The first day of the 2nd Annual CBOE Risk Management Conference in Europe was a great start to a great conference. The topic of the day was volatility with a variety of market participants discussing the behavior of volatility and different methods to gain exposure to rising and fall volatility.
Session 1 – Volatility Primer and Options Risk Measures
Sheldon Natenberg and Timothy Weither both from Chicago Trading Company kicked off the conference with a discussion of option pricing factors with a focus on volatility.
Session 2 – The Volatility Surface: Skew and Term-Structure
Stefan Wintner of SigmaSquare Capital joined Natenberg for the second session of the day. This was basically an extension of the first presentation and dove further into volatility. Wintner noted the significant impact of skew on VIX during market movements.
Session 3 – VIX ETPs, Interrelationships Between Volatility Markets and Implications for Investors and Traders
Berlinda Liu from S&P Dow Jones Indices talked about the breakdown of the benefits of diversification that occurs when there are black swan events in the markets. Colin Bennett from Banco Santander followed her with a terrific presentation that discussed a wide variety of volatility related topics.
Also of note CBOE had two announcements today coinciding with the conference. First VIX futures trading hours will be extended in October. On October 21st a 45 minute session will be added from 3:30 pm to 4:15 pm Chicago time on Monday through Thursday. Also, futures and options are to be offered on the CBOE Russell 2000 Volatility Index (RVX).
Tomorrow will be a jam packed day and if you could not make the trip to Sintra, Portugal you can follow all the action at RMC – http://www.cboeoptionshub.com/rmclive