Posted: 1/31/17
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Posted: 1/31/17
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Note that due to concerns over the Coronavirus we have decided that cancelling the 2020 RMC Europe is the right thing to do. We did not make this decision lightly, but the health and well-being of our customers, colleagues and associates is our top priority. We look forward to hosting RMC Europe again in the fall of 2021.


Save the date for
2018 Europe
12-14 Sept 2018
Powerscourt Hotel, IRE
REGISTRATION for 2019 Is Closed
registration is closed

The schedule below is for planning purposes. The agenda and speakers will be posted here when confirmed. Check back for updates!

For reference, view the 2017 CBOE RMC U.S. Agenda or the 2016 CBOE RMC Europe Agenda.

Previous DayNext Day

11:00am - 6:30pm
11:00 - 11:30am

Conference Registration opens
Light, stand up lunch - Sponsored by S&P Dow Jones Indices

11:30am - 12:00pm

Interpreting and Navigating Volatility-Based Benchmarks and Indicators

  • Structural and supply/demand-based drivers of VIX and related instruments

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

12:00 - 12:15pm

Session Break

12:15 - 1:15pm

How to Benchmark Option Strategies for Institutions and Consultants and How 40-Act Funds are using Options to Achieve Multiple Goals

Chris Hausman, CMT, Portfolio Manager and Managing Director-Risk, Swan Global
Chris Hausman Presentation

Derek Devens, CFA, Managing Director and Senior Portfolio Manager, Neuberger
Derek Devens Presentation

1:15 - 1:30pm

Session Break

1:30 - 2:30pm

Bank/Fund Partnerships: How Does Risk Transfer Work & What Are The Main Opportunities For Both Counterparties?

Moderator: Antoine Garaialde, Executive Director, Structuring Team, J.P. Morgan Chase

Dr. Bernhard Brunner, Partner, finccam GmbH

Yann Le Her, Partner, Senior Portfolio Manager, La Francais Global Investment Solutions

Achim Motamedi, CEO, TAO Alternatives GmbH

Imran Hasnain, Partner and Portfolio Manager, CQS

2:30 - 2:45pm

Coffee Break - Sponsored by Bank of America Merrill Lynch

2:45 - 3:45pm

Different Approaches for Options Pricing

Moderator: Gordon Harpur, Structurer, Schroders

Dan Blum, Head of European Equity Index Derivatives Trading, UBS

Ousmane Diop, Senior Equity Derivatives Trader, J.P. Morgan

Sebastien Faucheur, Head of Index Volatility Trading, Societe Generale

Alex Fisher, Trader, Optiver

3:45 - 4:00pm

Session Break

4:00 - 5:00pm

Active Systematic Investing

  • Using experience from cross asset volatility programmes
  • How strategies need to adapt over time
  • PM's role in active selection and deployment

Dr. Jens Kroeske, Head of Macro Systematic Strategies Research, Aberdeen Standard Investments
Dr. Jens Kroeske Presentation

5:00 - 5:15pm

Session Break

5:15 - 6:15pm

The Role of Short Volatility Strategies in Institutional Portfolios

Martin Luehrmann, Head of Systematic Volatility Strategies, Goldman Sachs

Antti Suhonen, Professor of Practice in Finance, Aalto University School of Business, Helsinki

6:30 - 9:00pm

Welcome Reception: Cocktails and Dinner- Wine Bar Sponsored by IMC and Whiskey Bar Sponsored by Optiver

8:00 - 9:00am

Breakfast in the Lonely Broccoli restaurant (breakfast is included in the Group room rate at Andaz Hotel for those staying at the Hotel).

9:00 - 9:15am

Welcome and Cboe Update

Edward Tilly, Chairman, Chief Executive Officer and President, Cboe Global Markets

9:15 - 10:15am

Keynote Speaker

Philip Hammond, Member of Parliament, Former Chancellor of the Exchequer

10:15 - 10:30am

Coffee Break- Sponsored by Societe Generale

10:30 - 11:30am

Equity Volatility in Multi-Asset Portfolios: Past, Present and Future

Moderator: Kokou Agbo-Bloua, Managing Director, Global Head of Flow Strategy Solutions, Societe Generale


Tim Armitage, CFA, Quantitative Strategist-Asset Allocation,  Legal & General Investment Management

Patrick Bartholet, Strategist, Aviva Investors

Adam C. Rudd, CFA, Investment Director, Aberdeen Standard Investments Inc

11:30 - 1:00pm

Lunch and networking, The Lonely Broccoli - Sponsored by J.P. Morgan

1:00 - 1:30pm

Changes in Margin and Capital Requirements that Will Affect You

  • Options Clearing Corporation ("OCC") update on important changes
  • Understanding the new Renaissance system

John P. Davidson, Chief Executive Officer, OCC
John P. Davidson Presentation

1:30- 1:45pm

Session Break

1:45 - 2:30pm

Systematic Long Volatility

  • Techniques for amelioration of empirical delta
  • Disaggregation of volatility and equity risk-premia
  • Practical strategy implementation, analysis and attribution

Mark Richardson, Portfolio Manager, Janus Henderson

2:30 - 3:00pm

Coffee Break - Sponsored by Goldman Sachs

3:00 - 4:00pm

Systematic Options Strategies: Portfolio Positioning, Benchmarking, and Implementation

  • Advantages of an allocation to options-based strategies for Institutions
  • Where does an options-based strategy fit within an institutional portfolio?
  • Benchmarking and manager performance evaluation
  • Fully-funded vs. overlay strategies

Moderator: Mandy Xu, Chief Equity Derivatives Strategist, Credit Suisse Securities

Yanko Punchev, CFA, FRM, Portfolio Manager, TECTA Invest GmbH

Michael Wolfram, CAIA, FRM, Director, bfinance

Alex Zweber, CFA, Institutional Portfolio Manager, Eaton Vance

4:00 - 4:15pm

Session Break

4:15 - 5:15pm

Volatility and Global Macro: Looking Beyond the Trade War

Bhanu Baweja, Global Head of Cross Asset Strategy, UBS Investment Bank

5:30 - 7:00pm

Cocktail reception, M'UNIQO, Andaz 12th floor - Wine Bar Sponsored by SIG

8:00 - 9:00am

Breakfast in The Lonely Broccoli
(breakfast is included in the Group room rate for those staying at Andaz Hotel)

9:00 – 9:30am

Sourcing Liquidity and Tailoring Your Strategies

Hitendra Varsani, Executive Director, Index Research, MSCI Inc.

9:30 - 9:45am

Session Break

9:45 - 10:30am

VIX Replication in a Short Volatility World

Hari P. Krishnan, Portfolio Manager, Doherty Advisors
Hari P. Krishnan Presentation

10:30 - 11:00am

Coffee Break - Sponsored by FT Options

11:00 - 12:00pm

Limitations to VIX, How Low Can It Go and Looking at Intraday Variance

Dr. Mikhail Krayzler, Director, Portfolio Manager, Allianz Global Investors

Stefan Wintner, Vice President, DUNN Capital
Stefan Wintner Presentation

12:00 - 1:00pm

Small Cap Index Constitution and Use Cases

  • Russell 2000 focus - fundamental knowledge, unique characteristics
  • Performance vs other benchmarks
  • RUT volatility compared, arbitrage and trade ideas
  • Cross-asset opportunities

Rolf Agather, Managing Director, North American Research, FTSE Russell Indexes
Rolf Agather Presentation

Doug Kramer, Managing Director, Neuberger Berman
Doug Kramer Presentation

1:15 pm

End of Conference

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