The first day of the inaugural CBOE Risk Management Conference in Asia was jam packed with information that has me with a new ‘to do’ list that’ll keep my spring intern hopping until May.
The conference commenced with a primer on VIX delivered by me. As I said in the original post, it’s a little strange blogging a recap of your own presentation. I feel a bit like the Rickey Henderson of options if I speak about myself in the third person so I just can’t do it. I covered what implied volatility is and how different markets behave differently along with a discussion of how the uses of VIX derivatives have evolved over time.
A more extensive recap of my presentation can be found here – Primer on Options and Volatility Trading at RMC Asia
The second presentation was a tag team effort by CBOE’s Matt Moran and Tim Edwards from S&P Dow Jones Indices. Matt covered the wide variety of (and every growing list of) strategy indexes that CBOE calculates and quotes. On my list of things to do, based on Matt’s discussion, is analyze the performance of the relatively new CBOE S&P 500 Iron Butterfly and CBOE S&P 500 Iron Condor indexes. The full list of these new indexes may be found at www.cboe.com/benchmarks
Tim spent a good amount of time discussing the performance of VXX and putting it in context related to the S&P 500 performance since the fund was launched in January 2009. This is something I focus on a lot and I usually show that VXX has days where the fund is up 10% or more using that as an explanation of why people are attracted to the fund. Matt Moran wrote up a full recap of Tim’s presentation which may be found at Tim Edwards of SPDJI Covers Unique Performance of VIX-Based Benchmark Indices
The day ended with a panel discussion moderated by Steven Sears from Barron’s and discussing the current environment for the option and volatility markets. The Chinese markets were discussed extensively as options on various markets are expected to be launched in 2016, despite the recent market turmoil. A more extensive recap can be found here – Panel Discussion on Options and Volatility Market Structure at RMC Asia
Day 1 was a half day, but for those of us that focus on the markets it was like a full day. Tomorrow kicks off with Ed Tilly giving some welcome remarks which always seem to contain announcements around what new things may be happening around CBOE and then he’s follow by Buzz Gregory from Goldman Sachs who will discuss his views about the markets moving into what is commonly referred to as new volatility regime. I’ll be doing my best to tweet and blog as the day goes along tomorrow.