Inventors:
- Chicago IL, US
Dhiraj Subhash Bawadhankar - Naperville IL, US
Florian Huchedé - Chicago IL, US
John Balaam Alexander Kerpel - Chicago IL, US
Andrey Lopatin - Lisle IL, US
Romil Pradip Parekh - Northbrook IL, US
Robert William Taylor - Mount Prospect IL, US
Assignee:
Chicago Mercantile Exchange Inc. - Chicago IL
International Classification:
G06Q 40/04
G06Q 10/04
G06Q 40/06
Abstract:
Systems are provided for compressing portfolios of open option positions. Market participants may provide constraints, such as net delta and gamma values within a specific tolerance. A compression engine uses a linear, integer and/or linear-quadratic programming solver to analyze portfolios of multiple market participants and identify multilateral option spread trades that result in portfolios that are compressed subject to the constraints.