Cboe Risk Management Conference Asia Cboe Risk Management Conference Asia 3. Title:...
Transcript of Cboe Risk Management Conference Asia Cboe Risk Management Conference Asia 3. Title:...
THE 3RD ANNUAL
Cboe Risk ManagementConference Asia
December 5-6 – Conrad Hong Kong
www.CboeRMCAsia.com
Conference AgendaTuesday, December 5, 2017
Conrad Hong Kong, Lower Level
11:30am – 12:30pm
1:45 – 2:00pm
2:00 – 3:15pm
Registration, Light Bu�et Lunch and Networking – Grand Ballroom Foyer/Grandville
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
Co�ee Break
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
12:30 – 1:45pm
2017 Cboe Risk Management Conference Asia 1
3:15 – 3:30pm
5:00 – 8:00pm
Co�ee Break
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
Welcome Reception: Cocktails and Dinner – Garden Café Terrace(weather permitting, otherwise Grandville Room, Lower Level)
3:30 – 4:45pm
Wednesday, December 6, 2017
Harcourt & Nathan Room, Lower Level
8:30 – 9:00am Welcome and Cboe Update
Andrew Lowenthal, Senior Vice President, Head of Global Derivatives, Cboe Global Markets
Keynote Speech: Market Movers: The Structure and the Cycle in 2018
Louis-Vincent Gave, Founding Partner & Chief Executive O�icer of Gavekal
Co�ee Break
Keynote Speech: Digital Assets and the Future of Finance
Cameron and Tyler Winklevoss, Co-founders of Gemini
Lunch and Networking
9:00 – 10:00am
10:00 – 10:30am
10:30 – 11:30am
11:30am – 1:00pm
2017 Cboe Risk Management Conference Asia 2
1:00 – 2:15pm
2:30 – 3:45pm
Sell Low, Buy Lower? Volatility Premia Harvesting in Low Volatility Regimes • Trade-o�s 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
Co�ee Break
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 shi�s
Jason S. Lui, Head of Equity & Derivatives Strategy, APAC, BNP Paribas Paul H. Yoo, Senior Portfolio Manager, MAPS Capital Management Ltd
Co�ee Break
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
2:15 – 2:30pm
3:45 – 4:00pm
4:00 – 5:15pm
2017 Cboe Risk Management Conference Asia 3