The CBOE Risk Management Conference is the premier educational forum for users of equity index options and volatility products. Now in its 31st year in the US and 4th year in Europe, CBOE is pleased to bring this experience to Asia. The First Annual CBOE Risk Management Conference Asia will be held on November 30 – December 1 at the JW Marriott Hotel, Pacific Place, 88 Queensway, Hong Kong.
Topics to be covered include –
- Primer on Options and Volatility Strategies
- Benchmark Indexes & Research on Fund Use of Options-Based and Volatility-Based Strategies
- Panel on Options and Volatility Market Structure
- A New Volatility Regime? Navigating the Cycle with S&P 500 and VIX Options
- Volatility Reconnaissance: What can S&P 500 and VIX options tell you?
- Hedge Funds and Volatility-Based Strategies: Presentation and Panel
- Perspectives on Listed Equity Derivatives from Chinese Exchange Leaders
- Cross-Region Volatility Analysis for Investing and Hedging
- Directional Options Strategies
- Volatility of Volatility
I PLAN TO LEARN MORE ABOUT THE ISSUES BELOW
Many experts on volatility and options investing will attend RMC Asia. Four questions that I would like to see addressed at RMC Asia are in the all-caps headings below.
- IS THE OPTIONS VOLATILITY SKEW GENERALLY DIFFERENT IN THE U.S. AND ASIA?
I have been told that the options volatility skew generally is different in the U.S. and Asia. The two charts below show the volatility skew for select index and ETF options. For five of the six options (all except VIX options), the estimated implied volatility at 80% moneyness (corresponding to 20% O-T-M put options) is the highest for any strike price shown. One could infer from this chart that these is great demand for index options that can protect against huge downside losses. At RMC Asia I plan to learn more about comparisons of the volatility skew in the U.S. and Asia.
- HOW DO THE VOLATILITY RISK PREMIA FOR INDEX OPTIONS IN THE U.S. AND ASIA COMPARE?
Money managers who consistently write index options often note that there has been a volatility risk premium for index options, i.e., the implied volatility usually has been higher that the realized volatility for the S&P 500 for at least the past two decades, and investors who sell richly priced options often have a goal of generating relatively string risk-adjusted returns. For more on these points, you can click on the 30-page PDF for a presentation by Keith Black and Edward Szado. Performance Analysis of Options-Based Equity Mutual Funds, CEFs, and ETFs (Jan. 2015).
- HOW CAN VOLATILITY OF VOLATILITY IMPACT MY PORTFOLIO?
At RMC Asia I plan to learn more about the interrelationship between volatility and volatility of volatility. On December 1st at RMC Asia William Chan and Michael Fagan will cover topics such as –
– Historical observations and interpretations for “vol-of-vol” surfaces
– Trading and hedging applications depending on client objectives
– A case study approach
In the index chart below, I show four volatility indexes – VVIX, OVX, VXFXI, and VIX. The VVIX Index hit a peak daily closing value of 168.75 on August 24, 2015, and the VVIX can be a helpful barometer to investors who are trading VIX options.
- WHAT SHOULD I KNOW ABOUT VOLATILITY AND THE ALLEGORY OF THE PRISONER’S DILEMMA?
Christopher Cole, Managing Partner, Artemis Capital Management, will provide some answers to this last question.
On Twitter RMC updates are available at #CBOERMC.
Much more information on RMC Asia is available at http://www.cboermcasia.com/