Day One of 31st Annual Risk Management Conference Agenda

CBOE’s 31st Annual Risk Management Conference (RMC) will be held March 4 – 6, 2015 at the Park Hyatt Aviara in Carlsbad, California.  RMC is the premiere financial industry conference designed for institutional users of equity derivatives and volatility products.  If you’re a financial professional interested in learning the latest risk management techniques and how to trade and hedge volatility, CBOE’s Risk Management Conference is an event you won’t want to miss.

The Park Hyatt Aviara is along the Pacific Ocean, 25 miles North of San Diego and 50 miles South of Orange County, California.  This year’s US conference has again drawn tremendous interest.  The CBOE RMC Europe in Dublin last September received high praise from attendees.

DAY 1 AGENDA:  WEDNESDAY, MARCH 4, 2015

11:00 – 5:30:  Registration

12:30 – 1:45  Track One

Primer on Volatility Analysis and Trading Strategies

– Theory and practice of trading volatility by delta-hedging plain vanilla options versus trading in VIX-related products
– Stock index volatility skew and term structure and impacts on VIX-related products
– The design and performance of long, short and dynamic VIX-linked ETPs
– Utility for longer term investors and shorter term traders

Samuel Kadziela, Director of Education, Chicago Trading Company, LLC
Berlinda Liu, Director of Index Research and Design, S&P Dow Jones Indices

12:30 – 1:45   Track Two

Arbitraging Volatility Estimates

– Trading different estimates of volatility: Frequency arbitrage and beyond
– When is a volatility estimate tradable?
– A new tradable estimate based on High and Low

Bruno Dupire, Head of Quantitative Research, Bloomberg

1:45 – 2:00 Session Break

2:00 – 3:15   New Benchmark Indexes & Study on Use of Options by Mutual Funds and ETFs
– Beyond the BXM and PUT – Introducing new strategy benchmark indexes that use index options
– Presentation of a study with a novel list of dozens of ’40 Act funds that use options for portfolio management
– Discussion of issues such as, “Have options-based funds and benchmark indexes delivered lower volatility and higher risk-adjusted returns?”

William Speth, Vice President, Research and Product Development, CBOE
Edward Szado, Assistant Professor of Finance, Providence College

3:15 – 3:30   Coffee Break

3:30 – 4:45  The Evolution of Options Strategies on the Buy Side Trading Desk
– Selecting order channels for optimal execution
– The role of algos in options trading
– The benefits and challenges of extended hours trading
– Maximizing the value of the broker balance sheet
– The role of weekly options in institutional portfolios

Moderator: Andy Nybo, Principal, Head of Derivatives, TABB Group
Andrew Claeys, CFA, Director of Trading, Analytic Investors
Ken Kwalik, Vice President, Goldman Option Advisory Services
Mahsa Zeinali, Chief Operating Officer, Rosen Capital Advisors

4:30 – 5:30  Registration Continues

6:00 – 8:30  Opening Reception and Dinner

There is limited space available at CBOE RMC.  For more information about the full agenda, topics, speakers and registration forms, go to http://www.cboermc/agenda

We will be reporting from each presentation all three days with updates, Tweets, Blogs, CBOETV, etc. and will be talking to presenters and attendees.   To follow the conference go to cboermc.com.

Last Week in VIX – 1/25/2015

The S&P 500 was strong and VIX was weak last week. We returned to contango in VIX world as the S&P 500 was up 1.6% for the week. This despite having a tough Friday. Note the February future is at a pretty nice premium to the spot index. This may be a function of the […]

Last Week in Volatility Indexes and ETPs – 1/25/2015

Last week was another roller coaster ride for the equity market and subsequently the volatility markets. The VXST – VIX – VXV – VXMT volatility curve shifted back into contango and shook off a mild market drop on Friday to stay that way. With VIX having a 16 handle, I am beginning to wonder if […]

Block Trade Analysis – VIX Jan 20 Calls from 1/20/2015

Yesterday as the trading day got started I heard a shout to my right (which is the direction of the VIX pit) as a big trade came into the VIX arena. It turns out all the hubbub was about a buyer of 80,000 VIX Jan 20 Calls who paid 0.75 for 8,370 and 0.80 for […]

Last Week in VIX – 1/18/2015

If the January VIX futures could speak they probably would say something like, “I told you so”. Of course the contracts can’t speak, but the point behind this is a week ago the January contract closed at a pretty substantial premium to VIX relative to recent history. A week later both the January contract and […]

Last Week in Volatility Indexes and ETPs – 1/18/2015

Despite Friday’s rally, the S&P 500 was down four of five days and gave up about 1.25% last week. At the worst point the S&P 500 was down over 3% on the week and then of course it shook off the dip and rallied to end the week. You can’t keep a good market down […]

Fear of Fear Itself Reaches Crisis Levels

Franklin Delano Roosevelt would be disappointed. The US fear index, officially named the CBOE Volatility Index (VIX), has ticked up, averaging 16.4 since the beginning of Q4 2014, compared to 13.5 in the first three quarters of last year. If the story stopped there, we might still be able to look FDR in the eye. […]

New Study Presents First-Ever List of 119 Funds That Use Options – By Matt Moran

A groundbreaking new study — “Highlights of Performance Analysis of Options-Based Equity Mutual Funds, CEFs, and ETFs” — analyzed SEC-regulated investment companies that focus on use of exchange-listed options for portfolio management (options-based funds). Key highlights of the study are summarized below, and for more analysis please visit www.cboe.com/funds. CO-AUTHORS of the CBOE-commissioned study (on […]

Last Week in VIX – 1/11/2015

This past week was one of those where the week over week change in the VIX term structure does no justice whatsoever to the price action. The S&P 500 dropped 0.65% from Friday to Friday. However, at the worst point the S&P 500 was down 3.2% and at the highest point the S&P 500 was […]

Last Week in Volatility Indexes and ETPs – 1/11/2015

When we have volatile weeks like last week I will alter the various term structure of volatility charts included in these blogs. The first graphic is an example of this where I added Tuesday’s closing levels for VXST, VIX, VXV, and VXMT to the typical week over week curve. Something that really stands out to […]

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