Method and system for pricing options

Abstract

Device, system and method of trading an option. A method may include executing, by a computing device, at least one transaction of an option on an underlying asset using at least one of a bid price and an offer price, wherein a bid/offer spread between the bid price and offer price is the result of a calculation using first data corresponding to at least one parameter defining the option and second data corresponding to at least one current market condition relating to the underlying asset.

1 . (canceled) 
     
     
         2 . A system comprising:
 a network server component to communicate with a user via at least one communication network, the network server component to receive first data via said communication network, the first data corresponding to at least one parameter defining an option on an underlying asset;   an application server component to receive second data from one or more market data sources, the second data corresponding to at least one current market condition relating to said underlying asset;   a storage to store the first data and the second data; and   a bid/offer processor configured to determine a bid price of the option and an offer price of the option, the processor to determine a bid/offer spread of the option based on the first and second data, and to determine the bid price of the option and the offer price of the option based on the bid/offer spread,   wherein the application server component is to cause the network server component to send the bid price of the option and the offer price of the option to the user via the communication network.   
     
     
         3 . The system of  claim 2 , wherein said bid/offer processor is to determine the bid price of the option and the offer price of the option based on the bid/offer spread and a theoretical value. 
     
     
         4 . The system of  claim 3 , wherein a first difference between the offer price of the option and the theoretical value is equal to a first part of said bid/offer spread, and a second difference between the theoretical price and the bid price of the option is equal to a second part of the bid/offer spread. 
     
     
         5 . The system of  claim 3 , wherein the bid/offer processor is to determine the bid price of the option according to a difference between said theoretical price and half of said bid/offer spread, and to determine the offer price of said option according to a sum of said theoretical price and half of said bid/offer spread. 
     
     
         6 . The system of  claim 3 , wherein said bid/offer processor is to determine the theoretical value based on the first data and the second data. 
     
     
         7 . The system of  claim 2 , wherein the application server component is to cause execution of at least one transaction of the option using at least one price selected from the group consisting of the bid price of the option and the offer price of the option. 
     
     
         8 . The system of  claim 2  wherein said application server component is to automatically execute an on-line transaction of said option. 
     
     
         9 . The system of  claim 2 , wherein said first data comprises an indication of at least one element selected from the group consisting of a type of said option, an expiration date of said option, a trigger for said option, and a strike of said option. 
     
     
         10 . The system of  claim 2 , wherein said second data comprises an indication of at least one element selected from the group consisting of a spot value, an interest rate, a volatility, an at-the-money volatility, a 25 delta risk reversal, a 25 delta butterfly, and a 25 delta strangle. 
     
     
         11 . A non-transitory machine-readable medium having stored thereon instructions, which when executed by a machine result in:
 causing a network server component to communicate with a user via at least one communication network, to receive first data via said communication network, the first data corresponding to at least one parameter defining an option on an underlying asset;   causing an application server component to receive second data from one or more market data sources, the second data corresponding to at least one current market condition relating to said underlying asset;   storing the first data and the second data;   causing a bid/offer processor to determine a bid price of the option and an offer price of the option by determining a bid/offer spread of the option based on the first and second data, and determining the bid price of the option and the offer price of the option based on the bid/offer spread; and   causing the network server component to send the bid price of the option and the offer price of the option to the user via the communication network.   
     
     
         12 . The non-transitory machine-readable medium of  claim 11 , wherein said instructions, when executed, result in causing said bid/offer processor to determine the bid price of the option and the offer price of the option based on the bid/offer spread and a theoretical value. 
     
     
         13 . The non-transitory machine-readable medium of  claim 12 , a first difference between the offer price of the option and the theoretical value is equal to a first part of said bid/offer spread, and a second difference between the theoretical price and the bid price of the option is equal to a second part of the bid/offer spread. 
     
     
         14 . The non-transitory machine-readable medium of  claim 12 , wherein said instructions, when executed, result in causing said bid/offer processor to determine the bid price of the option according to a difference between said theoretical price and half of said bid/offer spread, and to determine the offer price of said option according to a sum of said theoretical price and half of said bid/offer spread. 
     
     
         15 . The non-transitory machine-readable medium of  claim 12 , wherein said instructions, when executed, result in causing said bid/offer processor to determine the theoretical value based on the first data and the second data. 
     
     
         16 . The non-transitory machine-readable medium of  claim 11 , wherein said instructions, when executed, result in executing at least one transaction of the option using at least one price selected from the group consisting of the bid price of the option and the offer price of the option. 
     
     
         17 . The non-transitory machine-readable medium of  claim 11 , wherein said instructions, when executed, result in automatically executing an on-line transaction of said option. 
     
     
         18 . The non-transitory machine-readable medium of  claim 11 , wherein said first data comprises an indication of at least one element selected from the group consisting of a type of said option, an expiration date of said option, a trigger for said option, and a strike of said option. 
     
     
         19 . The non-transitory machine-readable medium of  claim 11 , wherein said second data comprises an indication of at least one element selected from the group consisting of a spot value, an interest rate, a volatility, an at-the-money volatility, a 25 delta risk reversal, a 25 delta butterfly, and a 25 delta strangle.