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