Method and system for generating and trading derivative investment instruments based on a volatility arbitrage benchmark index

摘要

A system and method for creating a volatility arbitrage bench mark index is disclosed. The method includes obtaining closing prices of an underlying instrument, such as a derivative investment instrument, and calculating a value representing a volatility arbitrage benchmark. The value may be displayed at a trading facility and volatility arbitrage benchmark quotes may be transmitted by the trading facility to a market participant.