Volatility index and derivative contracts based thereon
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United States of America Patent
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Issued Date -
May 12, 2005
app pub date -
Oct 6, 2004
filing date -
Nov 12, 2003
priority date (Note) -
Abandoned
status (Latency Note)
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Abstract
An improved volatility index and related futures contracts are provided. An index in accordance with the principals of the present invention estimates expected volatility from the prices of stock index options in a wide range of strike prices, not just at-the-money strikes. Also, an index in accordance with the principals of the present invention is not calculated from the Black/Scholes or any other option pricing model: the index of the present invention uses a newly developed formula to derive expected volatility by averaging the weighted prices of out-of-the money put and call options. In accordance with another aspect of the present invention, derivative contracts such as futures and options based on the volatility index of the present invention are provided.
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