CBOERMC Archives - CBOE Blogs

  • Market News | Sep 27, 2016, 2:02 PM

    Discussions Focusing on Short Volatility Strategies Today at RMC

    Discussions Focusing on Short Volatility Strategies Today at RMC

    Stephen Crewe from Fulcrum Asset management and Dhvani Gupta from Barclays shared the presentation duties during a session titled Implementing Systematic Short Volatility Strategies at the 5th Annual European CBOE RMC this afternoon. Dhvani Gupta started things off noting that the SPX Implied – Realized Volatility Premium has averaged 4.3% since January 1990 through present.  She noted that short volatility exposure has benefits beyond traditional diversification techniques so she suggests[...]

  • Market News | Sep 27, 2016, 1:04 PM

    Long Volatility Alternatives Discussed at RMC

    Long Volatility Alternatives Discussed at RMC

    Daniel Danon from Assenagon Asset management and Nicolas Vanhoutteghem from Argentiere Capital teamed up for a discussion around Implementing Long Volatility Exposures at CBOE RMC in Ireland this afternoon. Danon kicked things off with a discussion centering around creating an affordable volatility exposure.  This is a topic that we could probably have a single full day conference discussing as the flexibility around how to gain long volatility exposure without suffering the costs often associated[...]

  • Market News | Sep 27, 2016, 9:23 AM

    Panel Discussion on Volatility Based Investment Strategies at RMC

    Panel Discussion on Volatility Based Investment Strategies at RMC

    The first afternoon session at CBOE RMC Europe was a discussion titled Panel on Volatility-Based Investment Strategies.  The panel moderator was Chris Limbach, Managing Director Investments, PGGM Institutional Business.  The panelists were: Uri Geller, Co-Founder and CIO, Granite M.S.A LTD Roy Hoevenaars, PhD, Portfolio Manager, Blenheim Capital Management Fergus Taylor, Portfolio Manager, Arrowgrass Capital Partners Brendan Walsh, Multi Asset Fund Manager, Aviva Investors Global Services Some[...]

  • Market News | Sep 27, 2016, 8:49 AM

    Cross Asset Dislocations and Market Signals Presentation at RMC

    Cross Asset Dislocations and Market Signals Presentation at RMC

    Rebecca Cheong from UBS led a discussion titled Cross Asset Dislocations and Market Signals.  She also was the first of our presenters to utilize our instant poll app during her presentation.  More on that in a moment… Rebecca’s presentation was divided into three sections.  She initially covered market dislocations noting that some are temporary and others are structural, with the latter often lasting longer.  An example that we are probably all familiar with is the[...]

  • Market News | Sep 26, 2016, 3:35 PM

    Panel Discussion on Institutional Liabilities and Option Strategies

    Panel Discussion on Institutional Liabilities and Option Strategies

    The final session at CBOE’s Risk Management Conference in Europe today was a panel discussion that was titled Real Money:  Institutional Liabilities and How Options Strategies Can Help.  The moderator was Abhinandan Deb, Head of European Equity Derivatives Research, Bank of America Merrill Lynch.  The panelists were: Jon Havice, President and Chief Investment Officer, DGV Solutions Michael Holliger, Portfolio Manager, Swiss Life Asset Management AG Dan Mikulskis, Head of DB[...]

  • Market News | Sep 26, 2016, 2:25 PM

    Presentation on Volatility Risk Premia at RMC Today

    Presentation on Volatility Risk Premia at RMC Today

    The second presentation on the first day of RMC featured a discussion titled Constructing / Deconstructing Volatility Risk Premia Strategies delivered by Roni Israelov from AQR Capital Management.  This presentation centered around an article that appeared in the Financial Analysts Journal in 2015 titled Covered Calls Uncovered which may be found at www.aqr.com/library/journal-articles/covered-calls-uncovered This presentation started out with a discussion of Covered Calls with the CBOE S&P[...]

  • Market News | Sep 26, 2016, 1:25 PM

    RMC Presentation by Bill Speth and Matt Moran from CBOE

    RMC Presentation by Bill Speth and Matt Moran from CBOE

    The first session that kicked off the 5th Annual European version of CBOE’s Risk Management Conference involved a discussion titled New Developments in Options and Volatility-Based Benchmarks delivered by Bill Speth and Matt Moran. Bill kicked things off talking about some current and pending strategy based indexes created by CBOE.  The indexes discussed were: CBOE Russell 2000 Conditional BuyWrite Index CBOE S&P 500 Smile Index CBOE S&P 500 Buffer Protect Strategy Series CBOE[...]

  • Trader Talk | Aug 3, 2016, 9:45 AM

    Agenda for Fifth Annual CBOE RMC Europe on 26 – 28 September

    Agenda for Fifth Annual CBOE RMC Europe on 26 – 28 September

      The agenda for the Fifth Annual CBOE RMC Europe is available at http://www.cboermceurope.com/. The conference will be held Monday through Wednesday, September 26 - 28, 2016, at the Powerscourt Hotel<http://www.cboermceurope.com/hotel--travel.html>, County Wicklow, Ireland. 33 SPEAKERS Jim VandeHei<http://www.cboermceurope.com/keynote-speaker.html>, Co-founder of POLITICO, will be a keynote speaker, delivering insights and predictions for the U.S. Presidential election. Here is[...]

  • Education | Jun 29, 2016, 1:14 PM

    CBOE RMC Europe Keynote Address Speaker Announced

    CBOE RMC Europe Keynote Address Speaker Announced

    Independence Day is just around the corner which means I’m starting to look forward to my Fall travel schedule. Two of the things I get to do (I say this as I consider it a great perk of my job) is attend CBOE’s Risk Management conferences in Europe and Asia. The European version is scheduled for September 26 – 28 when we return to the Powerscourt Hotel in County Wicklow outside of Dublin Ireland. Today I learned that the keynote speaker will be Jim VandeHei who was a co-founder[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Mar 2, 2016, 9:08 PM

    CBOE RMC Day 3 Recap

    CBOE RMC Day 3 Recap

    The final day began at CBOE’s Risk Management Conference with a very timely address from Jim VandeHei President and CEO of POLITICO.  He offered extensive insight into the current presidential race and this was a timely presentation considering yesterday was Super Tuesday.  An interview with VandeHei appears at the CBOE RMC Video Highlights Page. There were two tracks today, one focusing on directional trading and the other focusing on volatility. The first directionally oriented[...]

  • Market News | VIX | Trader Talk | Education | Futures | Strategy | Trade Ideas | Mar 2, 2016, 5:29 PM

    Cross-Region Volatility Analysis for Investing and Hedging

    Cross-Region Volatility Analysis for Investing and Hedging

    The final presentation at CBOE’s Risk Management Conference in Bonita Springs, FL was a discussion of Cross-Region Volatility Analysis for Investing and Hedging.  Vishnu Kurella, Portfolio Manager at Caxton Associates and Ramon Verastegui, Managing Director, Head of Flow Strategy & Solutions Americas for Societe Generale.  Both are favorite presenters at RMC and drew a very large crowd. Their presentation covered a variety of important topics such as how natural derivative flows[...]

  • Market News | Trader Talk | Trade Ideas | Mar 2, 2016, 10:54 AM

    Directional Options Trading and Strategy Discussion at CBOE RMC

    Directional Options Trading and Strategy Discussion at CBOE RMC

    // One of the final presentations of this year’s CBOE RMC discussed Directional Options Trading and Strategy – How to Effectively Manage a Directional Options Portfolio.  Ilya Feygin, Managing Director / Senior Strategist from WallachBeth Capital LLC and Michael Khouw Chief Strategist from Tradelegs and President of Optimize Advisors shared the presentation dutes. Feygin began listing five things to focus[...]

  • Market News | VIX | Trader Talk | Futures | Mar 2, 2016, 10:12 AM

    The Evolving Dynamics of VIX Futures Discussed at CBOE RMC

    The Evolving Dynamics of VIX Futures Discussed at CBOE RMC

    // Maneesh Deshpande and Samuel Vazquez Ph.D. teamed up at RMC for a presentation titled The Evolving Dynamics of VIX Futures.  Deshpande is a Managing Director and Head of Americas Equity Derivatives Strategy at Barclays and Vazquez is a Vice President and Quant Strategist from Capstone Investment Advisors. Deshpande started things off discussing the VIX Term Structure noting contango is more common than backwardation. [...]

  • Market News | Trader Talk | Education | Futures | Trade Ideas | Mar 2, 2016, 9:13 AM

    CBOE RMC - Using Correlation to Enhance Directional Trading

    CBOE RMC - Using Correlation to Enhance Directional Trading

    // Ryan McRandal, Portfolio Manager from One River Asset Management and Nitin Saksena head of US Equity Derivatives Research at Bank of America Merrill Lynch teamed up for a discussion titled How to Improve Directional Trading Using Correlation Information. Saksena started things off noting that even highly correlated markets may diverge in performance over time.  One example of this is the S&P 500 and Emerging Markets[...]

  • Market News | VIX | Trader Talk | Education | Strategy | Trade Ideas | Mar 1, 2016, 8:30 PM

    CBOE RMC Day 2 Recap

    CBOE RMC Day 2 Recap

    When you attend a conference like CBOE Risk Management you hope to have the opportunity to hear a variety of speakers.  This has always been true for RMC.  However, there are usually market themes that persist from presentation to presentation.  For instance at RMC in Europe a few months ago there was a lot of discussion about the markets moving to a higher volatility regime.  What is interesting about this conference is that the variety of market outlooks matches the variety[...]