An electronic exchange system network includes a trader site having an
automated trading system capable of submitting orders to an exchange
site. The automated trading system determines whether an order should be
submitted based on, for example, the current market price of an option
and theoretical buy and sell prices. The theoretical buy and sell prices
are derived from, among other things, the current market price of the
security underlying the option. A look-up table stores a range of
theoretical buy and sell prices for a given range of current market price
of the underlying security. Accordingly, as the price of the underlying
security changes, a new theoretical price may be indexed in the look-up
table, thereby avoiding calculations that would otherwise slow automated
trading decisions. Other techniques may be used in addition or in the
alternative to speed automatic decision-making. In addition, a system of
checks may be conducted to ensure accurate and safe automated trading.
The automated trading system may be capable of automatically submitting
orders in connection with the underlying security in order to hedge part
of the delta risk associated with the automated option trades.