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(12) United States Patent (10) Patent No.: US 8,775,295 B2 Gershon (45) Date of Patent: *Jul

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(12) United States Patent (10) Patent No.: US 8,775,295 B2 Gershon (45) Date of Patent: *Jul US008775295B2 (12) United States Patent (10) Patent No.: US 8,775,295 B2 Gershon (45) Date of Patent: *Jul. 8, 2014 (54) METHOD AND SYSTEM FORTRADING (56) References Cited OPTIONS U.S. PATENT DOCUMENTS (75) Inventor: David Gershon, Tel Aviv (IL) 3,933,305 A 1/1976 Murphy 5,557.517 A 9/1996 Daughterty, III (73) Assignee: Super Derivatives, Inc., New York, NY 5,806,050 A 9, 1998 Shinn et al. (US) 5,873,071 A 2/1999 Ferstenberg et al. 5,884.286 A * 3/1999 Daughtery, III ............ TOS/36 R. 5,926,801 A 7/1999 MatSubara et al. (*) Notice: Subject to any disclaimer, the term of this 5,946,667 A 8/1999 Tull, Jr. et al. patent is extended or adjusted under 35 6,016,483 A 1/2000 Rickard et al. U.S.C. 154(b) by 0 days. 6,061,662 A 5, 2000 Makivic This patent is Subject to a terminal dis (Continued) claimer. FOREIGN PATENT DOCUMENTS (21) Appl. No.: 13/168,980 JP H3-50687 A 3, 1991 JP 10-509257 9, 1998 (22) Filed: Jun. 26, 2011 (Continued) (65) Prior Publication Data OTHER PUBLICATIONS US 2011 FO270734 A1 Nov. 3, 2011 Internet Citation, “Track data announces its AIO Systems division released its option analysis”, Nov. 9, 1999, XP002958 101, retrieved on Jun. 15, 2002. Related U.S. Application Data (Continued) (63) Continuation of application No. 1 1/797.692, filed on Primary Examiner — Hani M Kazimi May 7, 2007, now Pat. No. 8,001,037, which is a continuation of application No. 10/220,159, filed as Assistant Examiner — Abhishek Vyas application No. PCT/US01/12264 on Apr. 13, 2001, (74) Attorney, Agent, or Firm — Shichrur & Co. now Pat. No. 7,315,838. (57) ABSTRACT Device, system and method of trading an option. A method (60) Provisional application No. 60/197,622, filed on Apr. may include executing, by a computing device, at least one 13, 2000. transaction of an option on an underlying asset using at least (51) Int. C. one of a bid price and an offer price, wherein a bid/offer G06O40/00 (2012.01) spread between the bid price and offer price is the result of a (52) U.S. C. calculation using first data corresponding to at least one USPC .............................. 705/37; 705/35; 705/36 R parameter defining the option and second data corresponding (58) Field of Classification Search to at least one current market condition relating to the under USPC ...................................................... 705/35. 39 lying asset. See application file for complete search history. 51 Claims, 6 Drawing Sheets JU Calculate Bid and Offer |- Bid = Corrected TW - Spread/2 l 72 Offer = Corrected TV+ Spread/2 74 US 8,775,295 B2 Page 2 (56) References Cited Statement in accordance with the notice from the European Patent Office dated Oct. 1, 2007 concerning business methods (OJ Nov. U.S. PATENT DOCUMENTS 2007; p. 592-593) XPO02456252. Office Action for Japanese Patent Application 2001-577256 mailed 6,161,096 A 12, 2000 Bell 6,178.406 B1 1/2001 Cheetham et al. on Jan. 27, 2011. 6,263.321 B1* 7/2001 Daughtery, III ............ TOS/36 R. Takeaki Kariya, “Basics of Financial Engineering Japan, Tokyo 6,546,375 B1 4/2003 Pang et al. Keizai, Inc. Sep. 25, 1997, the first edition, p. 11 to 12. 6,709,330 B1 3, 2004 Klein et al. Extended European Search Report for European Patent Application 6,839,686 B1 1/2005 Galant 10180297.3 mailed on Feb. 21, 2011. 6,912,511 B1 6, 2005 Eliezer et al. Extended European Search Report for European Patent Application 7, 177,833 B1 2/2007 Marynowski et al. 1019 1976.9 mailed on Apr. 8, 2011. 7.212,997 B1 * 5/2007 Pine et al. ................... TOS/36 R. 7.251,629 B1* 7/2007 Marynowski et al. .......... 705/37 Office Action for Australian Patent application 2001255394 mailed 2002fOO73014 A1 6, 2002 Gilbert on Jan. 24, 2005. 2002fOO7301.6 A1 6, 2002 Furbush et al. Office Action for Canadian Patent application 2.406,418 mailed on 2003/020843.0 A1 11/2003 Gershon Mar. 26, 2010. 2005/0027634 A1 2/2005 Gershon International Preliminary Examination Report for PCT application 2006, O259381 A1 11/2006 Gershon PCT/US01/12264 mailed on Aug. 2, 2002. 2007/0156574 A1* 7/2007 Marynowski et al. .......... 705/37 Translation of Office Action for Japanese Patent application 2003 2009,0063358 A1 3, 2009 Smith 536956. Fischer Black, "Fact and Fantasy in the use of Options.” Financial FOREIGN PATENT DOCUMENTS Analysts Journal, 1975 p. 55-72. JP 2000507730 A1 6, 2000 Customized Listed Contracts: The CBOE's new customizable JP 2001SOO653 A1 1, 2001 options contract business is getting good reviews from potential JP 2002032564 A 1, 2002 investors. Wall Street & Technology, p. 56. May 1993. JP 2002230304 A 8, 2002 Using options the special way. Simons, Howard L. Futures (Cedar JP 2004O13334 A 1, 2004 Falls, Iowa), v23, n8, p. 34(3) Jul. 1994. JP 2009003958. A 1, 2009 International Preliminary Search Report for PCT application PCT/ WO 9605566 A1 2, 1996 WO 98.12658 3, 1998 US01/12264 mailed on Jul. 13, 2001. WO 98.12658 A1 3, 1998 International Search Report and Written Opinion for PCT application WO 98.12659 3, 1998 PCT/IB 11/50026 mailed on Jun. 27, 2011. WO 98.12659 A1 3, 1998 Office Action for JP 2008-21 1682 mailed on Aug. 16, 2011. WO 01f8O131 10, 2001 “Individual marketing ~ Diverse financial instruments for individual investors -” by Kanenobu Iwatani, printed in vol. 4. No. 2 (pp. OTHER PUBLICATIONS 249-257) Capital Market Quarterly published by Nomura Research Institute, Ltd. on Nov. 1, 2000. International Search Report dated Sep. 18, 2002 from PCT/IB01/ <Covered warrant>~ Warrant pricing errors by Goldman Sachs O1941. Administrative action taken, yet bond cancellation issue unresolved ~ Rodger D. Huang et al., “The Components of the Bid-Ask Spread: A printed in vol. 8, No. 12 (pp. 14-16) Nikkei NetTrading published on General Approach'. The Review of Financial Studies, Winter 1997; Aug. 15, 2001. 10, 4. Translation of Office Action for Japanese Patent Application No. Downes, John and Jordan Elliot Goodman, Barron's Dictionary of 2001-577256 mailed on Nov. 15, 2011. Finance and Investment Terms. “Derivative Pricing Models” and Office Action for Canadian Patent Application No. 2,463,608 mailed "Option Pricing” Copyright 1998. on Jan. 10, 2012. Final Office Action for U.S. Appl. No. 1 1/797,691 mailed on Nov. 13, Office Action for U.S. Appl. No. 12/983,992 mailed on Mar. 29, 2009. 2012. Final Office Action for U.S. Appl. No. 1 1/797,692 mailed on Nov. 16, 2009. Office Action for Israeli Patent Application No. 152235 mailed on Non-final Office Action for U.S. Appl. No. 1 1/797,692 mailed on Feb. 20, 2013; 2 pages. May 20, 2010. Office Action for U.S. Appl. No. 13/713,200 mailed on Mar. 14. The Influence of Electronic Trading on Bid-Ask Spreads: New Evi 2013; 16 pages. dence from European Bond Futures. The Journal of Fixed Income, Interrogatory for Japanese Patent Application No. 2001-577256 vol. 8, No. 1; Jun. 1998. mailed on Sep. 12, 2012; 3 pages. Shiekh et al. “A characterization of the daily and intraday behavior of Abken, Peter A; Nandi, Salat; “Options and Volatility”; Dec. 1996; returns on options' Jun. 1994 Journal of Finance, v49, n2, p. 557(23). Economic Review (Federal Reserve Bank of Atlanta); v81n3-6, pp. Jex, Market al. “Pricing exotics under the Smile”. Risk, Nov. 1999. 21-35; ISSN: 0732-1813. Non-final Office Action for U.S. Appl. No. 1 1/797,692 mailed on Singh, Vipul Kumar; Ahmad, Naseem: "Forecasting Performance Apr. 3, 2009. Volatility Models for Pricing S&P CNX Nifty Index Options via Non-final Office Action for U.S. Appl. No. 1 1/797.691 mailed on Black-Scholes Model”; Jul. 2011; UUP Journal Applied Finance Apr. 6, 2009. v17n3; pp. 53-67; ISSN: 0972-5105. Non-final Office Action for U.S. Appl. No. 10/220,159 mailedon Jun. Orosi, Greg; “Improved Implementation of Local Volatility and its 19, 2006. Application to S&P 500 Index Options'; Spring 2010; Journal of Non-final Office Action for U.S. Appl. No. 10/220,159 mailed on Derivatives, v 17, n. 3, p. 53(12); ISSN: 1074-1240. Feb. 13, 2006. Office Action for European Patent Application No. 10191976.9 Final Office Action for U.S. Appl. No. 10/220,159 mailed on Nov. 28, mailed on Jun. 21, 2012. 2006. International Preliminary Report on Patentability for PCT Interna Final Office Action for U.S. Appl. No. 12/762,340 mailed on Feb. 18, tional Application No. PCT/IB2011/050026 mailed on Jul 12, 2012. 2011. Translation of Office Action for Japanese Patent Application No. Final Office Action for U.S. Appl. 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