US Patent 7401042 Method for profiling options

A method for measuring a price level of an option contract or a series of options contracts based upon a volatility of an underlying security. The method includes the process of calculating a rate of return index for an option series. The rate of return index includes factors such as the implied rate of return, the price of the underlying security, and a weighting factor. The rate of return index may be used for a series of call option contracts and a series of put option contracts. Both the series of call option contracts and series of put option contracts may be numerically set to provide an implied interest rate at a specific volatility.