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METHODS AND SYSTEMS FOR GENERATING A FORWARD IMPLIED VARIANCE INDEX AND ASSOCIATED FINANCIAL PRODUCTS
METHODS AND SYSTEMS FOR GENERATING A FORWARD IMPLIED VARIANCE INDEX AND ASSOCIATED FINANCIAL PRODUCTS
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机译:生成前向隐含方差指数和相关金融产品的方法和系统
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摘要
The FIVI may generate and manage forward-variance-sensitive financial indices and the associated portfolios of investment vehicles underlying them, as well as for construct tradable financial products based on the values of those indices. The FIVI may generate one or more indices reflective of a one-period (e.g., one-month) forward starting variance, which may provide exposure to implied volatility without significant exposure to realized volatility. The FIVI may replicate forward variance of an index by maintaining a portfolio of call and put options which may further employ delta-hedging. Maintenance of FIVI portfolios may further employ rolling, ongoing and/or periodic rebalancing.
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