Method and apparatus for automated opening of options exchange

作者: William A. Lupien , John T. Rickard

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摘要: A computer-based system for determining a set of opening prices number series options traded on an exchange and allocating public order imbalances at the trading. Market makers input current position, desired target position market maker orders (104) from terminals. An entry receives (102) series. controller (2) determines implied volatilities (prices) each that will maximize weighted volume trades across all opening. Contra than can be matched price are then executed. If there is residual imbalance non-executed orders, assigned to individual ones plurality so as minimize cumulative measure deviation between maker. The applicable exchange, this term including any facility operating over-the-counter in options.