saen options b.v

Saen Options B.V.

Wouter Buitenhuis &

Bastiaan de Geeter

Saen Options B.V.

• Amsterdam (35 employees, 20% PhD) – European Markets

• Chicago– American Markets

• Sydney– Asian Markets

Saen Options B.V.

• Knowledge company

• Result driven

• Innovative

• Dynamic

• Pragmatic

• Informal

Saen Options B.V.

• Private company

• Proprietary trading

• Zero clients

• Euronext Liffe, Eurex, Xetra, LSE, NSC, CBOE, BOX, ASX

Industry

• Low barriers to entry (market connection)• High barriers to entry (technology & research)• Result is a very competitive environment• Race for speed and optimizing trading

algorithms• Small profit margins, high turnover

Different Strategies

• Liquidity providing

• Position trading

• Statistical arbitrage

• Corporate events

Liquidity providing

• Profit from bid-ask spread

• Inventory optimization problem

• Need– Fast market connections– Accurate pricing

Example

• AEX index option market making

• 12 expirations, 500 strikes

• Market maker obligations– Quote obligations

• Market maker benefits– More bandwidth– Lower transaction costs

Statistical Arbitrage

• Find opportunities– Equity spreads– Option spreads

• Use time-series analysis to find relations

• Develop trading strategies

• Automate trading strategies

Example

• Shell / BP equity spread

• Cointegration tests

• Fundamental analysis of spread

• Develop trading strategy

• Develop risk analysis

• Implement strategy

Position trading

• Based on fundamental research• Macro economics• Dividends• Tax arbitrage• Option sensitivities

– Gamma– Vega– rho,– delta

Corporate event

• How does an event influence contract specifications ?– Option theory

• What happens with relation between different products ?– Arbitrage

• How will market respond ?– Behavioral

Example

Effect of merger and acquisitions on:

• Implied volatility

• Equity spread of two stocks

• Credit ratings

• Weights in indices

Possibilities at Saen

• Trader

• Research

• Algorithmic trading

• Analyst

• Developer

Requirements

• Perseverance

• Competitive

• Entrepreneurial

• Quantitative (PhD ++)

• Statistics, econometrics, finance

• Programming experience (Excel / Vba, C/C++, Splus / R, Java, Matlab ect.)

Contact

Wouter Buitenhuis

(Algorithmic trading)

(+31) (20) 6259115

w.buitenhuis@saen.nl

Bastiaan de Geeter

(research)

(+31) (20) 638 6371

b.de.geeter@saen.nl

Ida van der Steur

(Human Resources)

PO box 3728

1001 AM Amsterdam

(+31) (20) 6259115

I.van.der.Steur@saen.nl