Option Box Volatility Indexes

摘要

An implied volatility index, according to at least some embodiments, may be calculated based on implied volatility values associated with a selected number of options whose strike prices surround the current price level in the underlying market. In some cases, the implied volatility index may be used as the value to which various derivative items may be cash-settled, including Exchange-traded securities, futures, and options on all asset classes for open outcry and electronic trading and submission for ex-pit clearing at a central counterparty (CCP) clearing house.

主权项

1. A system comprising:
a processor; and a non-transitory memory device communicatively coupled to the processor, the non-transitory memory device storing instructions that, when executed by the processor, cause the processor to:
identify, by a volatility index generator, an option-box type for use in generating an implied volatility index associated with an options product, the option-box type corresponding to a number of puts and calls near a strike price of the options product;receive, by the volatility index generator, an implied volatility value corresponding to each of the number of puts and calls near the strike price defined by the option-box type; andcalculate, by the volatility index generator, an index value based on the received implied volatility values corresponding to each of the number of puts and calls near the strike price.