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2016 RMC EUROPE COVERAGE

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2012 AGENDA
The event started on 5 September and ended on 7 September 2012.

11:00am – 5:30pm

Conference Registration

12:30 – 1:45pm

Options Fundamentals Part One: Options Strategy and Pricing

  • Option terminology, mechanics and profit/loss diagrams of investor strategies
  • Option prices and market dynamics
  • An analysis of the historical performance of covered call, cash-secured short put and collar strategies

Jim Bittman, Senior Staff Instructor, CBOE Options Institute
Jerry de Leeuw, Managing Director, Mercurious
Presentation (pdf)

1:45 – 2:00pm

Session Break

2:00 – 3:15pm

Options Fundamentals Part Two: Managing Options Positions

  • Arbitrage relationships
  • Review of option risk measures (the “Greeks”)
  • Strike and maturity selection
  • Managing options positions over time (getting in, getting out, rolling up, down and out)

Jim Bittman, Senior Staff Instructor, CBOE Options Institute
Presentation (pdf)

Samuel Kadziela, Associate Director of Education, Chicago Trading Company, LLC
Presentation (pdf)

3:15 – 3:30pm

Session Break

3:30 – 4:45pm

VIX and Volatility As an Asset Class

  • Traditional approaches to trading volatility
  • VIX methodology and characteristics of VIX-related products
  • Why and how AP3 has reallocated some of it's risk from equity exposure to volatility exposure

Mårten Lindeborg, Head of Strategic Asset Allocation, AP3 (Third Swedish National Pension Fund)
Presentation (pdf)

Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC
Presentation (pdf)

6:30 – 8:30pm

Opening Reception

7:30 – 8:30am

Buffet Breakfast

​Conference check-in/registration continues

8:30 – 9:15am

Keynote Speaker: William J. Brodsky, CBOE Chairman and CEO

CBOE and Options Industry Update  
Perspectives on Forthcoming Regulatory Initiatives

9:15 – 10:15am

Keynote Speaker: Dr. David M. Blitzer, Managing Director and Director of the Index Committee, S&P Dow Jones Indices

A Global View from a U.S. Perspective
Presentation (pdf)

10:15 – 10:45am

Session Break

10:45 – 11:45am

Tail Risk Protection: A Panel Discussion on Why and How Investors Might Hedge Downside Risk

  • The case for hedging as an offensive strategy in today's market
  • Determining acceptable levels of protection and costs
  • Strategy alternatives for implementing hedges

Moderator:

  • Ryan McRandal, Portfolio Manager, AXA Investment Managers

Panelists:

  • Alex Capez, Portfolio Manager, Occitan Capital Partners
  • Fabio Castaldi, Head of Absolute Return, Amundi Asset Management
  • Sandy Rattray, Head of Man Systematic Strategies, Man Group
  • Chris Rodarte, Portfolio Manager, Pine River Capital Management

11:45am – 1:15pm

Lunch and Networking

1:15 – 2:30pm

Mapping Cross-Asset Financial Market Stress and Hedging Macro Portfolios

  • Breaking out of asset class silos
  • Monitoring cross asset stress
  • Momentum of contagion: spot red flags and look for laggard risks
  • Hedging macro portfolios: finding good proxy hedges and underpriced tails
  • In practice: examples and implementation

Abhinandan Deb, Director, Equity Derivatives Research Europe , Bank of America Merrill Lynch
Presentation (pdf)

Convertible Bond Arbitrage and Listed Options

  • Trends in the convertible bond marketplace
  • Trading techniques for locking in profits and managing risk
  • erspectives on volatility trading

Paul Sansome, Partner, Ferox Capital   
Chris Wehbé,  Partner and Head of Relative Value, Arrowgrass
Presentation (pdf)

2:30 – 2:45pm

Coffee Break

2:45 – 4:00pm

Panel on U.S. Options and Volatility Market Structure

  • Client demographics in U.S., Europe and Asia
  • OTC vs. listed; index vs. ETF vs. single stock options
  • Sourcing liquidity and how orders get executed via electronic and open outcry methods

Moderator:

  • Leaf Wade, Head of U.S. Derivatives Sales into Europe, UBS

Panelists:

  • Tim Hendricks, Managing Partner, XFA
  • Ryan McBride, Index Option Trader, UBS
  • Gerald Perez, Managing Director, Interactive Brokers (UK) Limited
  • Hans Pieterse, Member of Global Management Board, Optiver
  • Dominic Salvino, VIX Specialist, Group One, LLC

Cross-Asset Relative Value Volatility Arbitrage

  • Analyzing credit spreads versus equity volatilities
  • Volatility skew and term structure strategies

Alessandro Esposito, Portfolio Manager, BlueBay Asset Management
Kirill Ilinski, Portfolio Manager, Fusion Asset Management
Presentation (PDF)

7:30 – 8:30am

Breakfast Buffet

8:30 – 9:30am

Keynote Speaker: Bruno Dupire, Head of Quantitative Research, Bloomberg

Quantitative Strategies for Trading Volatility

Presentation (PDF)

9:30 – 9:45am

Session Break

9:45 – 11:00am

Trading Implied Volatility

  • Trading and hedging strategies
  • Characteristics, risks and evolution of VIX-related products
  • Current market behaviour of volatility and volatility products
  • Application of volatility trading to the current macro environment

Rob Heck, Head of European Flow Derivative Trading, Barclays Capital
Presentation (pdf)

Pierre de Saab, Portfolio Manager, Dominice & Company Asset Management
Presentation (pdf)

Volatility Based Solutions for Insurance Companies

  • Fundamentals of insurance structures and equity derivative product needs
  • Special regulatory, operational and other concerns that impact valuations of long-term interest rates and equity volatilities
  • Alternatives to standard macro hedging or common variable annuities hedging
  • Solutions involving a better carry cost, better gap risk hedging and better management between gamma and vega risk

Pin Chung, Chief Financial Officer and Chief Investment Officer, R+V International Business Services Limited
Presentation (pdf)

Frederic Smadja, Head of U.S. Flows and Structured Index Trading, Natixis
Presentation (pdf)

Frederic Suhit, Head of Derivatives, AXA Investment Managers

11:00 – 11:15am

Session Break

11:15am – 12:30pm

Systematic Use of Options in Portfolio Management

  • How to build a systematic option strategy
  • Identifying risk premium and beta / hedging opportunities
  • Generating alpha or beta-tilted strategies
  • Added-value of these strategies in portfolio management

Jérôme Dominge, Head of Institutional Product Engineering Paris, BNP Paribas
Presentation (pdf)

Analyzing and Forecasting Volatility

  • Fixed and dynamic benchmarks for expected returns and expected variances
  • What role should subjective analysis play in determining volatility regimes?
  • Equity volatility vs interest rate swap volatility; empirical behavior of volatility surfaces
  • Investment implications for different portfolios

Moderator:

  • Chris Limbach, Advisor to the CEO, PGGM Investments

Panelists:

  • Andrew Harmstone, Portfolio Manager, Morgan Stanley Investment Management
  • Yoshiki Obayashi, Founder, Applied Academics, LLC

Presentation (pdf)

12:30pm

End of Sessions

1:30pm

Golf Tournament

7:00 – 9:00pm

Closing Dinner and Networking

The 2016 speakers
The event started on 26 September and ended on 28 September 2016.
Keynote Speaker
2012 SPonsors
The event started on 5 September and ended on 7 September 2012.
Sponsors
Media Sponsors
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