•  
• Tweet
•  
•        Print
•  
•         Track Keywords
•  
• 

Benedicte Gravrand, Geneva: Opalesque talked to Conservative Concept back in May 2007 (see our exclusive article here), and the risk manager Mr. Schuermann said then he was expecting a rise in volatility in the summer – which would be good for the CC Athena OS Fund which trades in opportunities that arise from the volatility smile. That is just what happened. Maik Kaminski, portfolio manager, and Martin Hess, director, talked to Opalesque about how the fund has fared.

The CC Athena fund has been around for a while; it has been trading options on the S&P500 since 1998 and it is run by Maik Kaminski who has been trading options for 13 years now. Earlier this year, following a difficult week at the end of February, the CC team decided it was time to reassess the risk management. They developed a tool which they called the “Advanced Greeks Calculator” – a real-time tool for scenario analysis. “Through parameter changes, the revaluation is represented real-time for Delta, Theta and the proportional portfolio development for the entire portfolio,” Mr. Kaminski said. “The change of the volatility-smile (skewness)......................

To view our full article Click here