Posted: 1/31/17
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Posted: 1/31/17
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THE 33rd Annual

Cboe® Risk Management Conference Europe

The premier educational forum for users of equity derivatives, options and volatility products.

Posted: 1/31/17
Agenda Now Available
View Agenda
Posted: 1/31/17
The Hotel room block may be full. Go to the "Hotel and Travel" page for more information
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9-11 September 2019
Andaz Munich Schwabinger
Munich, Germany

Save the date for
2018 Europe
12-14 Sept 2018
Powerscourt Hotel, IRE
See the 2018 agenda

Learn the latest trading and risk management strategies.
The 2019 Agenda will be posted in July.

registration is closed

Cboe RMC Europe
9-11 September 2019
Andaz Munich Schwabinger

Get an Edge on Managing Risk

Now in its 35th year in the U.S. and going into the 8th year in Europe, the annual Cboe® Risk Management Conference (RMC) is the foremost financial industry conference designed for institutional users of equity derivatives and volatility products. 

Hosted by Cboe Global Markets, RMC is an educational forum dedicated to exploring the latest products, trading strategies and tactics used to manage risk exposure and enhance yields. 

About conference
2019 Location

The 2019 RMC Europe will be held in Munich, Germany at the newly opened Andaz Hotel.

Cboe is excited to announce a new location for the 8th Annual Cboe RMC Europe. Not only a new host city for the conference, but a brand new hotel, Andaz Munich. Opened this year, Andaz is Hyatt's luxury lifestyle brand. Deeply rooted in the local culture and history, Andaz Munich is truly connected to the heart and soul of Munich, but offers an upscale, high-tech experience.

Located in the stylish Schwabinger neighborhood, just north of the old city center, Andaz is convenient to both the airport, downtown and local attractions.

Be sure to book your room early at Andaz Munich Schwabinger Tor to maximize your conference experience during this very busy season in Munich.

About the location
See the 2018 Agenda here. Check back after July for the 2019 agenda.
Previous DayNext Day

11:00 - 5:30pm
11:45 - 12:30pm

Conference Registration
Light stand up snacks-lunch break

12:30 - 1:45pm

Developments in Equity Volatility-Related Indicators

  • A look into the many volatility indicators that exist; how they were created and for what purposes
  • VIX, RVX (Russell 2000 vol), VVIX (VIX of VIX), SKEW, correlation and dispersion indexes will be discussed
  • How to interpret what volatility measures really mean and are helpful for signaling market information
  • Market structure changes including bank capital regulations and how indicators may be impacted

William Speth, Global Head of Research, Cboe Global Markets
William Speth Presentation

1:45 - 2:00pm

Session Break

2:00 - 3:15pm

The Interest Rate Volatility Environment - Can Rates Volatility be the Next "Safe-Haven"?

  • What drives rates volatilities and what do long-dated and short dated interest rate volatility measures tell you about the state of markets
  • Macro, structural dislocations and trigger points
  • Long vol with a positive carry: tactical vs systematic solutions
  • Equity/bond correlation instability as the Achilles heel of multi asset portfolios
  • Hedging the very steep "illiquidity skew" with cross-asset volatility 

Yoshiki Obayashi, Head of Research, Applied Academics, LLC

Kokou Agbo-Bloua, Managing Director, Global Head of Flow Strategy & Solutions, Société Générale

3:15 - 3:30pm

Coffee Break

3:30 - 4:45pm

Interpreting Volatility-Related Indicators, and Determining Courses of Action

  • Structural drivers of volatility-related instruments
  • Understanding signals from volatility, skew and correlation dynamics
  • Determining which measures fit what investor needs and market conditions
  • How to structure trading strategies based on volatility surfaces and volatility-related indicators

Stacey Gilbert, Head of Derivatives Strategy, Susquehanna

Mandy Xu, Chief Equity Derivatives Strategist, Credit Suisse

6:00 - 8:30pm

Opening Reception: Cocktails and Dinner at Powerscourt Estate House
(shuttle buses will leave from the Hotel lobby starting at 6:00pm)

7:30 - 8:30am

Breakfast (breakfast at Sika Restaurant at Powerscourt is included in your room rate)
Registration continues

8:30 - 9:00am

President, Cboe Global Markets

Welcome and Cboe Global Markets Update

9:00 - 10:00am

Louis-Vincent Gave, Founding Partner & Chief Executive Officer of Gavekal
Market Movers- The Structure and the Cycle

10:00 - 10:30am

Coffee Break

10:30 - 11:30am

Volatility Regime Change: Signs, Symptoms & Solutions

  • What to watch as we leave ultra-low volatility behind
  • Diversification, relative value and defensive strategies

Abhinandan Deb, Head of Global Cross Asset Quant Investment Strategy, Bank of America Merrill Lynch

11:30 - 1:00pm

Lunch and networking

1:00 - 2:00pm

Panel on Long and Relative Value Volatility Trading and Tail Risk

Moderator: Alexandre Tiers, Managing Director, Equity Derivatives Exotics Trading, JP Morgan


Imran Hasnain, Partner, CQS

Yann Le Her, Senior Portfolio Manager, La Française Investment Solutions

Katherine Molnar, Chief Investment Officer, Fairfax County Police Officers Retirement System

Tobias Windmeier, Senior Portfolio Manager, Union Investment Institutional GmbH

2:00 - 2:15pm

Session Break

2:15 - 3:30pm

Breakout Sessions

TRACK A - Volatility-Based ETPs:  Market Impact & Opportunities in VIX Futures/Options

  • What happened in February, what role did VIX ETPs play?
  • Reconciling VIX ETPs’ net vega, CFTC-reported VIX positioning, and VIX futures market size information
  • VIX futures curve shape: evaluating curve trades before and after the February blowup
  • Lessons for volatility selling and buying programs
  • Lessons for volatility product design

Benn Eifert, Ph.D., Founder and CIO, QVR Advisors

Rocky Fishman, CFA, Equity Derivatives Strategist, Goldman Sachs

TRACK B - Credit and Credit Volatility

  • Markets and use cases for corporate bond index futures and ETFs
  • What drives credit volatility and what do credit volatility indexes tell you about the state of credit markets and spreads?
  • How to properly asses credit volatility and its relationship with equity and rates volatility

Yoshiki Obayashi, Head of Research, Applied Academics, LLC
Yoshiki Obayashi Presentation

Brett Pybus, CFA, Managing Director, BlackRock

3:30 - 3:45pm

Coffee Break

3:45 - 5:00pm

Breakout Sessions

TRACK A - P vs Q: The Battle of Distributions

  • How to evaluate which strike best expresses a view on spot
  • Beyond historical fair value: building risk-neutral (P) return distributions that incorporate model expectations so as to outperform the risk-neutral distribution (Q).

Caio Natividade, Managing Director and Head of Cross Asset Quantitative Research, Deutsche Bank

TRACK B - Sectors: Major Changes are Coming on September 28, 2018

  • An outline of changes in the Global Industry Classification Standard (GICS) classifications of sector and industry groups
  • How sectoral groupings help connect broader trends to their market effects
  • Comparing the effectiveness of sector-selection and stock-selection strategies
  • Implications for volatility and dispersion trading

Tim Edwards, Ph.D., Managing Director of Index Strategy, S&P Dow Jones Indices

Saurabh Katiyar, Vice President, MSCI

7:15 - 8:00am

Breakfast (breakfast is included in the Group room rate at Powerscourt. Please join us in Sika Restaurant)

8:00 – 9:00am

The Future of VIX Derivative Markets

  • How market dynamics have changed since the events on the week of February 5th
  • Strategies for navigating volatility

Moderator: Eric Frait, Vice President, Options Advancement and Strategy, Cboe Global Markets

Uri Geller, Co-Founder and CIO, Granite M.S.A. LTD 
Neale Jackson, Portfolio Manager, 36 South Capital Advisors
Etienne Lussiez, Equity Index Volatility Trader, Barclays Capital
Angel Serrat, Partner & Chief Strategist, Capula Investment Management, LLP

9:00 - 9:15am

Session Break

9:15 - 10:30am

Track A - Volatility Risk Premia Strategies: New Advancements to Better Assess Timing and Portfolio Construction

  • Results from empirical studies on the performance of volatility-based strategies in different regimes
  • Can we realistically buy "cheap" and sell "expensive" options?
  • The role of VRP within income seeking portfolios
  • What VRP assets to include and alternatives for managing weightings over time based on goals and market dynamics

Stephen Crewe, Portfolio Manager, Fulcrum Asset Management

Roni Israelov, Ph.D., Principal, Head of Volatility Strategies, AQR Capital Management

Track B - European Demand for U.S. Exchange-Listed Equity Options; Who, What, Where, When and Especially Why

  • Results of a 2018 study on European use of U.S. equity option products
  • Responses from market participant interviews will be presented, together with supplements of industry data
  • A discussion of current trends and implications for strategy selection, including OTC alternatives

Moderator/Presenter: Gary Delany, Director, Options Industry Council (OIC)

Patrick Bartholet, Strategist, Aviva Investors
Leaf Wade, Executive Director, Goldman Sachs

10:30 - 11:00am

Coffee Break

11:00 - 12:15pm

Variance Utility and Use Cases

Moderator/Presenter: Michael Mollet, Director, Head of Product Development, Cboe Global Markets

Markos Petrocheilos, Senior Equity Derivatives Trader, BNP Paribas
Adel Benharrats, Portfolio Manager, Argentière Capital AG
Chris Rodarte,
Portfolio Manager, Pine River Capital Management


End of Conference Sessions

12:45- 1:15pm

Golf Event at Powerscourt (tee times)

7:00 - 9:00pm

Buffet Dinner in the Heritage Suite, 2nd floor

KEYNOTE speaker
Edward O. Thorp
Math Professor, Inventor, Best-Selling Author and Hedge Fund Manager
2019 RMC Europe Featured Sponsors
A special thank-you to our sponsors who help make the Cboe Risk Management Conference possible
Gold Sponsors
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General Sponsors