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CBOE RMC US 2015 Wednesday – Friday, March 4 - 6, 2015 ... Flipbook PDF
CBOE RMC US 2015 Wednesday – Friday, March 4 - 6, 2015 Park Hyatt Aviara, Carlsbad, California Wednesday, March 4, 2015
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CBOE RMC US 2015 Wednesday – Friday, March 4 - 6, 2015 Park Hyatt Aviara, Carlsbad, California
Wednesday, March 4, 2015 11:00 – 5:30
Conference Registration
12:30 – 1:45
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
Arbitraging Volatility Estimates
- 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
- A new tradable estimate based on High and Low Bruno Dupire, Head of Quantitative Research, Bloomberg
- Trading different estimates of volatility: Frequency arbitrage and beyond - When is a volatility estimate tradable?
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?" Keith Black, Ph.D., CAIA, CFA, Managing Director, Curriculum and Exams, Chartered Alternative Investment Analyst (CAIA) Association 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, Portfolio Manager, Investment Management Division, Goldman Sachs Mahsa Zeinali, Chief Operating Officer, Rosen Capital Advisors
4:30 – 5:30 6:00 – 8:30
Registration continues Opening Reception: Cocktails and Dinner
Thursday, March 5, 2015 7:30 – 8:30
Buffet Breakfast Conference Registration
8:30 – 9:00
Edward L. Provost, President & Chief Operating Officer, CBOE Holdings, Inc. Welcome and CBOE Update
9:00 - 10:00
Keynote Speaker: Zachary Karabell, President, River Twice Research; Contributing Columnist to Reuters, The Atlantic, Slate, The Washington Post, Time & The Wall Street Journal How Leading Indicators Can Be Misleading, and How to Better Interpret Risks and Opportunities
10:00 - 10:30
Coffee break
10:30 - 11:30
Steroids, Credit Growth and the Derivatives Blow Up Hall of Fame Dean Curnutt, CEO, Macro Risk Advisors
11:30 – 1:00
Lunch and networking
1:00 - 2:00
Panel on Trends in Institutional Options and Volatility Product Usage Moderator: Christine Williamson, Senior Reporter, Pensions & Investments Vijoy Paul Chattergy, Chief Investment Officer, Employees' Retirement System of the State of Hawai'i (HIERS) Mike Edleson, Chief Risk Officer, The University of Chicago David Goerz, Former EVP - Head of Investment Strategy & Risk Management, Alberta Investment Management Corp. Søren Grooss, Portfolio Manager, PKA
2:00 - 2:15 2:15 - 3:30
Session Break Backtesting: A Practitioner’s Guide to Assessing Strategies and Avoiding Pitfalls - Top ten list of backtesting pitfalls that have occurred, some infamously, and intuitive explanations of what went wrong - Better procedures for assessing strategies with rigorous detail provided - Case studies of how useful backtests can and have been done in practice Amna Qaiser, Portfolio Manager, Goldman Sachs Asset Management Olivier Sarfati, Head of US Trading Strategies, Citigroup
3:30 – 3:45 3:45 - 5:00
Coffee Break Art of Hedging - How different client objectives influence hedging strategies - Comparing VIX and SPX hedging strategies; when to use, how to size trades, how to manage positions over time - Lessons learned from volatility arbitrage trading applied to tail risk hedging strategies - Detailed examples of what works, and what doesn’t Arie Aboulafia, Senior Portfolio Manager, Capstone Investment Advisors, LLC Boris Lerner, Head of US Quantitative and Derivatives Strategy, Morgan Stanley
Volatility of Volatility
- Understanding the distributions of realized and implied volatility - Key differences between volatility of volatility and volatility of spot - Structuring trading and hedging strategies using a variety of instruments - Impact of trading flows on volatility of volatility levels Benn Eifert, Ph.D., Portfolio Manager, Mariner Investment Group Kambiz Kazemi, Portfolio Manager, Picton Mahoney Asset Management
Interest Rate Volatility - Historical perspectives on rates and rate volatility, and a prognosis of what will drive markets this year - Complementary dynamics between equity and interest rate volatilities - Rate volatility hedging and trading strategies involving OTC and listed products including VXTYN futures Yoshiki Obayashi, Managing Director, Applied Academics, LLC Basil Williams, Co-Chief Investment Officer, Mariner Investment Group
Friday, March 6, 2015 7:15 - 8:00
Breakfast
8:00 – 9:00
Volatility Around the World Krag “Buzz” Gregory, Equity Derivatives Strategist, Goldman Sachs
9:00 – 9:15
Session Break
9:15 -10:30
Risk Premia and Volatility Selling Strategies - Theory versus reality in implementing systematic volatility selling strategies - Managing gap risks
Correlations Between Stocks and Between Sectors - What options traders need to learn from trading in correlation and dispersion - Update on correlation across different markets - How risk premia strategies fit in the context of - Measuring and harvesting correlation risk macro level fund management premia Defina Maluki, Portfolio Manager, Barclays Jason Goldberg, Portfolio Manager, Wealth and Investment Management PIMCO Donald Pierce, CFA, Chief Investment Marko Kolanovic, Global Head of Officer, San Bernardino County Employees' Quantitative and Derivatives Strategy, J.P. Retirement Association Morgan
10:30-11:00
Coffee Break
11:00- 12:15
Leveraging Cross-Asset Volatility Dynamics in Forecasting and Trading - Volatilities across asset classes have been increasingly driven by similar central factors - However, divergences can emerge, particularly during times of stress - Monitoring cross asset volatility relationships can aid in forecasting risk and identifying trading opportunities Brandon Bates, Portfolio Manager, BlackRock Benjamin Bowler, Co-Head of Global Equity Derivatives Research, BofA Merrill Lynch
Selling Volatility Safely: VIX, VXX, and Other Short Volatility Option Strategies - The essence of VXX: a volatility trade for short time horizons, a term structure trade for longer horizons - The VXX’s path dependence - Economic differences between VIX and VXX option strategies - Divergences between realized and implied volatility strategies - Sizing & managing short volatility trades: managing risk versus premium outlay - Impact of volatility ETPs on the volatility market David Burchmore, Portfolio Manager, Ontario Teachers' Pension Plan Rocky Fishman, CFA, Equity Derivatives Strategy, Deutsche Bank Securities Inc.
12:15
End of Conference Sessions
1:00
Golf Tournament
7:00 - 9:00
Buffet dinner