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 Indexes by the end of 2015.
Paul Donovan, the Global Economist from UBS follows the welcoming address delivering a presentation titled, “It may be new but it’s not that normal: global economics in the 21st century”. Donovan is as informative as he is interesting to listen to as he manages to work humor into what can be a pretty dry topic (economics).
The morning series of presentations ends with Kokou Agbo-Bloua from Societe Generale discussing long dated options with a presentation appropriately titled, “More Value to Long-Dated Options than Meets the Eye”. I found his take on the differences between short dated and long dated options quite interesting. I also was surprised at the difference in the very long dated (8 years) term structure of Euro Stoxx 50 and S&P 500 Options.
The afternoon sessions kick off with a panel discussion on Trends in Institutional Options and Volatility Product Usage headed by the Head of Fiduciary Advice from PGGM Institutional Business, Chris Limbach. There was much discussion covering topics from uses of volatility to comparisons of over the counter and listed derivative markets.
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 Advisors
- Mark Mehtonen, Portfolio Manager, Tactical Allocation/Ilmarinen Alpha, Ilmarinen Mutual Pension Insurance Company
For the rest of the afternoon things get split up into two different spaces. Maneesh Deshpande from Barclays and Scott Maidel from Russell Investments lead a session entitled Vanilla but Not Boring: Fixed Strike Option Strategies. During this presentation the speakers discussed using fixed strike options to capture volatility risk premia.
At the same time Tim Edwards from S&P Dow Jones Indices and Chris Rodarte from Pine River Capital Management will discuss Correlations Between Stocks and Between Sectors. This session was fascinating as Rodarte showed how a dispersion trade could be executed using SPY options versus options on a basket of industry focused ETFs.
Late Tuesday afternoon Alex Capez from Credit Suisse made a brief presentation and then led a panel discussion on systematic trading strategies. Alex was joined by the following participants who discussed their approaches to trading, managing, and even developing systematic approaches to trading.
- Pierre de Saab, Portfolio Manager, Dominice & Company Asset Management
- Oleg Lugovkin, Volatility Trader, Argentiere Capital AG
- Marc Perrigault, Portfolio Manager, Schroder Investment Management
- Andrew Soper, Head of UK Investment Solutions Group Portfolio Management, State Street Global Advisors Ltd.
The last session of the day featured Spencer Cross and Dominic Salvino who covered two very popular topics - VIX and Weeklys. Specifically they addressed VIX Weeklys which have been available as futures since July with the options launching next week.
That's a wrap for Day 2. There are several presentations on tap for Day 3 and as always we will be providing color from each presentation. If you have any questions about Risk Management or the presentations from today feel free to shoot me an email at [email protected]