Ed Tilly, Chairman, President and CEO of Cboe Global Markets, opened day two of Cboe RMC Europe with an update on the volatility market and Cboe’s products. Tilly introduced the conference keynote speaker, who discussed Brexit and its implications. Attendees then turned their attention to a panel discussion about equity volatility trading with representatives from Societe Generale, Legal & General Investment Management, Aviva Investors and Fulcrum Asset Management. The panelists discussed their hedging strategies when equity and bond correlations rise and highlighted some of the most attractive volatility strategies for today’s market, such as dispersion. They agreed that while volatility selling is becoming crowded, there’s still value in the trade.
After lunch, John Davidson, CEO of the Options Clearing Corporation (OCC), provided an important update about recent changes to margin requirements based on a more conservative expected shortfall calculation. He also shared a preview of a new technology initiative designed to help improve risk management.
Volatility investing was center stage again later in the afternoon. Mark Richardson, portfolio manager for Janus Henderson, addressed the challenges of implementing systematic long volatility strategies. He presented an empirical framework for an enhanced systematic long volatility strategy where costs were constrained by taking a new approach to delta hedging.
Bhanu Baweja, global head of cross asset strategy for UBS Investment Bank, tackled market volatility and macro events. Baweja pointed to China’s declining import propensity as the most important factor affecting global markets.
Panelists from TECTA Invest, bfinance, Credit Suisse Securities, and Eaton Vance shared insights about how institutional investors use systematic options strategies. The panelists discussed what institutional investors are looking for in strategies, how their perceptions have changed and how consultants tackle benchmarking these types of managers. The group shared expectations that institutional demand for systematic options strategies will continue to grow — especially strategies that are simple, transparent and easily implementable.
With official remarks wrapped up for the day, it was off to the cocktail party! Check back tomorrow for a recap of the final day at Cboe RMC Europe in Munich. Wir sehen uns!