CBOEs 29th Annual Risk Management Conference Agenda

Sunday, March 3, 2013

11:00 5:30
4:30 5:30
- An analysis of the historical performance of premium selling and tail risk strategies
Chris Cole, Managing Partner, Artemis Capital Management LLC
3:15 3:30 Coffee Break
Timothy Weithers, Co-Director of Education, Chicago Trading Company, LLC
Conference Registration: AVIARA SALON
12:30 1:45
1:45 2:00 Session break
2:00 3:15
Fundamentals of Options and Options Strategy
- Option terminology, mechanics and profit/loss diagrams of investor strategies
- Option prices and market dynamics
Managing Positions Pre- and Post-Trade
David Mitchell, Equity Derivative Application Specialist, Bloomberg
3:30 4:45
Registration Continues
6:00 8:30 Opening Reception: Palm Courtyard (weather permitting) or AVALON Room Lower
Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC
VIX Paradigm & Paradox
- Examining how macro trends and new supply/demand characteristics are changing the
dynamics of VIX derivatives
AVIARA SALON A
- Review of option risk measures (the Greeks)
- Pre-trade Rich/Cheap Analysis
- Scenario & Horizon Analysis
- Managing options positions over time (getting in, getting out, rolling up, down and out)
Michael Schmanske, Founder and Portfolio Manager, Glenshaw Capital Management
LLC
Jim Bittman, Senior Instructor, CBOE Options Institute
- Traditional and new approaches to trading volatility
- Characteristics of volatility, and volatility of volatility
Monday, March 4, 2013
10:00 - 10:15
1:15 1:30
1:30 - 2:45 Grand Ballroom A Grand Ballroom D
Using Short Options Positions to Manage
and Lower Volatility of an Equity Portfolio
Alpha Opportunities in Equity Derivatives
Created by Macro Uncertainty
- Pros and cons of using index options versus
individual equity options
- Crisis fatigue and high central bank liquidity
is creating attractive risk premiums to harvest
in equity derivatives
- Creating a portfolio of staggered and
laddered option positions to mitigate pin risk
and lower overall volatility
- Surprisingly, there is not just one risk
premium, but many that can be turned into
uncorrelated alpha sources
- Different types of option contacts to use and
benefits of each: traditional listed, flex, OTC,
weeklys
- Why a market in which many find it hard to
generate alpha, is benefiting the derivatives
market
Using technical and volatility analysis for
dynamic strike and tenor selection
Benjamin Bowler, Global Head of Equity
Derivatives Research, BofA Merrill Lynch
- Implementing options-based programs in a
pension plan
Michael Wexler, Founder and CEO, Maple
Leaf Capital
John Colville, Chief Investment Officer,
City of Sacramento
Scott Maidel, Senior Portfolio Manager /
Trader, Equity Derivatives, Russell
Investments
Victor Viner, President/CIO/Co-Portfolio
Manager, V2 Capital
Grand Ballroom A Grand Ballroom D
Left and Right Tail Risk Hedging and Carry Realized Variance Strategies and
Implementation
- Leveraging the main (i.e. long) portfolio as a
way to mitigate the negative carry of tail
hedging
-Listed variance futures design and trading
- Finding value across various markets (US
equities, commodities, HY bonds, world
equities, EM equities)
-Variance strategies and relationships to
volatility markets
- Using leverage to offset the negative carry of
tail protection across different markets
-The effects of convexity and the price of
convexity
Robert Gingrich, Risk Analyst, Western
Asset Management
-Trading variance vs. volatility
Aashish Vyas, President, Silk Road Asset
Management
John Hiatt, Director, Research and Product
Development, CBOE
Vishnu Kurella, Portfolo Manager,
BlueMountain Capital Management
Trading Innovation: A Financial Exchange for Intellectual Property Rights
Gerard J. Pannekoek, President & CEO, Intellectual Property Exchange International,
Inc. (IPXI)
Coffee break
7:30 8:30 Buffet Breakfast: Aviara Salon
Conference Registration: Grand Foyer
8:30 9:00 Keynote Speaker: William J. Brodsky, CBOE Chairman and CEO
CBOE and Options Industry Update
9:00 - 10:00 Keynote Speaker: John Coates, Senior Research Fellow in Neuroscience & Finance,
University of Cambridge
New Research in Neuroscience & Finance; The Biology of Risk Taking
10:15 - 11:30
Moderator: Phillip Kosmala, Managing Director, Taiber Kosmala and Associates, LLC
Clayton Cutler, Head of Risk Trading and Portfolio Management, The Hartford
Lunch and networking
3:00 4:15
Session break
11:30 12:45
12:45 1:15
2:45 3:00 Coffee break
Greg McMurran, Chief Investment Officer, Analytic Investors
Keynote Panel: Trends in Institutional Options Usage
David Villa, Chief Investment Officer, State of Wisconsin Investment Board
What strategies are institutional investors employing and why?
Nancy Davis, Director of Derivatives, AllianceBernstein
Tuesday, March 5, 2013
7:15 - 8:00
Grand Ballroom A Grand Ballroom D
VIX ETPs, Interrelationships between
Volatility Markets and Implications for
Investors and Traders
Portfolio Construction: Finding Options
Where You Least Expect Them
- Design of first and second generation VIX
strategy indexes
- Portfolio exposures are not as linear as we
think. Investors can achieve options-like risks
and payoffs without owning any options.
- Utility for longer term investors and shorter
term traders
- How do managers maintain a desired
market exposure?
- Fundamental vs. structural impacts on pricing
in volatility markets
- Best strategies to achieve the desired
balance of risk and reward in investors
portfolios
- How liquidity issues matter in choosing
products and strategies
Zem Sternberg, Managing Partner, Lake
Hill Capital Management
Spencer Cross, Co-Head Index Volatility
Trading, Citigroup Global Markets
Sorina Zahan, Partner, Core Capital
Management
Frank Luo, Head of Index Research and
Design, S&P Dow Jones Indices
What Everyone Needs to Know About
Listed Options Taxation
Volatility Management of Equity-Based
Insurance Guarantees
- Puts, calls & their effect on dividends - Introduction to Equity Based Insurance
Guarantees
- Differing taxation of index and ETF options - New product designs including volatility
control products, low volatility by stock
selection and VIX-linked structures
- Replicating structured notes with listed
options
- Volatility profile of equity based insurance
guarantees, with and without new designs
- Using portfolio margining to increase liquidity
from concentrated stock positions
- How insurance companies manage risks
Michael Leon, Senior Vice President,
Northern Trust
Michael Lynch, Vice President, Twenty-
First Securities Corporation
Mark Hadley, Vice President, Financial
Engineering, Numerix
William Paul, Tax Partner, Covington &
Burling LLP
Stephen Stone, Senior Vice President, AIG
Life and Retirement
12:15
7:00 - 9:00
The Hundred Year StormFive Times in 20 Years? - Looking Back and Looking Forward on
Financial Market Shocks
End of Conference Sessions
Buffet Breakfast: Aviara Salon
Keynote Speaker: Dean Curnutt, CEO, Macro Risk Advisors
1:00 Golf Tournament: Aviara Golf Club
Buffet dinner and networking: Avalon Terrace (casual dress, outdoors)
9:00 9:15 Session Break
9:15 -10:30
10:30-11:00
8:00 9:00
11:00- 12:15
Coffee Break