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2016 RMC EUROPE COVERAGE

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2017 AGENDA & Highlights
The event started on 11 September and ended on 13 September 2016.

11:00 – 5:30pm

Conference Registration - Amber Suites Reception

12:30 – 1:45pm

New Developments in Options and Volatility-Based Benchmarks and Volatility Indicators

  • Reserarch on BuyWrite and PutWrite benchmark indexes that use S&P 500 or Russell 2000 options
  • Design and utility of indicators that measure volatility, skew and implied correlation
  • Using benchmarks and indicators as trading signals in systematic investment strategies
  • Practical considerations of implementing options-based strategy benchmarks in ETPs and Mutual Funds

Tim Edwards, Ph.D., Senior Director of Index Investment Strategy, S&P Dow Jones Indices
William Speth, Vice President, Research and Product Development Cboe
William Speth Presentation (pdf)

1:45 – 2:00pm

Session Break

2:00 – 3:15pm

Timing Considerations for Short Volatility Strategies

  • Timing & frequency of trading options and delta hedges
  • Equity volatility risk premia strategies across regions
  • Passive vs. active approaches
  • Managing drawdowns in market stress

Luke Browne, Head of Investment Specialists, UBS Investment Solutions
Natasha Jhunjhunwala, Executive Director, Equity Derivatives Structuring, Goldman Sachs

3:15 – 3:30pm

Coffee Break

3:30 – 4:45pm

Implementing Volatility Strategies within Institutional Portfolios

  • Why are fund sponsors considering allocations to volatility based strategy?
  • A discussion on the topic of where an allocation to volatility 'fits' in a portfolio
  • Volatility implementation choices: funded versus unfunded; leveraged versus unleveraged; separate account versus commingled vechicle; active versus passive
  • Getting 'buy-in' on a volatility allocation from key decision makers

Moderator/Presenter:

Jack Hansen, Chief Investment Officer, Parametric-Minneapolis Investment Center

Panelists:

6:00 – 8:30pm

Opening Reception with Cocktails and Dinner - Cedar Ballroom

7:30 – 8:30am

Buffet Breakfast (breakfast at The Grove is included in the Group Room Rate. Join us in the Glass House restaurant).

8:30 – 9:00am

Welcome and Cboe Update

Chris Concannon, President & Chief Operating Officer, Cboe Holdings, Inc.

9:00 – 10:00am

Keynote Speaker

Zanny Minton Beddoes, Editor-in-chief of The Economist
"What's Next? Making Sense of a Global Economy"

10:00 – 10:30am

Coffee Break

10:30 – 11:30am

The Current Volatility Environment: Impact of Fundamentals and Flows

11:30 – 1:00pm

Lunch and Networking - The Walled Garden

1:00 – 2:00pm

Volatility: Harvest Premia or Hedge Risk?

Moderator:

  • Abhinandan Deb, Managing Director, Head of Quantitative Investment Strategies & EMEA Equity Derivatives Research, Bank of America Merrill Lynch

Panelists:

2:00 – 2:15pm

Session Break

2:15 – 3:30pm

TRACK A - Amber Suite 2

How to Hedge Cross-Asset Portfolios with Risk Transfer

Kokou Agbo-Bloua, Managing Director, Global Head of Flow Strategy & Solutions, Société Générale'
Natasha Sibley, Portfolio Manager, Henderson Global Investors
Kokou Agbo-Bloua & Natasha Sibley Presentation (pdf)

TRACK B - Amber Suite 5

Panel on Market Structure for Equity, Equity-Related Options and Volatility Products, and FX

Moderator:

Panelists:

  • Bryan Christian, SVP, Head of US Sales, Bats Global Markets, Cboe Holdings
  • Eric Frait, Vice President, Business Analysis, Cboe/CFE, Cboe Holdings
  • Mark Hemsley, CEO, Bats Europe, Cboe Holdings
  • Paul Millward, Head of FX Product Strategy, Hotspot, a Cboe Company

3:30 – 3:45pm

Coffee Break

3:45 – 5:00pm

TRACK A - Amber Suite 2

Designer Dispersion - Identifying Optimised Risk Premium

  • Dispersion trades for extracting risk adjusted value, distinct from and competitive with index volatility risk premium
  • Performance drivers of dispersion under volatility regimes
  • Designer dispersion, using optimized 'statistical'a and 'thematic' approaches
  • Views on systematic/quant approaches vs more fundamental/tactical approaches

Riddhi Prasad, Equity Derivatives Strategist, Deutsche Bank London
Arne Staal, Head of Multi-Asset Quantitative Strategies, Global Absolute Return Strategies, Standard Life Investments

TRACK B - Amber Suite

The Evolving Dynamics of VIX Futures

  • Understanding the dynamics of VIX Futures and their correlations with VIX and SPX
  • How have dynamics changed over the past few years given changes in supply and demand in volatility?
  • Impacts on systematic alpha and hedging strategies

Alex Orus, Founder and Partner, Principalium Capital AG
Alex Orus Presentation (pdf)
Erkki Silde, Ph.D., Quantitative Portfolio Manager, Independent View B.V.
Erkki Silde Presentation (pdf)

7:15 – 8:00am

Breakfast (breakfast at The Grove is included in the Group Room Rate. Join us in the Glass House restaurant).

8:00 – 9:00am

Panel on Long and Relative Value Volatility Trading and Tail Risk

Moderator:

Paul Leech, Managing Director, Equity Derivatives Trading, JP Morgan

Panelists:

  • David Dredge, CIO, Convex Strategies, City Financial Investment Company Pte
  • Oleg Lugovkin, Portfolio Manager, Argentière Capital AG
  • Chris Rodarte, Portfolio Manager, Pine River Capital Management
  • Pierre de Saab, Dominice & Co. Asset Management

9:00 – 9:15pm

Session Break

9:15 – 10:30am

TRACK A - Amber Suite 2

Design and Trading of US and European Volatility-Related ETPs

  • Global volatility ETP landscape
  • A framework for thinking about price evolution and relative value within volatility ETPs
  • Volatility ETP design and potential historical implications

Nick Cherney, CFA, Senior Vice President, Head of Exchange Trade Products, Janus Henderson Investors
Pete Clarke, Global Head of Equity Derivatives Strategy, UBS

TRACK B - Amber Suite 5

Panel on Sourcing Liquidity in Index Optiosn Markets

Moderator

Panelists:

10:30 – 11:00am

Coffee Break

11:00am – 12:15pm

Sell Low, Buy Lower? Volatility Premia Harvesting in Low Volatility Regimes

  • Trade-offs of making vol risk premium strategies smarter
  • Sizing, mean reversion and more
  • How long in the tooth is this regime?

Abhinandan Deb, Managing Director, Head of Quantitative Investment Strategies & EMEA Equity Derivatives Research, Bank of America Merrill Lynch
Nils Lodberg, Head of Equities, SEB Pension

12:15pm 

End of Conference Sessions

1:00pm 

Golf Tournament at The Grove (pre-registration and payment is required)

7:00 – 9:00pm

Buffet Dinner - The Potting Shed

The 2016 speakers
The event started on 26 September and ended on 28 September 2016.
Keynote Speaker
2017 sponsors
The event started on 11 September and ended on 13 September 2016.
GOLD Sponsor
Silver Sponsors
General Sponsors
​ExhibitorS
Media Sponsors
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