Saen Options B.V.

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

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Saen Options B.V.

• Private company
• Proprietary trading
• Zero clients
• Euronext Liffe, Eurex, Xetra, LSE, NSC, CBOE,
  BOX, ASX

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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

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Different Strategies

• Liquidity providing
• Position trading
• Statistical arbitrage
• Corporate events

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Liquidity providing

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

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Example

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

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Statistical Arbitrage

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

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Example

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

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Position trading

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

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Corporate event

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

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Example

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

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Possibilities at Saen

• Trader
• Research
• Algorithmic trading
• Analyst
• Developer

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Requirements

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

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Contact

• Wouter Buitenhuis
• (Algorithmic trading)
• (31) (20) 6259115
• w.buitenhuis_at_saen.nl

• Bastiaan de Geeter
• (research)
• (31) (20) 638 6371
• b.de.geeter_at_saen.nl

Ida van der Steur (Human Resources) PO box
3728 1001 AM Amsterdam (31) (20)
6259115 I.van.der.Steur_at_saen.nl