Search

Catherine T Shalen

from Bronx, NY
Age ~74
Get Report
Also known as:
Cathy T Shalen, Cathie T Shalen
Related to:
George Smith, 64David John Krakowski, 35Gregory Olsen, 75Lawrence Huhn, 59Mary A Wrecsics, 40Susan GrayAbigail Thompson, 36
Connected to:
Nancy R Shalen, 78Shelly J Shales, 57Edna Shalev, 74Shai D Shalev, 60Aleksandr Shalevich, 70Lev M Shalevich, 51Amanda K Shalhoob, 44Alicia M Shalhoup, 60Angela Shalhoub, 86Armando Shalhoub, 66

Catherine Shalen Phones & Addresses

  • Bronx, NY
  • 534 Stratford Pl, Chicago, IL 60657 (773) 929-3159
  • 534 W Stratford Pl APT 7W, Chicago, IL 60657 (773) 929-3159
  • Berkeley, CA
  • Alameda, CA

Resumes

Resumes

Catherine Shalen Photo 1

Catherine Shalen

View page
Location:
Chicago, IL
Industry:
Financial Services
Work:
Cboe 2002 - Feb 2018
Director, Research
Education:
Columbia Business School 1980 - 1984
Doctorates, Doctor of Philosophy, Banking, Philosophy Harvard University
Bachelors, Bachelor of Arts, Mathematics
Catherine Shalen Photo 2

Director At Cboe

View page
Position:
director at cboe
Location:
Greater Chicago Area
Industry:
Financial Services
Work:
cboe
director

Publications

Us Patents

Method And System For Creating A Volatility Benchmark Index

View page
US Patent:
8249972, Aug 21, 2012
Filed:
Nov 7, 2008
Appl. No.:
12/267013
Inventors:
Catherine T. Shalen - Chicago IL, US
Assignee:
Chicago Board Options Exchange, Incorporated - Chicago IL
International Classification:
G06Q 40/00
US Classification:
705 36R
Abstract:
A method and system for creating a volatility benchmark index is disclosed. The method includes obtaining a value of a Treasury bill account less a mark-to-market value of at least one of a volatility-based future or option and calculating a value reflecting a volatility benchmark. The value may be displayed at a trading facility and volatility benchmark quotes may be transmitted by the trading facility to a market participant.

Method And System For Creating A Spot Price Tracker Index

View page
US Patent:
8321322, Nov 27, 2012
Filed:
Sep 28, 2010
Appl. No.:
12/892212
Inventors:
Catherine T. Shalen - Chicago IL, US
Assignee:
Chicago Board Options Exchange, Incorporated - Chicago IL
International Classification:
G06Q 40/00
US Classification:
705 36R, 705 35, 705 37
Abstract:
A method and system for creating a spot price tracker index is disclosed. The method includes obtaining values of first and second derivatives at a time t and calculating an index value by linear extrapolation from the first and second futures contracts. The index value may be displayed at a trading facility and quotes based on the index value may be transmitted by the trading facility to a market participant.

Method And System For Creating And Trading Derivative Investment Products Based On A Statistical Property Reflecting The Variance Of An Underlying Asset

View page
US Patent:
8326716, Dec 4, 2012
Filed:
Oct 10, 2006
Appl. No.:
11/545793
Inventors:
Catherine T. Shalen - Chicago IL, US
Daniel Feuser - Chicago IL, US
Eric Chern - Northbrook IL, US
Paul Kepes - Chicago IL, US
Andrew Hall - Chicago IL, US
Lewis Biscamp - Santa Fe NM, US
Assignee:
Chicago Board Options Exchange, Incorporated - Chicago IL
CTC Trading Group, L.L.C. - Chicago IL
International Classification:
G06Q 40/00
US Classification:
705 35
Abstract:
Systems and methods for creating a limited risk derivative based on a realized variance of an underlying equity is disclosed. In one implementation, a limited risk derivative product includes a capped value for a statistical property reflecting a variance of the underlying equity is calculated based on a pari-mutuel action. The capped value includes a dynamic value and a cap. The dynamic value reflects an average volatility of prices returns of the underlying equity over a predefined period of time and the cap reflects a maximum value of the dynamic value. The limited risk derivative product additionally includes an average of a summation of each squared daily return of the underlying equity included in the value for the statistical property reflecting the variance of the underlying equity.

Method And System For Creating And Trading Derivative Investment Instruments Based On An Index Of Collateralized Options

View page
US Patent:
8341069, Dec 25, 2012
Filed:
May 23, 2011
Appl. No.:
13/113755
Inventors:
Catherine T. Shalen - Chicago IL, US
Assignee:
Chicago Board Options Exchange, Incorporated - Chicago IL
International Classification:
G06Q 40/00
US Classification:
705 37, 705 36
Abstract:
Collateralized option index derivative investment instruments and methods for creating a collateralized option index are disclosed herein based on changes in a performance of collateralized option strategies. According to an aspect of the disclosure, a method for calculating a collateralized option index is disclosed. In one embodiment, the method for calculating a collateralized option index includes calculating a value of a portfolio invested in a collateralized short strategy according to the relation:where Mis a value of a LIBOR component of the portfolio at the close of date t, Nis a number of put options sold at a last roll date, and Pis a price of the underlying option portfolio based on arithmetic averages of the last bid and ask prices of all options in the underlying option portfolio reported before a time on date t.

Methods And Systems For Creating And Trading Derivative Investment Products Based On A Skew Index

View page
US Patent:
8438094, May 7, 2013
Filed:
Mar 4, 2011
Appl. No.:
13/041107
Inventors:
Catherine T. Shalen - Chicago IL, US
Assignee:
Chicago Board Options Exchange, Incorporated - Chicago IL
International Classification:
G06Q 40/00
US Classification:
705 36R, 705 35
Abstract:
Systems and methods for creating and disseminating a SKEW index based on a statistical property reflecting the skewness of an underlying asset and creating and trading derivative investment products based on the SKEW index are disclosed. In one aspect, a SKEW index associated with an underlying asset is calculated. The SKEW index is accessed and a SKEW derivative is created based on the SKEW index. Information associated width the SKEW derivative is then transmitted for display.

Financial Indexes And Instruments Based Thereon

View page
US Patent:
20060100949, May 11, 2006
Filed:
Sep 29, 2005
Appl. No.:
11/238396
Inventors:
Robert Whaley - Chapel Hill NC, US
Catherine Shalen - Chicago IL, US
William Speth - Evanston IL, US
International Classification:
G06Q 40/00
US Classification:
70503600R
Abstract:
A financial instrument in accordance with the principles of the present invention provides creating an underlying asset portfolio and implementing a passive total return strategy into the financial instrument based on writing the nearby call option against that same underlying asset portfolio for a set period on or near the day the previous nearby call option contract expires. The call written will have that set period remaining to expiration, with an exercise price just above the prevailing underlying asset price level (i.e., slightly out of the money). In one embodiment, the call option is held until expiration and cash settled, at which time a new call option is written for the set period. In another embodiment, the call option is written against the underlying asset portfolio at least thirty (30) days prior to when the call will expire and the call option is not cash-settled; whereby the financial instrument is a “qualified covered call” under the Internal Revenue Code.

System And Method For Creating And Trading A Digital Derivative Investment Instrument

View page
US Patent:
20060253355, Nov 9, 2006
Filed:
May 4, 2005
Appl. No.:
11/122659
Inventors:
Catherine Shalen - Chicago IL, US
International Classification:
G06Q 40/00
US Classification:
705035000
Abstract:
The present invention relates to an investment instrument which allows investors to take risk positions relative to the occurrence or non-occurrence of a contingent binary event. The contingent binary event will have one of two possible outcomes. In a digital futures contract, a long investor agrees to pay a short investor a contract futures amount in return for the short investor agreeing to pay the long investor one of two different settlement amounts depending on the outcome as the contingent binary event. Typically one settlement amount will be zero and the other will be an amount greater than the futures price.

Method Of Creating And Trading Derivative Investment Products Based On A Volume Weighted Average Price Of An Underlying Asset

View page
US Patent:
20060253367, Nov 9, 2006
Filed:
May 4, 2005
Appl. No.:
11/122509
Inventors:
Dennis O'Callahan - Evanston IL, US
Catherine Shalen - Chicago IL, US
International Classification:
G06Q 40/00
US Classification:
705037000
Abstract:
A method of creating and trading derivative contracts based on a volume weighted average price (“VWAP”) of an underlying asset is disclosed. Typically, an underlying asset is chosen to be a base of a VWAP derivative and a processor calculates a VWAP reflecting an average trading price of an underlying asset during a calculation period that is weighted according to the proportion of a total volume of underlying assets traded at each traded price. A trading facility display device coupled to a trading platform then displays VWAP derivatives and the trading facility transmits VWAP derivative quotes from liquidity providers over at least one dissemination network.
Control profile
Catherine T Shalen from Bronx, NY, age ~74 Get Report