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2016 AGENDA & Highlights
Cboe RMC ASIA 2016 was held on November 30 through December 1, 2016.
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Registration Opens

  • Lower Level, Grand Ballroom Foyer

11:30am – 12:30pm

Buffet Lunch and Networking

12:30 – 1:45pm

Directional Options Strategies and Trade Management

  • Vol-based trade set ups for directional trades
  • Strategy selection
  • Active vs. passive position management
Dan Passarelli, Founder and CEO, Market Taker Mentoring, Inc.

Dan Passarelli Presentation

1:45 – 2:00pm

Coffee Break

2:00 – 3:15pm

New Developments in Options and Volatility-Based Benchmarks and Indicators

  • A discussion of how Cboe's newest benchmarks and volatility indicators were created and their utility for institutional investors
  • New research papers on performance of options-based strategy benchmarks and fund managers
  • A detailed analysis of new benchmark indexes using Russell 2000 index options
Matthew Moran, Vice President, Institutional Business Development, Cboe
Bruce Traan, Director, Research and Product Development, Cboe

2:00 – 3:15pm

Coffee Break

3:30 – 4:45pm

What’s Implied from Implied Volatilities and Volatility Products?

  • Interpreting the predictive aspects of VIX in different markets
  • Dispersion / correlation / liquidity dynamics and applications to strategy indices
  • Low volatility index no longer low volatility
  • Compare spot – volatility correlations across global indices
  • Implications from cross asset risks and correlations
William Chan, Equity Derivatives Strategist, Bank of America Merrill Lynch
Tim Edwards, Ph. D., Senior Director of Index Investment Strategy, S&P Dow Jones Indices

5:00 – 8:00pm

Welcome Reception: Cocktails and Dinner

  • Garden Café Terrace

8:30 – 9:00am

Welcome and CBOE Update

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

9:00 – 10:00am

Keynote Speech

Can Neuroscience Now Predict your Profitability?

John Coates, former derivatives trader and Cambridge neuroscientist; author of the Hour Between Dog and Wolf

10:00 – 10:30am

Coffee Break

10:30 – 11:45am

Keynote Speech

Cross Asset Dislocations and Market Signals

Rebecca Cheong, Head of Americas Equity Derivatives Strategy, UBS Securities LLC

11:45am – 1:00pm

Lunch and Networking

1:00 – 2:15pm

Implementing Systematic Short Volatility Strategies

  • Impact of option holding period, strike selection, delta hedging and trading frequency
  • Reducing the effect of path dependency
  • The benefits of a multi asset approach
  • Has the opportunity been arbitraged away by the rise of “Alternative Beta” strategies?
Tanuj Dutt, CFA, Senior Portfolio Manager, Nikko Asset Management Asia Limited
Selim Piot, Vice President, Barclays Capital Asia Limited

2:15 – 2:30pm

Session Break

​2:30 – 3:45pm

Implementing Long Volatility Exposures for Hedging and Alpha

  • Comparing fixed strike vs alternative hedging strategies, when to use, how to size trades, how to manage positions over time
  • Examples  of what works, and what doesn't
  • Impact of option holding period, strike selection, delta hedging and trading frequency
  • Considerations in proxy hedging; convexity, liquidity and tracking error
Govert Heijboer, Co-CIO, True Partner Advisor Ltd
James Murray, ‎Head of Liability Management, Derivatives & Defensive Assets, NSW Treasury Corporation

3:45 – 4:00pm

Coffee Break

4:00 – 5:00pm

Panel on Volatility-Based Investment Strategies

  • Steven M. Sears, Senior Editor and Columnist, Barron's and
  • David Dredge, CIO, Convex Strategies, City Financial Investment Company Pte Ltd
  • Richard Johnston, Managing Director, Albourne Partners (Asia) Ltd
  • Laurent Poirot, Portfolio Manager, GF Asset Management
  • Benoit Meulot, Portfolio Manager, Nine Masts Capital Limited 
2016 sponsors
Cboe RMC ASIA 2016 was held on November 30 through December 1, 2016.
silver SponsorS
Supporting OrganizationS
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