System And Method For Creating And Trading A Derivative Investment Instrument Over A Range Of Index Values

Abstract

An investment instrument based on a range of index values is disclosed that allows investors to take risk positions relative to the size, or length, of the range. The investment instrument has a monetary value that increases as the index value increases within a low range interval of the range, decreases as the index value increases within a high range interval of the range, and is fixed or capped if the index value falls within a middle range interval of the range. Typically, one settlement amount will be zero and the other will be an amount greater than the investment instrument price.

1 . A derivative investment instrument comprising:
 a range interval, the range interval having a value corresponding to at least a portion of an identified range length; and   a monetary value that increases as the index value increases within a first range interval, is capped if the index value falls on or within a second range interval, and decreases as the index value increases within a third range interval.   
   
   
       2 . The derivative investment instrument according to  claim 1 , wherein the range length is the entire range of values of the underlying index for which the financial instrument pays a positive amount if a settlement value of the index falls within the range length at expiration of the financial instrument. 
   
   
       3 . The derivative investment instrument according to  claim 1 , wherein the range interval is an interval amount that is used to determine the range increments of the first range interval and the third range interval. 
   
   
       4 . The derivative investment instrument according to  claim 1 , wherein the first range interval is a low range interval. 
   
   
       5 . The derivative investment instrument according to  claim 1 , wherein the second range interval is a middle range interval. 
   
   
       6 . The derivative investment instrument according to  claim 1 , wherein the third range interval is a high range interval. 
   
   
       7 . The derivative investment instrument according to  claim 1 , wherein the derivative investment instrument is an option contract. 
   
   
       8 . The derivative investment instrument according to  claim 1 , wherein the derivative investment instrument is a futures contract.