Scott A Johnston

US Patent:

7152041, Dec 19, 2006

Filed:

Mar 10, 2003

Appl. No.:

10/385152

Inventors:

Arjuna Ariathurai - Chicago IL, US
John Falck - Chicago IL, US
James W. Farrell - Carol Stream IL, US
Scott Johnston - Oak Park IL, US
Agnes S. Thiruthuvadoss - Chicago IL, US
Charlie Troxel, Jr. - Naperville IL, US

Assignee:

Chicago Mercantile Exchange, Inc. - Chicago IL

International Classification:

G06Q 40/00

US Classification:

705 36R, 705 35

Abstract:

Methods and systems for an exchange to handle variable derivative product order prices are disclosed. The price of a derivative product order (bid or offer) is updated based on changes in the price of a related underlying product. Price determination variable(s), such as delta and gamma, are used to determine the price of the order. The exchange may periodically recalculate the price without requiring the trader to transmit additional information to the exchange.

US Patent:

7440917, Oct 21, 2008

Filed:

Oct 1, 2003

Appl. No.:

10/676318

Inventors:

James W. Farrell - Carol Stream IL, US
David Salvadori - Bartlett IL, US
Arjuna Ariathurai - Chicago IL, US
John Falck - Chicago IL, US
Scott Johnston - Oak Park IL, US
Agnes Shanthi Thiruthuvadoss - Chicago IL, US
Charlie Troxel, Jr. - Naperville IL, US

Assignee:

Chicago Mercantile Exchange, Inc. - Chicago IL

International Classification:

G06Q 40/00

US Classification:

705 36R, 705 35, 705 37

Abstract:

Systems and methods are provided for processing derivative product orders at an exchange. Traders provide derivative product order risk data to the exchange. The order risk data may include maximum delta, gamma and/or vega utilization values for derivative product contracts based on the same underlying product. Before executing a trade, a match system analyzes the trader's current utilization state and the utilization that would result after the trade. The match system may then execute all or a portion of the trade.

US Patent:

7567932, Jul 28, 2009

Filed:

Nov 3, 2006

Appl. No.:

11/556499

Inventors:

David Salvadori - Bartlett IL, US
Arjuna Ariathurai - Chicago IL, US
John Falck - Chicago IL, US
James W. Farrell - Carol Stream IL, US
Scott Johnston - Oak Park IL, US
Agnes S. Thiruthuvadoss - Chicago IL, US
Charlie Troxel, Jr. - Naperville IL, US

Assignee:

Chicago Mercantile Exchange, Inc. - Chicago IL

International Classification:

G06Q 40/00

US Classification:

705 36R, 705 35

Abstract:

Methods and systems for an exchange to handle variable derivative product order prices are disclosed. The price of a derivative product order (bid or offer) is updated based on changes in the price of a related underlying product. Price determination variable(s), such as delta and gamma, are used to determine the price of the order. The exchange may periodically recalculate the price without requiring the trader to transmit additional information to the exchange.

US Patent:

7890418, Feb 15, 2011

Filed:

Jan 15, 2010

Appl. No.:

12/688467

Inventors:

James W. Farrell - Carol Stream IL, US
Agnes Shanthi Thiruthuvadoss - Chicago IL, US
David Salvadori - Bartlett IL, US
Scott Johnston - Oak Park IL, US
John Falck - Chicago IL, US
Charlie Troxel, Jr. - Naperville IL, US
Arjuna Ariathurai - Chicago IL, US

Assignee:

Chicago Mercantile Exchange Inc. - Chicago IL

International Classification:

G06Q 40/00

US Classification:

705 37, 705 35, 705 36 R

Abstract:

Systems and methods are provided for executing a hedge transaction in connection with the execution of a derivative product order in which the price of the derivative product is defined by one or more variables. The hedge transaction may be executed at an exchange or match engine that is different from the exchange or match engine executing the derivative product order. The execution of derivative product transaction may be contingent on the existence of an appropriate hedge transaction. Alternatively, a best efforts approach may be used to fill the hedge transaction order after executing the derivative product transaction.

US Patent:

8060431, Nov 15, 2011

Filed:

Dec 13, 2010

Appl. No.:

12/966467

Inventors:

James W. Farrell - Carol Stream IL, US
Agnes Shanthi Thiruthuvadoss - Chicago IL, US
David Salvadori - Bartlett IL, US
Scott Johnston - Oak Park IL, US
John Falck - Chicago IL, US
Charlie Troxel, Jr. - Naperville IL, US
Arjuna Ariathurai - Chicago IL, US

Assignee:

Chicago Mercantile Exchange Inc. - Chicago IL

International Classification:

G06Q 40/00

US Classification:

705 36R, 705 35, 705 37

Abstract:

Systems and methods are provided for executing a hedge transaction in connection with the execution of a derivative product order in which the price of the derivative product is defined by one or more variables. The hedge transaction may be executed at an exchange or match engine that is different from the exchange or match engine executing the derivative product order. The execution of derivative product transaction may be contingent on the existence of an appropriate hedge transaction. Alternatively, a best efforts approach may be used to fill the hedge transaction order after executing the derivative product transaction.

US Patent:

8160949, Apr 17, 2012

Filed:

Aug 9, 2010

Appl. No.:

12/852656

Inventors:

Scott Johnston - Oak Park IL, US
John Falck - Chicago IL, US
Charlie Troxel, Jr. - Naperville IL, US
James W. Farrell - Carol Stream IL, US
Arjuna Ariathurai - Chicago IL, US
Agnes S. Thiruthuvadoss - Chicago IL, US
David Salvadori - Bartlett IL, US

Assignee:

Chicago Mercantile Exchange, Inc. - Chicago IL

International Classification:

G06Q 40/00

US Classification:

705 36R, 705 35, 705 37

Abstract:

Systems and methods are provided for processing derivative product orders at an exchange. Traders provide derivative product order risk data to the exchange. The order risk data may include maximum delta, gamma and/or vega utilization values for derivative product contracts based on the same underlying product. Before executing a trade, a match system analyzes the trader's current utilization state and the utilization that would result after the trade. The match system may then execute all or a portion of the trade.

US Patent:

8224737, Jul 17, 2012

Filed:

Sep 30, 2011

Appl. No.:

13/249984

Inventors:

James W. Farrell - Carol Stream IL, US
Agnes Shanthi Thiruthuvadoss - Chicago IL, US
David Salvadori - Bartlett IL, US
Scott Johnston - Oak Park IL, US
John Falck - Chicago IL, US
Charlie Troxel, Jr. - Naperville IL, US
Arjuna Ariathurai - Chicago IL, US

Assignee:

Chicago Mercantile Exchange Inc. - Chicago IL

International Classification:

G06Q 40/00

US Classification:

705 36R, 705 35, 705 37

Abstract:

Systems and methods are provided for executing a hedge transaction in connection with the execution of a derivative product order in which the price of the derivative product is defined by one or more variables. The hedge transaction may be executed at an exchange or match engine that is different from the exchange or match engine executing the derivative product order. The execution of derivative product transaction may be contingent on the existence of an appropriate hedge transaction. Alternatively, a best efforts approach may be used to fill the hedge transaction order after executing the derivative product transaction.

US Patent:

8326738, Dec 4, 2012

Filed:

Jul 13, 2011

Appl. No.:

13/182178

Inventors:

Scott Johnston - Oak Park IL, US
John Falck - Chicago IL, US
Charlie Troxel, Jr. - Naperville IL, US
James Farrell - Carol Stream IL, US
Arjuna Ariathurai - Chicago IL, US
Agnes Shanthi Thiruthuvadoss - Chicago IL, US
David Salvadori - Bartlett IL, US

Assignee:

Chicago Mercantile Exchange Inc. - Chicago IL

International Classification:

G06Q 40/00

US Classification:

705 37, 705 36 R, 705 38

Abstract:

Systems and methods are provided for processing derivative product orders at an exchange. Traders provide derivative product order risk data to the exchange. The order risk data may include maximum delta, gamma and/or vega utilization values for derivative product contracts based on the same underlying product. Before executing a trade, a match system analyzes the trader's current utilization state and the utilization that would result after the trade. The match system may then execute all or a portion of the trade.