Patent Application
20110106686
The disclosure is generally related to quotes and more specifically to managing a display of straddle quotes according to user-defined display preferences.
A user at a trade console may be involved in or interested in multiple quotes. For example, a user may desire to sort a set of quotes according to a certain characteristic or criteria. A user may additionally wish to highlight or emphasize a quote that meets criteria established or set by the user. Moreover, a user may wish to monitor movement with respect to one or more quotes.
A straddle is an option strategy that consists of both a put and a call option with the same strike price and expiration for a particular underlying financial product. Straddles are typically quoted and traded with strikes at or near the price of the underlying financial product, often called “at the money” or “ATM” straddles.
A straddle can be used to take a position in or hedge exposure to volatility (as opposed to price), gain insight into the market perception of future volatility or help value other options. An ATM straddle is particularly suited for these purposes because it is delta neutral, meaning its value remains unchanged due to small changes in the value of the underlying financial product.
A quote for an ATM straddle can be used to calculate the ATM implied volatility of the straddle's expiration for a particular financial product. The ATM implied volatility for a particular expiration serves as a reference/anchor for the volatility curve of that expiration, which is used by traders to value their option positions in that particular expiration. The volatility curves of all expirations joined together create a “volatility surface”, which traders can use to value their option positions across multiple expirations.
Thus, a system that aggregates multiple quotes, such as straddle quotes, into a single user interface, and that allows for user configuration related to a display of the quotes, is highly desirable.
A method is provided for managing quotes at a trade console. A financial product quote for a particular product is received, where the financial product quote is one or more of a firm bid to buy, a firm offer to sell, an indication to buy, an indication to sell, a trade at a certain price, and an invitation to join a trade at a certain price. The financial product quote is grouped with other financial product quotes for the particular product according to a first sort attribute. For each grouping according to the first sort attribute, the financial product quotes are ordered according to a second sort attribute. A product unit display for the particular product is displayed on an interface. The product unit display includes an ordered listing of a predefined number of financial product quotes according to the second sort attribute for each grouping according to the first sort attribute.
According to another embodiment, a method is provided for managing straddle quotes at a trade console. A straddle quote for a particular product is received, where the straddle quote includes a term and a strike, and is one or more of a firm bid to buy, a firm offer to sell, an indication to buy, an indication to sell, a trade at a certain price, and an invitation to join a trade at a certain price. The straddle quote is grouped with other straddle quotes for the particular product according to a first sort attribute. For each grouping according to the first sort attribute, the straddle quotes are ordered according to a second sort attribute. A product unit display for the particular product is displayed on an interface. The product unit display includes an ordered listing of a predefined number of straddle quotes according to the second sort attribute for each grouping according to the first sort attribute.
According to yet another embodiment, a method is provided for managing straddle quotes at a trade console where the straddle quotes are grouped according to term. The term is a single expiry of the particular product, of an option on the particular product, or of a grouping of options on the particular product; or a composition of expiries of the particular product, of options on the particular product, or of groupings of options on the particular product. For each grouping based on the term, the straddle quotes are ordered according to a second sort attribute. A product unit display is provided in which an ordered listing of a predefined number of straddle quotes according to the second sort attribute for each grouping based on the term is displayed.
A system for managing quotes at a trade console includes a quote management software application stored on a server that provides functionality to display financial product information representing financial product quotes. One or more user third party terminals are coupled to the server, and each terminal includes a data interface for accessing the server and the software application. One or more market data sources are also coupled to the server and serve to provide market data to the server for subsequent processing and displaying to a user. The quote management software application, when executed, causes the server to provide an interface and electronically receive information from a data source. The server electronically receives a financial product quote for a particular product. The server groups the financial product quote with other financial product quotes for the particular product according to a first sort attribute, and orders, for each grouping according to the first sort attribute, the financial product quotes according to a second sort attribute. The server displays a product unit display for the particular product on the interface, wherein the product unit display includes an ordered listing of a predefined number of financial product quotes according to the second sort attribute for each grouping according to the first sort attribute.
The foregoing summary and the following detailed description are better understood when read in conjunction with the appended drawings. Exemplary embodiments are shown in the drawings, however, it is understood that the embodiments are not limited to the specific methods and instrumentalities depicted herein. In the drawings:
A user at a trade console may access financial product quotes via a user interface according to various embodiments of the present disclosure. The interface provided via the trade console provides the user with the ability to view and sort various quotes on a product unit display according to user preferences.
With reference to
A first sort attribute and a second sort attribute may also be selected or configured to provide the user with a display that meets user criteria and preferences with respect to viewing the financial product quotes.
For example, a first sort attribute may be used to group financial product quotes with other financial product quotes for the particular product. The grouping is established based on the first sort attribute, which is a parameter related to the financial product quotes. With reference to
Within each grouping 102a-102d, the financial product quotes are ordered according to the second sort attribute. Additionally, the user may select a number of financial product quotes to be displayed. For example, in the exemplary product unit display 100, three financial product quotes are displayed for each grouping 102a-102d. Although four groupings and three quotes in each grouping are displayed in the exemplary product unit display 100, the groupings and quotes are not limited to any particular number.
Thus, the first sort attribute and the second sort attribute are used to display a product unit display 100 for the particular product. The product unit display 100 includes an ordered listing of a predefined number of financial product quotes according to the second sort attribute for each grouping according to the first sort attribute.
A term may be a single expiry of the particular product or a composition of expiries of the particular product. For example a term may be “Dec10” (i.e., a single expiry) or “Q111” (first quarter of 2011, i.e., a composition of expiries). Examples of a term include, but are not limited to, an hour, a day, a month, a quarter, and a calendar year. A term may be any desired time period that is established for a financial product quote.
When grouping according to the first sort attribute of term, the grouping takes into account the number of expiries in the term. For example, the grouping together of quotes with a single expiry may precede the grouping of quotes with a composition of expiries on the product unit display 200. As an example, if the financial product quotes for the product unit display 200 include those with a term of Dec10, Jan11, Feb 11, Mar11, Q111, and Q211, the groupings will be ordered Dec10, Jan11, Feb 11, Mar11, Q111, and Q211.
The grouping according to the first sort attribute of term also takes into account an expiration of a furthest dated expiry in a term. As an example, if the financial product quotes for the product unit display 200 include those with a term of Q111 and Cal11 (calendar year of 2011), the groupings will be ordered Q111 and Cal11 as the furthest dated expiry of Q111 is Mar11 while that of Cal11 is Dec11.
A term may also be a single expiry of an option on the particular product or of a grouping of options on the particular product. A term may also be a composition of expiries of options on the particular product or of groupings of options on the particular product.
With further reference to
Examples of second sort attributes include a spread value between a bid and an ask for the financial product quote, where the ordering is smallest to largest or largest to smallest; a time of receipt of the financial product quote, where the ordering is most recent to oldest or oldest to most recent; a deviation or a difference between a strike price and an underlying price for the financial product quote, where the ordering is closest to furthest or furthest to closest; a source of the financial product quote, where the ordering is most preferred source to least preferred source; a quality of the financial product quote, where the ordering is firm price to indicative price or indicative price to firm price; a strike price for the financial product quote, where the ordering is largest to smallest or smallest or largest; and a user-supplied value, where the ordering is based on a user-supplied ordering. The user-supplied value and user-supplied ordering may be provided through an application programming interface (API) as further described below.
A deviation between a strike price and an underlying price refers to a degree to which the strike price differs from the underlying price. The degree may be calculated by various formulas, such as, for example, the degree may be measured as a logarithmic function (i.e., natural logarithm of the strike price divided by the underlying price). Other functions may also be used to represent the deviation.
One or more second sort attributes may be used to establish the ordering of the financial product quotes. A priority of the various second sort attributes may be established to resolve any ties that may exist between financial product quotes. For example, if the second sort attribute with the highest priority is the spread value and two financial product quotes have the same bid and ask resulting in the same spread value, the ordering may turn to the second sort attribute with the next highest priority. If this is, for example, the time of receipt, the financial product quote most recently received will be the financial product quote ordered before the other financial product quote, assuming that the ordering according to the time of receipt is based on most recent to oldest.
With reference to
In the exemplary product unit display 400, the first sort attribute is term and the predefined number of financial product quotes to display according to the second sort attribute is one, resulting in one straddle quote being displayed for each term (i.e., the groupings are 402a-402n). The terms are ordered, as described above, with a number of expiries in the term and an expiration of a furthest dated expiry in a term taken into account.
According to an embodiment, synthetic groups may be created according to the first sort attribute if a particular financial product quote does not have data that is being used to create the ordering according to the second sort attribute. For example, as shown in the exemplary product unit display 400 of
Other columns may be included in the exemplary product unit displays. The columns shown may be displayed based on user preferences or system definitions. Some examples include, without limit: sell, an indicator that shows if a sell has occurred; buy, an indicator that shows if a buy has occurred; implied volatility spread, the spread between the current term and the previous term; last implied volatility, which indicates the volatility implied by the most recent trade; time, indicating the amount of time that has passed since the most recent trade; price, the price of the most recent trade; and strike, the strike of the most recent trade.
With further reference to the exemplary product unit display 500 of
Moreover, a subview 504 is provided. The subview 504 provides two additional financial product quotes for the grouping 502g (“Jul11”). According to an embodiment, the subview 504 (or any subview for a corresponding grouping 502) may be displayed by user selection of the “+” sign in the column +518. A “+” sign in the column +518 may be used to indicate that a term (i.e., first sort attribute) has a number of different quotes. User selection of such a “+” sign may serve to expand the display of the information to present to the user the different quotes for the term or grouping. The user may select the “+” sign through manipulation of a pointing device or user selection device, such as a mouse, for example. Moreover, a number (not shown) in a column or area adjacent or near the “+” sign in the column +518 may serve to indicate the number of different quotes for a term or grouping.
With further reference to
Moreover, information related to the financial product quotes may be sent through an application programming interface (API) to enrich the quotes, which may be helpful to a user in making a determination to buy or to sell, for example. User input related to a financial product quote may be received through an API, and the user input may then be displayed in the product unit display. For example, with reference to the product unit display 500 of
Other information related to the financial product quotes may be provided from one or more data sources. For example, the underlying price data in the column UndrPr 408 may be provided to enhance the quotes, which may provide the user with additional and beneficial information.
Some of the financial product quotes displayed in the product unit displays may be synthetic quotes. A synthetic quote may be a quote in which aspects of two or more financial product quotes are combined or merged, thereby forming a synthetic financial product quote. The two or more financial product quotes may be received from one or more data sources. For example, again with reference to product unit display 500 of
Now with reference to
Other fields may be included in the preference edit box, or in other boxes. For example, a priority selection field may be provided to indicate the priority given to a selected second sort attribute. Additional fields may be provided to indicate other second sort attributes and their associated priorities. Moreover, depending on the attribute that is selected, other selection fields may be generated. For example, if the user selects source as the second sort attribute, the user may be then be prompted to specify a listing or indication of preferred sources.
Some examples of additional fields include, but are not limited to, a name field to allow a user to enter a desired name for the product unit display that is being created, a source selection field that provides various options related to the source of the market data, a number of months selection field that provides various options related to the time period in which the market data is provided from the selected source.
Various other selection tools, such as buttons, menus, or dropdown windows, may be provided to select or establish other user preferences related to information provided in the product unit displays. For example, a hide brokers button (not shown) allows for a user to select the option to hide (i.e., not show) brokers on a product unit display. A live only button (not shown) provides the user with the option to only display terms that have received quotes or that have been traded during the current trading day or other desirable time period.
Moreover, various indicators may be provided to highlight or indicate various events or quotes that meet certain criteria. For example, as new market data representing a financial product quote is received, the new information may be automatically populated in the product unit display. A new quote indicator (not shown) may serve to indicate receipt of a new quote. The new quote indicator may be displayed for a brief period of time, the time duration of which may be established by the user. An inactive indicator may be used to portray that a particular quote has reached its age limit and is no longer relevant. Moreover, the user may select an option to remove or hide inactive quotes. Another indicator may include a time indicator that allows for user selection of relevant age limit for displaying quotes. The time indicator may be a dropdown window that provides different time options which may be selected by the user. For example, the user may indicate that quotes older than three minutes, five minutes, or ten minutes are to be considered inactive for the particular user. Quotes that meet the selected time criteria may be displayed as inactive according to the inactive indicator described above. Additionally, the time indicator may also include an option for “last per term,” as well as “specific run.”
The various indicators may be a highlighted, shaded, or otherwise emphasized portion on the display (i.e., enclosed in an identifying box). Additionally or alternatively, the indicators may be a message box that momentarily appears over a portion of the product unit display. Other visual indicators may be also be used.
According to an embodiment, when a trade occurs for a financial product quote, columns or information in the product unit display related to the trade (i.e., last implied volatility, time, price, and strike) is accordingly updated with the relevant trade information. Moreover, the information in the relevant trade columns, if provided, as well as in the bid and ask columns, may momentarily flash or change in form (i.e., momentarily be presented in bold font) to indicate the occurrence of the trade to the user. After the momentary change of the information in the relevant trade columns, the information may be presented in a distinguishing color or other form to indicate the trade. Distinguishing colors or font forms may also be used to indicate features of the trade to a user. For example, if the implied volatility of a trade is higher than the previous implied volatility, then the value in the last implied volatility column of the product unit display may be presented in a first color. If on the other hand, the implied volatility of a trade is lower than the previous implied volatility, then the value in the last implied volatility column of the product unit display may be presented in a second color.
A user may be presented with a trade message when the user's selection device, such as a mouse, hovers over the trade fields in the trade columns (i.e., last implied volatility, time, price, and strike) of the product unit display. The trade message may include, for example, time, contact, and other information indicating the trade details.
Yet another additional feature of the product unit display is related to a filter that prevents duplicate quotes from being displayed. When a straddle quote is received, the quote will be analyzed to determine if the straddle quote already exists (i.e., same term, strike, and price). If the straddle quote does exist, it will be replaced by the new straddle quote.
Another feature serves to distinguish straddle runs from individual straddle quotes. A straddle run is a string of multiple quotes for a particular strike and term. A user may select a particular color or other distinguishing feature to be used to display straddle runs.
The additional functionalities described above, as well as other user preferences and functionalities, may be accessed, established, and updated through the product unit displays described above or through other displays provided to the user. The selection of these features may be provided via various tool bars, buttons, pop-up messages, dropdown windows, and the like. A default selection may exist for each feature, thus alleviating the requirement for user selection. Alternatively, a user may be required to establish preferences for a particular feature to be implemented.
With reference to
At 810, an interface is provided. The interface provides a means for a user to establish user preferences with respect to viewing straddle quotes on a straddle quote display, such as the exemplary product unit displays 200-500 described above. The interface also provides a means (for example, creation dialog box 200 and preference edit box 300) for creating a product unit display. The interface also allows for a user to view the quotes according to the user preferences.
At 820, a financial product quote for a particular product is electronically received. As described above, the financial product quote may be one or more of a firm bid to buy, a firm offer to sell, an indication to buy, an indication to sell, a trade at a certain price, and an invitation to join a trade at a certain price. The financial product quote may be received from one or more data sources via one or more of a user interface, an application programming interface, an instant message, an email message, a voice message, and an order message through an electronic system.
At 830, the financial product quote is grouped with other financial product quotes for the particular product according to a first sort attribute.
At 840, for each grouping according to the first sort attribute, the financial product quotes are ordered according to a second sort attribute.
At 850, a product unit display for the particular product is displayed on the interface. The product unit display includes an ordered listing of a predefined number of financial product quotes according to the second sort attribute for each grouping according to the first sort attribute.
An exemplary system 900 for managing quotes at a trade console may include components for performing some or all portions of the above-described method 800 and for providing the displays and associated functionalities of
Each third party terminal 930 may include, according to an embodiment, a data interface 935 for accessing the server 910 and the software application 920 stored thereon. Shown in
The market data sources 940 may provide market data, such as the quote information that populates the product unit displays described above, as well as other trading data, such as the underlying price data, to support the quote. The information provided by the market data sources 940 may be continuously provided. Examples of market data sources include, but are not limited to, various exchanges, brokers, and electronic systems, such as systems that provide and deliver market data. Moreover, market data may also be provided from the third party terminals 930 via APIs as described above.
The quote management software application 920 may, via various modules, provide users with the functionality to create, edit, update, and access product unit displays. For example, when executed, the straddle management software application 920 causes the server 910 to provide an interface to the first party terminal 930a and the second party terminal 930b. The interface may include a product unit display, such as the displays 100-500 described above. Additionally or alternatively, the interface may include the boxes 600 and 700 described above.
The server 910 receives a financial product quote for a particular product, groups the financial product quote with other financial product quotes for the particular product according to a first sort attribute, orders the financial product quotes according to a second sort attribute for each grouping according to the first sort attribute, and displays a product unit display for the particular product on the interface, wherein the product unit display includes an ordered listing of a predefined number of financial product quotes according to the second sort attribute for each grouping according to the first sort attribute.
Thus, the quote management software application 920 and the server 910 provide customizable views of one or more product unit displays to a user. The quote management software application 920 and the server 910 serve to receive market data representing quotes and trades thereof, and provide this information to the user through an interface. The quote management software application 920 and the server 910 also provide the various functionalities related to user preferences, such as the preferences dialog box 600 and the reply box 700.
The various components described herein with respect to the system 900 may include one or more computing devices, hand-held communication devices, mobile computers, and/or any other electronic communication means. The components may be described in the general context of comprising computer-executable instructions, such as program modules, being executed by a computer. Generally, program modules may include routines, programs, objects, components, data structures, or the like that perform particular tasks or implement particular abstract data types.
While some of the embodiments described above are with reference to straddle quotes, the features and aspects may be applied to other types of financial products and instruments. Thus, according to additional embodiments, a product unit display provided at a trade console for a user may include fewer or additional columns to provide relevant quote and trade information to the user. The relevant quote and trade information may vary according to the particular type of financial product.
The foregoing examples are provided merely for the purpose of explanation and are in no way to be construed as limiting. While reference to various embodiments are shown, the words used herein are words of description and illustration, rather than words of limitation. Further, although reference to particular means, materials, and embodiments are shown, there is no limitation to the particulars disclosed herein. Rather, the embodiments extend to all functionally equivalent structures, methods, and uses, such as are within the scope of the appended claims.
This application claims priority to U.S. Provisional Patent Application No. 61/256,410, entitled “StradRunner,” filed on Oct. 30, 2009, the contents of which are incorporated herein in its entirety.
| Number | Date | Country | |
|---|---|---|---|
| 61256410 | Oct 2009 | US |
