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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.

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Saen Options B.V.

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  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

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