Method of creating and trading derivative investment products based on a volume weighted average price of an underlying asset

摘要

A method of creating and trading derivative contracts based on a volume weighted average price (“VWAP”) of an underlying asset is disclosed. Typically, an underlying asset is chosen to be a base of a VWAP derivative and a processor calculates a VWAP reflecting an average trading price of an underlying asset during a calculation period that is weighted according to the proportion of a total volume of underlying assets traded at each traded price. A trading facility display device coupled to a trading platform then displays VWAP derivatives and the trading facility transmits VWAP derivative quotes from liquidity providers over at least one dissemination network.