Eugene Mueller

US Patent:

8639601, Jan 28, 2014

Filed:

Jun 1, 2010

Appl. No.:

12/791513

Inventors:

Eugene Mueller - Libertyville IL, US
Daniel Grombacher - Northbrook IL, US
Frederick Sturm - Chicago IL, US

Assignee:

Chicago Mercantile Exchange Inc. - Chicago IL

International Classification:

G06Q 40/00

US Classification:

705 35

Abstract:

A calendar spread futures contract is a forward contract on the intermonth spread of futures contracts. The calendar spread futures contract can be independently traded and accounted for independent of the traditional roll periods of the complementary futures contracts. An open interest holder can hedge against price volatility in the related futures contracts that may occur prior to or during the roll period. In other words, the calendar spread futures contract locks in the current spread between the front-month contract and the first-deferred contract. Buying a calendar spread futures control is equivalent to buying the spread difference between the expiring contract and the second expiry. Selling a calendar spread futures contract is equivalent to selling the spread difference between the expiring contract and the second expiry.

US Patent:

20050154660, Jul 14, 2005

Filed:

Jan 13, 2004

Appl. No.:

10/756087

Inventors:

Frederick Sturm - Chicago IL, US
Ingrid Mele - Chicago IL, US
Eugene Mueller - Libertyville IL, US

International Classification:

G06F017/60

US Classification:

705035000

Abstract:

A futures contract in accordance with the principles of the present invention is a cash-settled correspondent to a physical delivery commodity futures contract that mirrors a physical delivery mechanism utilized to settle the corresponding physical-delivery commodity futures contract. A futures contract of the present invention references a basket of deliverable-grade commodities corresponding to a deliverable basket for a corresponding physical-delivery commodity futures contract. A futures contract of the present invention obeys the same schedule for last trading day and expiration as a corresponding physical delivery commodity futures contract. A futures contract of the present invention has tick sizes that may or may not differ from a corresponding physical delivery commodity futures contract. A futures contract of the present invention converges to a final settlement value equal to a conversion-factor-weighted price of whichever member of the deliverable basket is cheapest to deliver into the corresponding physical delivery commodity futures contract.