CBOERMC Archives - CBOE Blogs

  • Market News | Jan 10, 2017, 4:21 PM

    33rd Annual CBOE RMC Set for March 8 - 10

    33rd Annual CBOE RMC Set for March 8 - 10

    As we turn to a New Year, we all look forward to certain things.  For me, near the top of that list is the spring edition of CBOE’s Risk Management Conference (CBOE RMC).  We now have three versions of RMC with the US version taking place in a warm weather venue each spring for the past 32 years.  The 33rd Annual CBOE RMC will be held in Dana Point, California at the Monarch Beach Resort from March 8th to March 10th.  Although historical information is never a guarantee[...]

  • VIX | Trader Talk | Education | Trade Ideas | Dec 1, 2016, 2:59 AM

    Volatility Panel Discussion at CBOE RMC

    Volatility Panel Discussion at CBOE RMC

    The final session at the 2nd Annual CBOE RMC Asia featured a panel discussion hosted by Steven Sears from Barrons.  The participants were: David Dredge from City Financial Investment Company Pte Ltd Richard Johnston from Albourne Partners (Asia) Limited Benoit Meulot from Nine Masts Capital Limited Laurent Poirot from GF Asset Management Some highlighted quotes from the panel – “For long volatility strategies you have to have some sort of management plan” “There is[...]

  • VIX | Trader Talk | Education | Strategy | Trade Ideas | Dec 1, 2016, 2:47 AM

    Long Volatility Discussion at CBOE RMC

    Long Volatility Discussion at CBOE RMC

    Govert Heijboer from True Partner Advisor and James Murray from NSW Treasury Corporation split the duties for a discussion titled Implementing Long Volatility Exposures for Hedging and Alpha today in Hong Kong. Murray led off by discussing risk management and the objectives of long volatility risk management strategies.  He noted that there is no free lunch when getting long volatility exposure and strategies are a trade-off between convexity, timing, basis and time decay.  A final thought[...]

  • VIX | Trader Talk | Education | Trade Ideas | Dec 1, 2016, 12:02 AM

    Short Volatility Strategies Discussed at CBOE RMC

    Short Volatility Strategies Discussed at CBOE RMC

    Tanuj Dutt, CFA from Nikko Asset Management and Selim Piot from Barclays Capital teamed up to deliver a session on Implementing Short Volatility Strategies at the 2nd Annual CBOE RMC in Hong Kong today. Piot led things off by discussing how short volatility strategies may be implemented.  He noted the diversification benefits of substituting a part of equity risk with short volatility exposure and followed that thought stating that a portfolio of short volatility across regions and different[...]

  • VIX | Trader Talk | Education | Trade Ideas | Nov 30, 2016, 11:32 PM

    Discussion of Market Dislocations at RMC Asia

    Discussion of Market Dislocations at RMC Asia

    The keynote speaker this morning for the 2nd Annual Risk Management Conference Asia was Rebecca Cheong who is Head of Americas Equity Derivatives Strategy for UBS Securities.  She also grew up in Hong Kong so this was a special treat for her as well as the attendees. Rebecca’s presentation was titled Cross-Asset Dislocations and Market Signal.  She started out discussing the difference between a true Cross-Asset Dislocation and a Temporary Dislocation.  A Temporary Dislocation[...]

  • Market News | Nov 30, 2016, 7:30 PM

    2016 CBOE Risk Management Conference Asia

    2016 CBOE Risk Management Conference Asia

    2016 CBOE Risk Management Conference Asia Options Hub Blog Edward Tilly Remarks Thursday, December 1, 2016 CEO Edward Tilly on CBOE Innovation and Bats Acquisition       Kicking off the start of Day Two of CBOE RMC Asia 2016 in Hong Kong, CBOE Holdings CEO Edward Tilly updated conference attendees on CBOE Holdings’ planned acquisition of Bats Global Markets and on CBOE’s ongoing development of new products, services and tools. Tilly noted that industry participants’[...]

  • Market News | Nov 30, 2016, 5:54 AM

    Asked at RMC - What's Implied from Implied Volatilities?

    Asked at RMC - What's Implied from Implied Volatilities?

    The final session on Day 1 of this year’s CBOE Risk Management Conference in Hong Kong posed the question, “What’s Implied from Implied Volatilities and Volatility Products?"  This session was a combination of talks from William Chan, Head of Asia Pacific Equity Derivatives Research for Bank of America Merrill Lynch and Tim Edwards, Senior Director of Index Investment Strategy for S&P Dow Jones Indices. Edwards kicked the session off by discussing VIX and noting that[...]

  • Market News | Education | Strategy | Trade Ideas | Nov 30, 2016, 1:12 AM

    Wide Variety of CBOE Benchmark Indexes Discussed at RMC

    Wide Variety of CBOE Benchmark Indexes Discussed at RMC

    Matt Moran and Bruce Traan, both from CBOE, delivered the second session at this year’s CBOE Risk Management Conference in Hong Kong.  Bruce kicked things off with a discussion titled “New Developments in Options and Volatility-Based Benchmarks”.  Matt followed with “Options and Volatility Based Benchmark Indexes”. Bruce noted that demand for passive investing is growing and smart-beta is the fastest growing segment of passive investing.  He highlighted[...]

  • Trader Talk | Education | Strategy | Trade Ideas | Nov 29, 2016, 11:49 PM

    Dan Passarelli Discusses Getting a Volatility Edge

    Dan Passarelli Discusses Getting a Volatility Edge

    The first presentation at the 2nd Annual Asian version of CBOE’s Risk Management Conference featured an informative tutorial from Dan Passarelli of Market Taker Mentoring.  Dan’s talk was titled Directional Options Strategies and Trade Management. He kicked things off with a quick review of the option greeks and then dove into directional strategies.  He emphasized that trades can start with a directional outlook, but there are other factors that come into play with respect[...]

  • Market News | Sep 30, 2016, 6:30 AM

    Panel on The Evolution of Options and Futures Strategies at RMC Europe

    Panel on The Evolution of Options and Futures Strategies at RMC Europe

    Andy Nybo from Tabb Group delivered a presentation and then headed a panel discussion on The Evolution of Options and Futures Strategies on the Buyside Trading Desk at CBOE’s RMC Conference Wednesday.  The panelists that followed Nybo’s presentation were: Jared Dubin, Head of Systematic Strategy Research, LMR Partners John Fennell, Executive Vice President, Financial Risk Management, The Options Clearing Corporation Patrick A. Luongo, head of AES Options Sales, Credit Suisse Alex[...]

  • Market News | Sep 30, 2016, 4:42 AM

    Discussion on Improving Trading Using Correlation Information at RMC

    Discussion on Improving Trading Using Correlation Information at RMC

    Three presenters worked together on a presentation that asks the question, Can We Improve Trading Using Correlation Information?  Kokou Agbo-Blou from Societe Generale, Neale Jackson of 36 South Capital Advisors, and Trung-Tu Nguyen of Capital Fund Management all divided duties to answer this question. Each speaker took on various parts of the presentation relating to their individual expertise.  The presentation discussed the difference between long-term correlations and short-term correlations. [...]

  • Market News | Sep 29, 2016, 3:30 PM

    Chris Cole's Keynote Address on Volatility at CBOE RMC Europe

    Chris Cole's Keynote Address on Volatility at CBOE RMC Europe

    Christopher Cole who is a Managing Partner at Artemis Capital Management kicked off the final day of the 5th Annual European of CBOE’s Risk Management Conference.  He gave his view of the current market environment while also framing the discussion around a paper he authored, Volatility and the Allegory of the Prisoner’s Dilemma.  A PDF of that paper may be found here – Cole Volatility paper I was fortunate enough to see Chris speak on this paper in the past.  Although[...]

  • Market News | Sep 29, 2016, 1:21 PM

    Session Focusing on European Market Volatility at RMC

    Session Focusing on European Market Volatility at RMC

    For the final presentation of the second day at CBOE RMC Europe, Abhinandan Deb from Bank of America Merrill Lynch and Michael Stephens from Pioneer Investment Management split duties to discuss Global Volatility Trading Opportunities with a Focus on Europe. Their talk spent some time discussing the fallout from Brexit and potential market fragmentation risk along with geopolitical and central bank risk.  They also discussed the impact of structural investor flows and strategies to gain alpha[...]

  • Market News | Sep 28, 2016, 11:55 AM

    Presentation at CBOE RMC on Hedging with VIX Options

    Presentation at CBOE RMC on Hedging with VIX Options

    Rocky Fishman, Equity Derivatives Strategist from Deutsche Bank Securities and Andrew Warwick, Managing Director from Blackrock teamed up to discuss Hedging with VIX Option at CBOE’s Risk Management Conference in Ireland Tuesday. They focused on evaluating VIX option strategies, not just from implementation to expiration, but also looking at the behavior of positions over a multi-week period.  A comparison was made between SPX and VIX option hedging as well as looking at when it may be[...]

  • Market News | Education | Sep 28, 2016, 4:25 AM

    New Paper by Fund Evaluation Group Analyzes CBOE Russell Benchmark Index Suite with Strong Performance by PUTR Index

    New Paper by Fund Evaluation Group Analyzes CBOE Russell Benchmark Index Suite with Strong Performance by PUTR Index

    This week a new paper by Fund Evaluation Group (FEG) --  Evaluating Options For Enhanced Risk-Adjusted Returns: CBOE Russell 2000 Option Benchmark Suite and Case Studies on Fund Use of Options (2016) - was released and presented at the Fifth Annual CBOE Risk Management Conference (RMC) Europe. A link to the new 18-page paper is at www.cboe.com/benchmarks, and below in this blog are 6 of the 30 exhibits in the paper. DESCRIPTIONS OF INDEXES ANALYZED PUTR INDEX HAD HIGHEST GROWTH PUTR[...]