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2016 RMC EUROPE COVERAGE

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2015 AGENDA
The event started on 28 September and ended on 30 September 2015.

11:00am – 5:30pm

Conference Registration

12:30 – 1:45pm

New Benchmark Indexes & Research on Fund Use of Options-Based and Volatility-Based Strategies

  • Beyond the BXM and PUT; introducing ten new strategy benchmark indexes that use index options
  • Presentation of a white paper with a list of mutual funds and ETFs that use options for portfolio management
  • Discussion of a series of new benchmark indexes that measure the performance of hedge funds that use volatility-based strategies

Matthew Moran, Vice President, Institutional Business Development, CBOE
Presentation (pdf)

William Speth, Vice President, Research and Product Development, CBOE
Presentation (pdf)

1:45 – 2:00pm

Session Break

2:00 – 3:00pm

Harvesting Volatility Risk Premium as Volatility Starts to Turn

  • Stylized facts about volatility risk premia
  • Volatility risk premia in a portfolio context
  • Mitigating risk of strategies with short volatility exposures via diversification and by combating timing risk
  • Use of signals and prudent sizing for ways to further control risk

Bernhard Brunner, Head of Analytics & Derivatives, AllianzGI Global Solutions / Risklab
Presentation (pdf)

Abhinandan Deb, Head of EMEA Equity Derivatives Research, Bank of America Merrill Lynch
Presentation (pdf)

3:15 – 3:30pm

Session Break

3:30 – 4:45pm

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, regular vs. extended trading hours
  • Sourcing liquidity and how orders get executed via electronic and open outcry methods

Moderator:

  • Philip Stafford, Editor of FT Trading Room, Financial Times

Panelists:

  • Nikolas Alexandrou, Equities and Derivatives Trader, Legal & General Investment Management
  • William J. Ellington, Managing Partner, X-Change Financial Access, LLC
  • Rob Hocking, Global Head of Equity Volatility Trading, DRW Trading
  • Slade Winchester, Head of U.S. Electronic Option Sales and Strategy, Citigroup
  • Leaf Wade, Head of U.S. Derivatives Sales into Europe, UB

6:00 – 8:30pm

Opening Reception: Cocktails and Dinner

7:30 – 8:30am

Buffet Breakfast

​Conference check-in/registration continues

8:30 – 9:00am

Welcome and CBOE Update

Edward L. Provost, President & Chief Operating Officer, CBOE Holdings, Inc.

9:00 – 10:00am

Keynote Speaker

Paul Donovan, Global Economist, UBS
It may be new but it's not that normal: global economics in the 21st century

10:00 – 10:30am

Session Break

10:30 – 11:30am

More Value to Long-Dated Options than Meets the Eye

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

11:30am – 1:00pm

Lunch and Networking

1:00 – 2:00pm

Panel on Trends in Institutional Options and Volatility Product Usage

Moderator:

  • Chris Limbach, Managing Director Investments, PGGM Institutional Business

Panelists:

  • Jerome Berset, Head of Hedge Funds Research, EFG Asset Management
  • Kevin Duggan, Vice President of Equity Products, Ontario Teachers' Pension Plan
  • Dr. Christoph Gort, Partner, SIGLO Capital Advisors
  • Mark Mehtonen, Portfolio Manager, Tactical Allocation/Ilmarinen Alpha, Ilmarinen Mutual Pension Insurance Company

2:00 – 2:15pm

Session Break

2:15 – 3:30pm

Vanilla But Not Boring: Fixed Strike Option Strategies

  • Volatility Risk Premia (VRP) alpha, equity replacement and overlay strategies using SPX and RUT index, VIX and single stock fixed strike options
  • Implementation considerations using fixed strike options
  • Optimized rebalancing  with the option expiration anomaly
  • Improving strategies with timing signals, stock selection and over-hedging

Maneesh Deshpande, Managing Director and Head of Equity Derivatives Strategy, Barclays
Scott Maidel, Senior Portfolio Manager / Trader, Equity Derivatives, Russell Investments
Presentation (PDF)

Correlations Between Stocks and Between Sectors

  • The historical evolution and interplay of volatility, correlation and dispersion across global markets
  • Price dispersion as a driver of risk and opportunity in factors, investment styles and indexes
  • Trading correlation across asset classes and how to leverage potential mis-pricing in the market

Tim Edwards, Director of Index Investment Strategy, S&P Dow Jones Indices
Presentation (PDF)

Chris Rodarte, Portfolio Manager, Pine River Capital Management
Presentation (PDF)

3:30 – 3:45pm

Session Break

3:45 – 5:00pm

Practical Implementation of Systematic Strategies: Presentation and Panel

  • Pros/cons of systematic strategies
  • Managing market risks and emotional barriers to reacting intelligently
  • Deciding how and when to change course

Moderator:

  • Alex Capez, Head of Quantitative Risk Strategies, Credit Suisse

Panelists:

  • Pierre de Saab, Portfolio Manager, Dominice & Company Asset Management
  • Oleg Lugovkin, Volatility Trader, Argentière Capital AG
  • Marc Perrigault, Portfolio Manager, Schroder Investment Management
  • Andrew Soper, Head of UK Investment Solutions Group Portfolio Management, State Street Global Advisors, Ltd.

Weeklys – Options and Futures That Expire on a Weekly Basis

  • Dynamics of how Weeklys differ from regular products
  • Special characteristics of VIX Weeklys
  • Utility of Weeklys for just-in-time hedging or roll-down trades

Spencer Cross, Head Index Volatility Trading, Deutsche Bank Securities Inc.
Dominic Salvino, VIX Specialist, Group One, LLC
Presentation (pdf)

7:15 – 8:15am

Breakfast

8:00 – 9:00am

The Consequences of Extraordinary Monetary Policy – An Historical Perspective on the Current Environment

Edward Chancellor, Financial Historian, Author and Investment Consultant – former member of GMO’s Asset Allocation team and columnist for Financial Times/Institutional Investor
Presentation (pdf)

9:00 – 9:30pm

Session Break

9:30 – 10:45am

Cross-Region and Cross-Asset Volatility Analysis for Investing and Hedging

  • How supply/demand imbalances impact equity volatility surfaces by region
  • Idiosyncrasies of equity, interest rate and FX volatility
  • Case studies showing performance over different regimes utilizing MSCI and other global indexes

Hitendra Varsani, Head of Quantitative and Derivative Strategies, Morgan Stanley
John Moffatt, Portfolio Manager, World Index Book, Capstone
Presentation (PDF)

Managing Tail Risks

The Evolution of Options and Futures Strategies on the Buyside Trading Desk

  • Who should hedge tail risks and is now the time?
  • Understanding equity risk management needs for different institutional investors
  • Past performance of various alternatives: de-risking, diversifying and hedging
  • Case studies on the design and implementation of active and systematic approaches

Julien Halfon, Principal – Financial Strategy Group, Mercer
Presentation (PDF)

Jean-Francois Bacmann, Portfolio Manager and Head of Volatility Strategies, Man AHL
Presentation (PDF)

10:45 – 11:00am

Session Break

11:00am – 12:15pm

Focus on Interest Rate Volatility

  • VIX versus TYVIX CBOE/CBOT 10-year U.S. Treasury Note Volatility Index: Similarities and differences
  • Comparing volatility risk premia in rates and equities
  • Cross asset trading between rates and equities using vanilla and hybrid products

Maneesh Deshpande, Managing Director and Head of Equity Derivatives Strategy, Barclays
David Rogal, Director and Portfolio Manager, BlackRock

Extracting Useful Information from Listed Option Prices

  • What do option markets say about potential events such as earnings and takeovers, expected dividends key announcements
  • How to discern differences between traditional equity valuations and volatility levels

Stacey Gilbert, Head of Derivatives Strategy, Susquehanna

Hedging with the VIX

  • Comparison of VIX calls vs. S&P puts
  • VIX call strike and maturity selection
  • Monetizing and rolling VIX hedges
  • VIX call spreads and other structures

Pravit Chintawongvanich, Head of Risk Strategy, Macro Risk Advisors
Presentation (PDF)

7:00 – 9:00pm

Buffet Dinner and Networking

The 2016 speakers
The event started on 26 September and ended on 28 September 2016.
Keynote Speaker
2015 sponsors
The event started on 28 September and ended on 30 September 2015.
Sponsors
Media Sponsors
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