Focus Day: Trading European Volatility Markets: Daily Options & VSTOXX 2024
Virtual Focus Day – Part of the Derivatives Forum Frankfurt 2025
24 October 2024, 15:00 CET
This Focus Day aims to provide insights into current market trends impacting short-dated options and the listed volatility markets in two parts.
The first part Daily Options will delve into the sources of trading volume in EURO STOXX 50 and DAX Daily Options. We will also identify which groups of investors are most actively participating in this market and analyze the strategies they are employing, as well as explore how Daily Options enhance the European volatility market. The second part of our Focus Day turns to VSTOXX as we look at the recent behavior of VSTOXX in low and high volatility markets along with VSTOXX futures and options trading. Besides a close-up on the underlying index calculation this section focuses on the upcoming US election and the impact on European volatility markets. Our guests will share their views in insightful discussions in fireside chats and panel discussions.
Daily Options and VSTOXX will also be a key focus at the Derivatives Forum Frankfurt on 26 & 27 February 2025.
Registration
Agenda
15:00 - 15:05 Opening & Welcome
Russell Rhoads, PhD, CFA, Associate Clinical Professor, Kelley School of Business, Indiana University
15:05 - 15:15 Fireside Chat: After one year with Daily Options at Eurex – where are we now?
Moderated by Russell Rhoads, PhD, CFA, Associate Clinical Professor, Kelley School of Business, Indiana University
Dorte Carlsen, SVP Equity & Index Sales EMEA, Eurex
In this segment, we will delve into where we stand after one year of Daily Options and explore the sources of trading volume in EURO STOXX 50 and DAX Daily Options. We will also identify which groups of investors are most actively participating in this market and analyze the strategies they are employing.
15:15 - 15:25 Fireside Chat: Typical use cases: Utilizing EURO STOXX 50 and DAX Daily Options
Moderated by Russell Rhoads, PhD, CFA, Associate Clinical Professor, Kelley School of Business, Indiana University
Cathal Hardiman, Head of Direct Counterparty Trading Europe, IMC
This session will cover the typical applications and strategies for using EURO STOXX 50 and DAX Daily Options. We will also explore how these options are being utilized for event hedging and premium capture as well as if Daily Options are useful product for vol-strategies in Europe.
15:25 - 15:55 Panel Discussion: The Impact of Daily Options on the European volatility market
Moderated by Russell Rhoads, PhD, CFA, Associate Clinical Professor, Kelley School of Business, Indiana University
Abhinandan Deb, Head of Global Cross Asset Quant Investment Strategies, BofA Research
Further speakers to be announced soon.
This session will examine how Daily Options are improving the European volatility market and discuss trading strategies and market dynamics. We will examine the recent increase in volume and its impact on market liquidity and discuss whether the 0DTE phenomenon is temporary or a permanent trend.
16:00 - 16:05 Introduction: European volatility benchmark: VSTOXX Derivatives
Russell Rhoads, PhD, CFA, Associate Clinical Professor, Kelley School of Business, Indiana University
The second half of our focus day turns to VSTOXX as we look at the recent behavior of VSTOXX in low and high volatility markets along with VSTOXX futures and options trading.
16:05 - 16:20 Fireside Chat: Exploring VSTOXX – Europe’s volatility gauge
Moderated by Russell Rhoads, PhD, CFA, Associate Clinical Professor, Kelley School of Business, Indiana University
Hamish Seegopaul, Global Head of Index Product Innovation at STOXX
This session will dive deeper into the methodology behind the VSTOXX index, its calculation based on options on the EURO STOXX 50 benchmark, and its role as a gauge of European market volatility.
16:20 - 16:35 Keynote: Volatility in the year of macroevents and elections
Esmail Afsah, Equity Derivatives Strategist, Executive Director, J.P. Morgan
A review of volatility and its drivers over recent months and what is in store for the rest of the year with a special focus on VSTOXX.
16:35 - 17:05 Panel Discussion: US election and the impact on European volatility market
Moderated by Russell Rhoads, PhD, CFA, Associate Clinical Professor, Kelley School of Business, Indiana University
Sophie Granchi, Equity & Index Sales EMEA, Eurex
Further speakers to be announced soon.
With the US election just about to happen what are implications on the European volatility market and potential scenarios. How can VSTOXX Derivatives be used and what trading strategies can investors apply.
17:05 - 17:15 Closing
Russell Rhoads, PhD, CFA, Associate Clinical Professor, Kelley School of Business, Indiana University
Speakers
Esmail Afsah is an Equity Derivatives Strategist for European Markets at JP Morgan, where the team was ranked 2nd in the latest II investor survey. The team covers most equity linked products including options, delta one and dividends. Prior to joining JP Morgan in 2018, Esmail worked for BNP Paribas and Nomura. Esmail started his career as a fundamental Equity Analyst at Citi.
Dorte is part of the Eurex Equity & Index sales team, where she is responsible for covering UK hedge funds and Nordic buyside clients. Also, she is coordinating the sales activities for Eurex’ newly launched daily options. Before starting at Eurex in 2019, Dorte held a position as director in Deutsche Bank, working with derivatives and solution sales towards institutional investors.
Abhinandan Deb is Managing Director and Head of Global Cross Asset Quant Investment Strategy at BofA, with nearly 20 years of experience in the industry. His research areas and expertise include volatility as an asset class, correlation, dividends, hedging and alpha generation using derivatives, cross asset analysis, risk premia, quantitative strategy development and portfolio construction. He manages a team of quantitatively oriented cross asset researchers producing consistently top-ranked research content. He is a regular presenter and moderator at BofA and industry conferences focussed on derivatives, quant and risk premia strategies. Previously, he worked at Barclays as a vice president in equity derivatives research. Deb has a BSc (Hons) in Physics from the University of Delhi, a BA in Computation from the University of Oxford and an MSc in Advanced Computing from Imperial College, London.
Sophie Granchi has over 25 years experience selling Equity derivatives to UK & US Hedge Funds and Asset managers. She was leading EQD sales desks at BNP, Dresdner & Nomura and worked for Lehman Brothers. She joined Eurex a year ago as an Equity & Index sales, based in Paris. Among others, she leads the sales efforts in VSTOXX futures and options in Europe.
Cathal has over 12 years’ experience working for options market making firms in Europe. After completing his MSc in Finance from the London School of Economics, he started his career in Susquehanna in 2011. In 2018 Cathal joined IMC to set up the Direct Counterparty (DCP) Trading desk.
Russell Rhoads is a faculty member at the Kelley School of Business at Indiana University who also offers independent analysis of listed derivative markets. His career spans 20 years on the buyside with firms like Balyasny Asset Management and Millennium Management. Before joining Kelley, Russell taught at other universities and was head of the Options Institute at Cboe Global Markets.
As Global Head of Index Product Innovation, Hamish Seegopaul leads STOXX’s efforts to develop a portfolio of concepts and capabilities designed to meet modern investor needs. Hamish has held several roles at the company, including Head of Index R&D, and Head of Axioma’s index business.
Prior to joining Axioma, Hamish spent nearly a decade at Credit Suisse, where he ultimately held leadership roles on their Quantitative Investment Strategies and Commodities desks. He started his career at Dow Jones Indices.
He holds an MBA from London Business School and a BA in Mathematics from the University of North Carolina at Chapel Hill.