System and method for implementing and managing bundled option box futures
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United States of America Patent
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Feb 12, 2013
Grant Date -
Apr 26, 2012
app pub date -
Oct 25, 2010
filing date -
Oct 25, 2010
priority date (Note) -
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Abstract
A system and method of providing a collateralized loan utilizing a clearing counterparty is disclosed. The method includes receiving an order at a match engine module, the order related to a futures contract based on an options box spread as the deliverable asset such that the futures contract represents a collateralized loan and such that the order includes an interest rate associated with the collateralized loan, analyzing, at the match engine, the order to determine a strike interval, scanning an order book module in communication with the match engine module, such that the scan is based on the determined strike interval, and automatically defining a first pair of options at a first strike price and a second pair of options at a second strike price, such that the determined strike interval defines the first and second strike prices, such that the first and second pair of options cooperate to define the option box spread.
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