RMC Europe Presentation – “Convertible Bond Arbitrage and Listed Options”

After a lovely Irish lunch at CBOE’s RMC Europe near Dublin, Chris Wehbe Head of Relative Value at Arrograss and Paul Sansome of Ferox Capital led a great discussion on Convertible Bond Arbitrage and Listed Options. 

The well known duo started out discussing the mechanics of a convertible bond, showing it is nothing more than a bond with an equity call option imbedded. The embedded call option in a convertible security, which can create some interesting trading opportunities.

A highlight of the presentation came toward the end as several common misconceptions about the Convertible Bond market were discussed. These misconceptions, which were clearly debunked, included Convertible Bonds not having a role in a portfolio, that Convertibles are owned by almost every hedge fund, and that Convertibles are long volatility.

This was a lively and well received session.

Russell Rhoads