Methods and Systems for Generating a Forward Implied Variance Index and Associated Financial Products
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United States of America Patent
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Issued Date -
Jul 26, 2012
app pub date -
Nov 4, 2011
filing date -
Nov 4, 2010
priority date (Note) -
Abandoned
status (Latency Note)
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Abstract
The FIVI may generate and manage forward-variance-sensitive financial indices and the associated portfolios of investment vehicles underlying them, as well as for construct tradable financial products based on the values of those indices. The FIVI may generate one or more indices reflective of a one-period (e.g., one-month) forward starting variance, which may provide exposure to implied volatility without significant exposure to realized volatility. The FIVI may replicate forward variance of an index by maintaining a portfolio of call and put options which may further employ delta-hedging. Maintenance of FIVI portfolios may further employ rolling, ongoing and/or periodic rebalancing.
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