1 / 16

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.

ryann
Télécharger la présentation

Saen Options B.V.

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Saen Options B.V. Wouter Buitenhuis & Bastiaan de Geeter

  2. Saen Options B.V. • Amsterdam (35 employees, 20% PhD) • European Markets • Chicago • American Markets • Sydney • Asian Markets

  3. Saen Options B.V. • Knowledge company • Result driven • Innovative • Dynamic • Pragmatic • Informal

  4. Saen Options B.V. • Private company • Proprietary trading • Zero clients • Euronext Liffe, Eurex, Xetra, LSE, NSC, CBOE, BOX, ASX

  5. 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

  6. Different Strategies • Liquidity providing • Position trading • Statistical arbitrage • Corporate events

  7. Liquidity providing • Profit from bid-ask spread • Inventory optimization problem • Need • Fast market connections • Accurate pricing

  8. Example • AEX index option market making • 12 expirations, 500 strikes • Market maker obligations • Quote obligations • Market maker benefits • More bandwidth • Lower transaction costs

  9. Statistical Arbitrage • Find opportunities • Equity spreads • Option spreads • Use time-series analysis to find relations • Develop trading strategies • Automate trading strategies

  10. Example • Shell / BP equity spread • Cointegration tests • Fundamental analysis of spread • Develop trading strategy • Develop risk analysis • Implement strategy

  11. Position trading • Based on fundamental research • Macro economics • Dividends • Tax arbitrage • Option sensitivities • Gamma • Vega • rho, • delta

  12. Corporate event • How does an event influence contract specifications ? • Option theory • What happens with relation between different products ? • Arbitrage • How will market respond ? • Behavioral

  13. Example Effect of merger and acquisitions on: • Implied volatility • Equity spread of two stocks • Credit ratings • Weights in indices

  14. Possibilities at Saen • Trader • Research • Algorithmic trading • Analyst • Developer

  15. Requirements • Perseverance • Competitive • Entrepreneurial • Quantitative (PhD ++) • Statistics, econometrics, finance • Programming experience (Excel / Vba, C/C++, Splus / R, Java, Matlab ect.)

  16. Wouter Buitenhuis (Algorithmic trading) (+31) (20) 6259115 w.buitenhuis@saen.nl Bastiaan de Geeter (research) (+31) (20) 638 6371 b.de.geeter@saen.nl Contact Ida van der Steur (Human Resources) PO box 3728 1001 AM Amsterdam (+31) (20) 6259115 I.van.der.Steur@saen.nl

More Related