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2015 Agenda & Highlights
Cboe RMC ASIA 2015 was held on November 30 through December 1, 2015.
Previous DayNext Day

11:30am – 12:30pm

Light Buffet Lunch  

12:30 – 1:45pm

Primer on Options and Volatility Strategies

  • Fundamental options strategies for increasing yields and managing risks
  • Volatility characteristics: mean reversion, "vol of vol," risk premia
  • What does a 25 volatility mean anyway?     
Russell Rhoads, Director, The Options Institute, Cboe

Russell Rhoads Presentation

1:45 – 2:00pm

​Session Break

​2:00 – 3:15pm

​Benchmark Indexes & Research on Fund Use of Options-Based and Volatility-Based Strategies

  • Beyond the BXM and PUT; introducing new strategy benchmark indexes that use index options    
  • Presentation of a white paper with a list of mutual funds and ETFs that use options for portfolio management    
  • The design and performance of long, short and dynamic VIX-linked ETPs
  • Utility for longer term investors and shorter term traders
Tim Edwards, Ph. D., Senior Director of Index Investment Strategy, S&P Dow Jones Indices
Matthew Moran, Vice President, Institutional Business Development, Cboe

3:15 – 3:30pm

Coffee Break

​3:30 – 4:45pm

Panel on Options and Volatility Market Structure

  • Client demographics in U.S., Europe and Asia
  • Options vs. warrants and structured products; OTC vs. listed; index vs. ETF and single stock options, regular vs. extended trading hours    
  • Sourcing liquidity and how orders get executed via electronic and open outcry methods
  • Steven M. Sears, Senior Editor and Columnist, Barron's and
  • Patrick Fay, Global Head of Derivatives, FTSE Russell
  • David Friedland, Managing Director, Interactive Brokers
  • Timothy Hendricks, Founder, Managing Partner, X-Change Financial Access, LLC (XFA)​
  • Qi Wang, Head of Options Product Development, China Financial Futures Exchange

5:00 – 8:00pm

Opening Reception: Cocktails and Dinner

  • JW Marriott Salon 4

8:30 – 9:00am

Welcome and CBOE Update

Edward T. Tilly, Chief Executive Officer, Cboe Holdings, Inc.

9:00 – 10:00am

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?
  • The Short Story: The Volatility Risk Premium and strategies to take advantage 
  • Long volatility: Hedging with S&P 500 options 
  • VIX strategy development and key drivers of trade profitability
Krag “Buzz” Gregory, Equity Derivatives Strategist, Goldman Sachs

10:00 – 10:30am

Coffee Break

​10:30 – 11:30am

Volatility and the Allegory of the Prisoner’s Dilemma‎

Christopher Cole, Managing Partner, Artemis Capital Management 

11:30am – 12:45pm

Lunch and Networking

  • Canton Tea Lounge 

​12:45 – 2:00pm

Hedge Funds and Volatility-Based Strategies: Presentation and Panel

Moderator/Speaker: Satoshi Iwanaga, Chairman, Eurekahedge
Panelists: El Mehdi Benhmade, Portfolio Manager, Capula Investment Management‎; Christopher Cole, Managing Partner, Artemis Capital Management
Govert Heijboer, Co-CIO, True Partner Advisor Ltd; Vishnu Kurella, Portfolio Manager, Caxton Associates LP

​​2:00 – 2:15pm

​Session Break

​2:15 – 3:30pm

Cross-Region Volatility Analysis for Investing and Hedging

  • How supply/demand imbalances impact equity volatility surfaces by region; Asia, US and Europe
  • How to take advantage of structural dislocations to fit objectives
Shane Carroll, Equity Derivatives Strategist, SG Securities, Ltd
Benoit Meulot, Portfolio Manager, BTG Pactual

​3:30 – 3:45pm

Coffee Break

​3:45 – 5:00pm

Track 1: Salon 5-6 

Directional Options Strategies 

  • Pre-trade rich/cheap analysis
  • Choosing the right options strategy
  • Position management tactics 
  • When to roll or adjust strikes
Gus Dhothar, Portfolio Manager, Goldman Sachs Investment Management
William Stephens, Strategist, Deutsche Bank

Track 2: Salon 4

Volatility of Volatility

  • Historical observations and interpretations for "vol-of-vol" surfaces
  • Trading and hedging applications depending on client objectives
  • A case study approach
William Chan, Equity Derivatives Strategist, Bank of America Merrill Lynch
Michael Fagan, Chairman, Levitas Capital

2015 sponsors
Cboe RMC ASIA 2015 was held on November 30 through December 1, 2015.