saen options b.v
DESCRIPTION
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. - PowerPoint PPT PresentationTRANSCRIPT
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
Bastiaan de Geeter
(research)
(+31) (20) 638 6371
Ida van der Steur
(Human Resources)
PO box 3728
1001 AM Amsterdam
(+31) (20) 6259115