Day 2 of CBOE’s first Risk Management Conference is now history and I believe the quality of presentations and the discussion was on par with the more established European and US versions of the conference.
The day started with welcoming remarks from Ed Tilly, CEO of CBOE Holdings. He noted that CBOE is expanding education into Asia through a collaboration with the Singapore Exchange with the establishment of The Options Institute at SGX. He also noted that CBOE plans to list options on the FTSE 100 and FTSE China 50 Indexes by the end of the year.
A summary of his comments may be found here – CBOE CEO Edward Tilly on New Initiatives
The press release regarding FTSE 100 and FTSE China 50 options may be found here – CBOE to Launch Options on FTSE 100, FTSE China 50 Indexes
Buzz Gregory from Goldman Sachs led off the day with an in depth discussion of all things VIX. I went away with several topics to explore further. He discussed VIX in the context of where we are in the economic cycle which was an approach I had never considered. A more in depth summary of Gregory’s presentation can be found here – A New Volatility Regime? Navigating the Cycle with S&P 500 and VIX Options
Christopher Cole from Artemis gave a talk titled Volatility and the Allegory of the Prisoner’s Dilemma which I found fascinating. Needless to say his comment that volatility is no just an asset class, but the only asset class was warmly received by the CBOE participants at the conference. The summary of his presentation may be found at this link – Volatility and the Allegory of the Prisoner’s Dilemma
After lunch Satoshi Iwanaga from Eurekahedge discussed the creation of the family of CBOE Eurekahedge Volatiltiy Indexes and then led a discussion on volatility based strategies. Highlights from the panel discussion can be found here – Hedge Funds and Volatility Based Strategies
Shane Carroll from SG Securities and Benoit Meulot from BTG Pactual held a back and forth discussion titled Cross-Region Volatility Analysis for Investing and Hedging. This was actually a very interesting free flowing discussion of the unique characteristics of various markets and how to capitalize on these differences. More information may be found here – Cross Region Volatility Analysis for Investing and Hedging
The final session of the conference was split into two tracks. Directional Option Strategies was the title for track one where Gus Dhotahar from Goldman Sachs Investment Management and William Stephens from Deutsche Bank noted how portfolio managers approach listed derivatives differently from region to region along with their thoughts on choosing the best strategy based on an outlook. Coverage of that presentation appears on this site at the following link – Directional Options Strategies
The other final presentation of the day covered a very popular topic among individuals at the conference, Volatility of Volatility. William Chan from Bank of America Merrill Lynch and Michael Fagan from Levitas Capital discussed historical observations for vol of vol surfaces as well as looked at a case study.
If Hong Kong is a bit too far for you to travel but hearing about CBOE’s Risk Management Conference has sparked your interest check out www.cboermc.com for information about the US conference that less than three months away.