CBOERMC Archives - Cboe Blogs

  • Technical Analysis & Charts | Strategy | Oct 1, 2015, 11:35 AM

    Interest Rate Volatility and TYVIX Discussed at RMC Europe

    Interest Rate Volatility and TYVIX Discussed at RMC Europe

    On Wednesday, September 30, in Geneva, Switzerland at the Fourth Annual CBOE Risk Management Conference (RMC) Europe, two experts – (1) Maneesh Deshpande, Managing Director and Head of Equity Derivatives Strategy, Barclays, and (2) David Rogal, Director and Portfolio Manager, BlackRock-- engaged in a discussion of - 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[...]

  • Market News | Sep 30, 2015, 5:13 AM

    Hedging With VIX Discussion at RMC

    Hedging With VIX Discussion at RMC

    The final presentation I attended at this year’s Risk Management Conference discussed Hedging with VIX.  Pravit Chintawongvanich, Head of Risk Strategy at Macro Risk Advisors covered different methods of hedging a portfolio using VIX. Pravit began listing several questions that should be addressed to determine what will be the ‘best hedge’.   Examples of these questions include what type of sell-off are we concerned about or what is the potential timing of this move. He[...]

  • Market News | Sep 30, 2015, 4:37 AM

    Presentations in Geneva on Managing Tail Risks

    Presentations in Geneva on Managing Tail Risks

    Seven years ago several major stock indexes and commodity indexes suffered drawdowns of more than 50%, and since then there has been increased investor interest in managing tail risks. On Wednesday, September 30, in Geneva, Switzerland at the Fourth Annual CBOE Risk Management Conference (RMC) Europe, two experts – (1) Julien Halfon, Principal - Financial Strategy Group, Mercer, and (2) Jean-Francois Bacmann, Portfolio Manager and Head of Volatility Strategies, Man AHL—delivered presentations[...]

  • Market News | Sep 30, 2015, 3:43 AM

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

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

    During the second session on Day 3 at CBOE’s Risk Management Hitendra Varsani, Head of Quantitative and Derivative Strategies from Morgan Stanley teamed up with John Moffatt, Portfolio Manager of the World Index Book from Capstone to discuss Cross-Region and Cross-Asset Volatility Analysis for Investing and Hedging. Varsani began the session discussing the history of options noting the first option trading we know of involved the philosopher Thales in ancient Greece.  He cornered the olive[...]

  • Market News | Sep 30, 2015, 2:27 AM

    Financial Historian Edward Chancellor Address at RMC

    Financial Historian Edward Chancellor Address at RMC

    As a big fan of the history of the financial markets I was excited to see Edward Chancellor as the first speaker on the last day of this year’s Risk Management Conference.  His talk was titled The Consequences of Extraordinary Monetary Policy:  An Historical Perspective on the Current Environment.   When Paul Stephens introduced Chancellor he said he felt it would be useful to have a financial historian speak at RMC.  I agreed when he said that and believe it even more[...]

  • Market News | Sep 30, 2015, 12:33 AM

    More Precision with SPX and VIX Weeklys – Discussion at RMC Europe

    More Precision with SPX and VIX Weeklys – Discussion at RMC Europe

    During the first three decades of listed options trading (1973 – 2003) most exchange-listed options in the US (except FLEX options) had expirations on or near the third Friday of the month. In the past decade S&P 500® Weekly options (SPXW) offered near-term expirations on Fridays other than the third Friday standard expirations. In 2015 new Weekly futures and options on the CBOE Volatility Index® (VIX®) are being introduced. On Tuesday, September 29, at the Fourth Annual[...]

  • Market News | Sep 29, 2015, 12:59 PM

    CBOE RMC Europe Day 2 Recap

    CBOE RMC Europe Day 2 Recap

    As always the second day of RMC was the busiest and most informative day of the conference.  A brief overview of today’s session along with links to summary blogs appears below. The day begins with a welcome address from Ed Provost, President and COO of CBOE Holdings.  Ed discussed extended trading hours as well as noting that in just over a week (October 8th) CBOE will begin listing VIX Weeklys Options.  Finally he announced CBOE will be listing options on additional FTSE-Russell[...]

  • Market News | Sep 29, 2015, 10:00 AM

    Practical Implementation of Systematic Strategies

    Practical Implementation of Systematic Strategies

    One of the final sessions of the day was a combination of a presentation and then a panel discussion.  Alexandre Capez from Credit Suisse started things off with a discussion titled Practical Implementation of Systematic Strategies.  He noted there are four sources of alpha that may be derived from volatility.  First, traders may take advantage of the expensiveness of implied versus realized volatility.  Second, term structure / roll down strategies.  Third, there are methods[...]

  • Market News | Sep 29, 2015, 8:45 AM

    Fixed-strike Options Strategies and Volatility Risk Premium Discussed in Switzerland

    Fixed-strike Options Strategies and Volatility Risk Premium Discussed in Switzerland

    On Tuesday, September 29, in Switzerland at the Fourth Annual CBOE Risk Management Conference (RMC) Europe http://www.cboermceurope.com, two experts – (1) Maneesh Deshpande, Managing Director and Head of Equity Derivatives Strategy, Barclays, and (2) Scott Maidel, Senior Portfolio Manager / Trader, Equity Derivatives, Russell Investments -- engaged in a discussion of - Vanilla But Not Boring: Fixed Strike Option Strategies Volatility Risk Premia (VRP) alpha, equity replacement and overlay[...]

  • Market News | Sep 29, 2015, 8:24 AM

    Correlations Between Stocks and Between Sectors

    Correlations Between Stocks and Between Sectors

    Chris Rodarte from Pine River Capital Management and Tim Edwards from S&P Dow Jones Indicies teamed up for a discussion of Correlations Between Stocks and Between Sectors at CBOE’s Risk Management Conference in Geneva Switzerland. Edwards kicked things off with an overview of the history of correlation in some major markets and noting the strong relationship between correlation and volatility.  He noted that volatility moves up when markets are correlated, but at times the magnitude[...]

  • Market News | VIX | Blogging Options | Sep 29, 2015, 7:45 AM

    From RMC Europe: CBOE President and COO Edward Provost on CBOE’s New Initiatives      

    From RMC Europe: CBOE President and COO Edward Provost on CBOE’s New Initiatives      

    CBOE President and COO Edward Provost began Day Two of CBOE RMC Europe in Switzerland with a global perspective, highlighting CBOE updates that will create new opportunities for international traders. Provost called it “gratifying” to open with a VIX product update, noting that some of the earliest adopters in VIX futures and options trading were in Geneva and Zurich. By working with customers, including RMC Europe attendees, CBOE has been able to create a volatility product that more[...]

  • Market News | Sep 29, 2015, 7:19 AM

    Panel on Trends in Institutional Options and Volatility Product Usage

    Panel on Trends in Institutional Options and Volatility Product Usage

    The first session after lunch today at the CBOE Risk Management Conference in Geneva featured a panel discussion about Institutional Option and Volatility Product Usage.  The panel was moderated by Chris Limbach, Head of Fiduciary Advice, PGGM Institutional Business.  The participants were – Jerome Berset, Head of Hedge Funds Research at EFG Asset Management Kevin Duggan, Vice President of Equity Products, Ontario Teacher’s Pension Plan Christoph Gort, Partner, SIGLO Capital[...]

  • Market News | Sep 29, 2015, 4:42 AM

    More Value in Long Dated Options Than Meets the Eye Presentation at RMC

    More Value in Long Dated Options Than Meets the Eye Presentation at RMC

    Kokou Agbo-Bloua, Managing Director, Global Head of Flow Strategy & Solutions from Societe Generale spoke about uses for longer dated options today at CBOE’s Risk Management Conference in Switzerland. His session was titled, More Value to Long-Dated Options than Meets the Eye. I was particularly interested to hear his talk since shorter dated options seem to be getting all the attention these days. The talk began noting that when comparing long-dated and short-dated options there are distinct[...]

  • Market News | Sep 29, 2015, 3:36 AM

    Paul Donovan Global Economist from UBS Keynote Address at RMC

    Paul Donovan Global Economist from UBS Keynote Address at RMC

    Paul Donovan, the Global Economist from UBS delivered a speech titled, “As good as it gets?” to start the day in Geneva for the European version of CBOE’s RMC Conference today. Donovan began his session talking about the US economy which he says is relatively strong. He notes that the labor market in the US is seeing an increase in pay for semi-skilled labor which is about 40% of the labor in the US. He notes that 30% of the labor force in the US can be defined as unskilled labor[...]

  • Market News | Sep 28, 2015, 11:49 AM

    CBOE RMC Europe Day 1 Recap

    CBOE RMC Europe Day 1 Recap

    The first day of Risk Management Europe is in the history books.  Today was more like a half day, starting at 12:30 and running to 4:30, but in that short period of time we heard from four individual speakers as well as a lively panel discussion. Bill Speth from CBOE kicked things off discussing the suite of strategy indexes that are offered by CBOE.  Most traders are familiar with the CBOE S&P 500 BuyWrite Index (BXM) which depicts the performance of a consistent covered call strategy[...]