System for Processing Options Contracts with Deferred Setting of Strike Price

摘要

Systems and methods are described for processing financial instruments are disclosed. An option on a calendar spread index futures contract allows market participants to manage risks associated with the volatility associated with the calendar spread market for index futures. The options contract has a deferred setting of the strike price that is determined based at least in part on an implied financing rate

主权项

1. A system comprising:
an exchange computer system that includes:
an order book that determines bid and offer prices for options contracts;a match engine that matches bids and offers for options contracts;a trade database that stores trade information; a clearing house computer system connected to the exchange computer system and that includes
a processor;a computer-readable medium containing computer-executable instructions that when executed by the processor cause the clearing house computer system to:
(a) receive an implied financing rate for an options contract;(b) receive an index level at expiration of the options contract; and(c) determine a strike price at expiration based on an index level at expiration and the implied financing rate.