2017 Agenda
Cboe RMC Asia 2017 was held Tuesday, December 5 through Wednesday, December 6, 2017. The upcoming event will be Monday, Dec 3 and Tuesday, Dec. 4, 2018. For planning purposes, the schedule will be the same as 2017, however topics and speakers will be new. Don't miss it!
Previous DayNext Day11:30am – 12:30pm
Registration, Light Buffet Lunch and Networking
- Grand Ballroom Foyer, Lower Level
12:30 – 1:45pm
Options Strategies and Options-Based Strategy Benchmarks
- A review of fundamental options strategies;
covered calls, short puts, straddles and condors
- A discussion of volatility risk premia
- Empirical evidence on the performance of options-based
benchmark indexes and the utility of such benchmarks for institutional
investors
Matthew Moran, Vice President, Product Advancement, Global Derivatives,
Cboe Global Markets
Russell Rhoads, Director, Product Advancement, Global Derivatives, Cboe
Global Markets
1:45 – 2:00pm
Coffee Break
2:00 – 3:15pm
Interpreting and Navigating Volatility-Based
Benchmarks and Indicators
- Using benchmarks and indicators as trading
signals in systematic investment strategies
- A comparison of the Cboe Russell 2000 BuyWrite
Index (BXR) and the Cboe Russell 2000 PutWrite Index (PUTR)
- Structural and supply/demand-based drivers of
VIX and related instruments
- Tail risks, SKEW and correlation dynamics
- Portfolio applications of long and short VIX
positions to equity factors and credit
Tim Edwards, Ph. D., Senior Director of Index Investment Strategy,
S&P Dow Jones Indices
John Hiatt, Director, Research/Quantitative Market Support, Cboe Global
Markets
John Hiatt Presentation
3:15 – 3:30pm
Coffee Break
3:30 – 4:45pm
Sourcing Liquidity in Index Options
- Options market structures
- Volume trends by product, order types, client
types
- How do, and how should, traders tap
liquidity?
Eric Frait, Vice President, Product Advancement and
Strategy, Global Derivatives, Cboe Global Markets
Kristin Boyd, Director,
Credit Suisse
5:00 – 8:00pm
Welcome Reception: Cocktails and Dinner
- Garden Café Terrace (weather permitting, otherwise Grandville Ballroom, Lower Level)
8:30 – 9:00am
Andrew
Lowenthal, Senior Vice President, Head of Global Derivatives, Cboe Global
Markets
9:00 – 10:00am
Keynote Speech: Market Movers: The Structure and
the Cycle in 2018
Louis-Vincent Gave, Founding Partner & Chief
Executive Officer of Gavekal
10:00 – 10:30am
Coffee Break
10:30am – 11:30am
Keynote Speech: Digital Assets and the Future of
Finance
11:30am – 1:00pm
Lunch and Networking
1:00 – 2:15pm
Sell
Low, Buy Lower? Volatility Premia Harvesting in Low Volatility Regimes
- Trade-offs of making vol risk premium strategies
smarter
- Sizing, mean reversion and more
- How long in the tooth is this regime?
William Chan, Equity Derivatives Strategist, Bank of America Merrill
Lynch
Eddie Lau, Portfolio Manager, Harmony Advisors
2:15 – 2:30pm
Session Break
2:30 – 3:30pm
Volatility Drivers & Flow Dynamics
- Supply/demand drivers of the Asia derivatives
markets
- Comparisons of Asia markets to U.S. and European
markets
- Japan volatility supply
- Potential catalysts for volatility regime shifts
Jason S. Lui, Head of Equity & Derivatives Strategy, APAC, BNP
Paribas
Paul H. Yoo, Senior Portfolio Manager, MAPS Capital Management Ltd
3:30 – 3:45pm
Coffee Break
3:45 – 5:00pm
Tail Risk Hedging
- Fundamental and flow drivers of current
volatility regimes
- Gauging China’s potential impact on global
market portfolios
- Cross-border correlation risks in stress
environments
- What can drive volatility higher?
Lars Naeckter, Equity Derivative Strategist, Deutsche Bank
David Dredge, CIO, Convex Strategies, City Financial Investment Company
Pte
End of Conference Sessions
Edward O. Thorp
Math Professor, Inventor, Best-Selling Author and Hedge Fund Manager
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