RMC Europe Day 1 Preview

On Monday September 28th the European version of CBOE’s Risk Management Conference gets underway in Geneva, Switzerland.

The conference kicks off with Matt Moran and Bill Speth from CBOE discussing the wide variety of Benchmark Indexes calculated and disseminated by CBOE.  The theme to this discussion could be something old and something new.  CBOE was the pioneer in creating strategy benchmark indexes with the CBOE S&P 500 BuyWrite Index.  This and a handful of other established indexes was recently joined by several new strategy indexes.  I look forward to learning more about the structuring and historical performance of indexes like the CBOE S&P 500 Multi-Week BuyWrite Index and CBOE S&P 500 Iron Butterfly Index.  Below is a list of CBOE Benchmark and Volatility-related Benchmark Indexes.

Benchmark List

The second session at RMC Europe is extremely timely.  The session entitled Harvesting Volatility Risk Premium as Volatility Starts to Turn was scheduled long before the recent market action in late August that saw VIX hit levels not witnessed since the financial crisis period of 2008 to 2009.  Bernhard Brunner from AllianzGl Global Solutions and Abhinandan Deb from Bank of America Merrill Lynch will cover taking advantage of volatility risk premia in a portfolio and employing diversification to help mitigate the risk associated with being short volatility.

Day one concludes with a panel discussion on the market structure of options and volatility in the US which will be moderated by Philip Stafford from Financial Times.  Topics to be covered include the demographics of users of these markets, a comparison of OTC versus listed products and ETF versus single stock options.  The panel includes Nikolas Alexandrou from Legal & General Investment Management, William J. Ellington of X-Change Financial Access, Rob Hocking from DRW Trading, Slade Winchester from Citigroup and Leaf Wade from UBS.

There is still time to register for next week’s Risk Management Conference.  To find out more click on the link below.

www.cboe.com/rmc