CBOE Risk Management Conference Day 2 Recap

Day 2 of the second annual CBOE Risk Management Conference in Europe has come to a close.  The day was filled with an overwhelming amount of information.

The day began with addresses from both Ed Tilly and Bill Brodsky of the CBOE.  During his opening remarks Ed discussed extended trading hours for VIX futures and the roll out of futures and options trading on CBOE Russell 20 Volatility Index.  He also announced the introduction of the CBOE S&P 500 Short-Term Volatility Index (VXST).  VXST is calculated using the industry standard VIX methodology to determine the market’s expectations of nine day volatility.  The link below explains more about this new index –

http://www.cboeoptionshub.com/2013/10/01/cboe-introduces-short-term-volaltility-index-rmc-europe/

The first presentation of the day was from Paul Donovan, Global Economist at UBS.  He discussed the implications of the Fed’s decision to not begin the tapering process a couple of weeks ago.  He also shared insights on Europe, Asia, and emerging markets.

http://www.cboeoptionshub.com/2013/10/01/paul-donovan-ubs-kicks-second-day-risk-management/

Buzz Gregory the Equity Derivatives Strategist from Goldman Sachs followed Donovan with a very VIX-centric presentation.  He described the risk premium that exists in VIX futures and demonstrated how that can work for or against various trading scenarios.

http://www.cboeoptionshub.com/2013/10/01/buzz-gregory-goldman-sachs-risk-management/

Following lunch there was a panel discussion – Trends in Institutional Options and Volatility Product Usage led by Dan Mikulskis from Redington Partners.   The participants were Chris Limbach of PGGM Investments, Mark Mehtonen from Ilmarinen Mutual Pension Insurance Company, Sebastian Richner from Swiss Life Asset Managers, and Brendan Walsh of Aviva Investors Global Services.

http://www.cboeoptionshub.com/2013/10/01/rmc-panel-trends-institutional-options-volatility-product-usage/

Delphine Leblond-Limpalaer from Societe Generale and Scott Maidel from Russell Investments teamed up and did an excellent job discussing option selling strategies in their session which was titled – Using Short Options Positions to Manage and Lower Volatility of an Equity Portfolio.

http://www.cboeoptionshub.com/2013/10/01/option-selling-strategy-discussion-cboe-risk-management-conference/

Managing Positions Pre- and Post-Trade was delivered by Antoine Delga, Equity Derivative Specialist at Bloomberg and Gabriel Manceau who is a Volatility Trader at Barclays.

http://www.cboeoptionshub.com/2013/10/01/managing-positions-pre-post-trade-discussion-rmc-europe/

 

Neil Dissanayake who is a Senior Risk Manager & Trader at Milliman and Alessandro Esposito who is a Portfolio Manager on the Convertible Desk at BlueBay Asset Management split duties discussing Optimizing Portfolio Hedging Strategies.  Both demonstrated different approaches to hedging equity portfolios.

http://www.cboeoptionshub.com/2013/10/01/optimizing-portfolio-hedging-strategies-discussed-rmc-europe/

The final presentation of the day was a panel session on Volatility Management of Equity-Based Insurance Guarantees moderated by Pin Chung of R+V International Business Services Limited.  The participants were Philippe Combescot of BNP Paribas, Stefan Jaschke from Munich Re, and Andrew Rallis from Metlife.  The group introduced equity based insurance guarantees and talkd about how insurance companies manage risk.

http://www.cboeoptionshub.com/2013/10/01/panel-discussion-volatility-management-equity-based-insurance-guarantees/

The conference will wrap up tomorrow and if you could not make the trip to Sintra, Portugal you can follow all the action at RMC – http://www.cboeoptionshub.com/rmclive

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Russell Rhoads, CFA

CBOE Options Institute

Russell Rhoads, CFA, is a Senior Instructor with the Options Institute at the Chicago Board Options Exchange. He joined the Institute in 2008 after a career as an investment analyst and trader with a variety of firms including Highland Capital Management, Caldwell & Orkin Investment Counsel, TradeLink Securities and…

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