Delta Neutral Futures Allocation

Abstract

In an Exchange which assigns only a whole number/integer approximate of a computed number of futures contracts to a covered order for one or more option contracts, the disclosed embodiments relate to factoring a residual number of futures contracts, remaining after fulfillment of an incoming covered order counter to a resting covered order for a quantity of options contracts less than the resting quantity and approximation of the computed number of futures contracts assigned thereto, into the approximation of the computed number of futures contracts assigned to fulfillment of a subsequent order from the same trader counter to the same resting order for less than or equal to the remaining resting quantity of options contracts. This may have the effect of increasing or decreasing the number of futures contracts assigned to the subsequent order.

I claim: 
     
         1 . A computer implemented method, the method comprising:
 computing, by at least one processor, a first quantity of an underlying financial product of previously received but unsatisfied existing order, based on a quantity of a derivative financial product of a subsequently received first order, wherein the first order is counter to the existing order and the first quantity substantially achieves a specified ratio involving a delta value;   approximating, by at least one processor, the computed first quantity of the underlying financial product to determine a first whole number quantity of the underlying financial product and assigning the first whole number quantity of the underlying financial product to the first order when the first order is fulfilled, wherein the approximating of the computed first quantity of the underlying financial product comprises rounding the computed first quantity of the underlying financial product;   computing, by at least one processor, a residual quantity of the underlying financial product remaining after fulfillment of the first order and approximation of the computed first quantity, wherein the residual quantity of the underlying financial product is computed as a difference between the computed first quantity of the underlying financial product and the rounded first quantity of the underlying financial product;   storing, on a memory, the residual quantity of the underlying financial product.   
     
     
         2 . The computer implemented method of  claim 1 , wherein the underlying financial product comprises a futures contract and the derivative financial product comprises an option contract based on the futures contract. 
     
     
         3 . The computer implemented method of  claim 1  further comprising receiving, subsequent to a receipt of the first order, a modification to the existing order modifying the quantity of the derivative financial product thereof remaining after fulfillment of the first order. 
     
     
         4 . The computer implemented method of  claim 1 , wherein the residual quantity may be one of zero, a positive number or a negative number. 
     
     
         5 . The computer implemented method of  claim 1 , wherein the computed first quantity of the underlying financial product is computed as the quantity of the derivative financial product of the first order multiplied by the specified ratio. 
     
     
         6 . The computer implemented method of  claim 1 , storing the residual quantity in association with data identifying a trader from which the first order was received. 
     
     
         7 . The computer implemented method of  claim 6 , further comprising:
 receiving, by at least one processor, a second order subsequent to the first order, the second order being for a quantity of the derivative financial product not exceeding the quantity of the derivative financial product of the existing order remaining after fulfillment of the first order;   determining, by at least one processor, the identity of a trader who submitted the second order and accessing the memory to retrieve the stored residual quantity of the underlying financial product associated therewith;   computing, by at least one processor, a second quantity of the underlying financial product based on the quantity of the derivative financial product of the second order and the retrieved stored residual quantity of the underlying financial product to substantially achieve the specified ratio; and   approximating, by at least one processor, the second quantity of the underlying financial product to determine a second whole number quantity of the underlying financial product and assigning the second whole number quantity of the underlying financial product to the second order when the second order is fulfilled.   
     
     
         8 . A system comprising
 an underlier component processor operative to compute a first quantity of an underlying financial product of previously received but unsatisfied existing order, based on a quantity of a derivative financial product of a subsequently received first order, wherein the first order is counter to the existing order and the first quantity substantially achieves a specified ratio involving a delta value;   an approximation processor coupled with the underlier component processor and operative to approximate the computed first quantity of the underlying financial product to determine a first whole number quantity of the underlying financial product and assigning the first whole number quantity of the underlying financial product to the first order when the first order is fulfilled, wherein the approximating of the computed first quantity of the underlying financial product comprises rounding the computed first quantity of the underlying financial product;   a residual processor coupled with the underlier component processor and the approximation processor and operative to compute a residual quantity of the underlying financial product remaining after fulfillment of the first order and approximation of the computed first quantity, wherein the residual quantity of the underlying financial product is computed as a difference between the computed first quantity of the underlying financial product and the rounded first quantity of the underlying financial product, wherein the residual processor is further operative to store in a database, the residual quantity of the underlying financial product.   
     
     
         9 . The system of  claim 8 , wherein the underlying financial product comprises a futures contract and the derivative financial product comprises an option contract based on the futures contract. 
     
     
         10 . The system of  claim 8 , wherein the underlier component processor is further operative to receive, subsequent to a receipt of the first order, a modification to the previous order which modifies the quantity of the derivative financial product thereof remaining after fulfillment of the first order. 
     
     
         11 . The system of  claim 8 , wherein the residual quantity may be one of zero, a positive number or a negative number. 
     
     
         12 . The system of  claim 8 , wherein the computed first quantity of the underlying financial product is computed as the quantity of the derivative financial product of the first order multiplied by the specified ratio. 
     
     
         13 . The system of  claim 8 , wherein the residual processor is further operative to store the residual quantity in association with data identifying a trader from which the first order was received. 
     
     
         14 . The system of  claim 13 , further comprising:
 an allocation processor is operative to receive a second order subsequent to the first order, the second order being for a quantity of the derivative financial product not exceeding the quantity of the derivative financial product of the existing order remaining after fulfillment of the first order, and in response to receipt of the second order, the allocation processor being further operative to access the database to retrieve the stored residual quantity of the underlying financial product associated the trader; and   wherein the underlier component processor being further operative to compute a second quantity of the underlying financial product based on the quantity of the derivative financial product of the second order and the retrieved stored residual quantity of the underlying financial product to substantially achieve the specified ratio; and   the approximation processor being further operative to approximate the second quantity of the underlying financial product to determine a second whole number quantity of the underlying financial product and assign the second whole number quantity of the underlying financial product to the second order when the second order is fulfilled.   
     
     
         15 . A non-transitory computer readable medium including instructions that when executed by at least one processor are operable to cause a system to:
 compute a first quantity of an underlying financial product of previously received but unsatisfied existing order, based on a quantity of a derivative financial product of a subsequently received first order, wherein the first order is counter to the existing order and the first quantity substantially achieves a specified ratio involving a delta value;   approximate the computed first quantity of the underlying financial product to determine a first whole number quantity of the underlying financial product and assigning the first whole number quantity of the underlying financial product to the first order when the first order is fulfilled, wherein the approximating of the computed first quantity of the underlying financial product comprises rounding the computed first quantity of the underlying financial product; and   compute a residual quantity of the underlying financial product remaining after fulfillment of the first order and approximation of the computed first quantity, wherein the residual quantity of the underlying financial product is computed as a difference between the computed first quantity of the underlying financial product and the rounded first quantity of the underlying financial product, wherein the residual processor is further operative to store in a database the residual quantity of the underlying financial product.   
     
     
         16 . The medium of  claim 15 , wherein the underlying financial product comprises a futures contract and the derivative financial product comprises an option contract based on the futures contract. 
     
     
         17 . The medium of  claim 15 , wherein the instructions are further operative to receive, subsequent to a receipt of the first order, a modification to the existing order which modifies the quantity of the derivative financial product thereof remaining after fulfillment of the first order. 
     
     
         18 . The medium of  claim 15 , wherein the residual quantity may be one of zero, a positive number or a negative number. 
     
     
         19 . The medium of  claim 15 , wherein the computed first quantity of the underlying financial product is computed as the quantity of the derivative financial product of the first order multiplied by the specified ratio. 
     
     
         20 . The medium of  claim 15 , wherein the instructions are further operative to store the residual quantity in association with data identifying a trader from which the first order was received.