valeur d'une prime qui aurait été obtenue si les options avaient été négociées dans une relation de volume linéaire direct avec son titre sous-jacent. Les valeurs d'entrée utilisées comprennent une valeur delta, une valeur gamma, un prix moyen pondéré en valeur d'une action sous-jacente, un prix de référence de l'action sous-jacente et une valeur de prime originale.

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