DELTA-HEDGED FUTURES CONTRACT

摘要

Systems and methods are described for providing a futures product corresponding to a position in a delta-hedged strategy on an underlying financial product may include creating a portfolio including put options and call options, wherein the put options and the call options correspond to a same underlying product. One or more computing devices may determine a position in the underlying product to include in the portfolio. The position in the underlying product may correspond to a volatility of the put options and the call options. In some cases, the one or more computing devices may generate a futures contract based on the portfolio including the put options, the call options and the position in the underlying product.

主权项

1. A method comprising:
creating a portfolio including put options and call options, wherein the put options and the call options correspond to a same underlying product; determining, by the one or more computing devices, a position in the underlying product to include in the portfolio, wherein the position in the underlying product corresponds to a volatility of the put options and the call options; and generating a futures contract based on the portfolio including the put options, the call options and the position in the underlying product.