2010 Agenda
26th Annual Risk Management Conference Agenda and List of SpeakersIf you would like to contact any of the speakers from this year's RMC send an email to institutional@cboe.com or call 312-786-8310 for assistance.
Sunday, March 7, 2010
| 11:00 - 12:30 | Conference Registration |
| 12:30 - 1:45 | Fundamentals of Options Part One: Options Strategy and Pricing - Profit/loss diagrams of investor strategies - Options strategies to fit asset allocation goals - Introduction to option price behavior Jim Bittman, Senior Staff Instructor, CBOE Options Institute Presentation - Fundamental Session 1 |
| 1:45 – 2:00 | Session break |
| 2:00 – 3:15 | Fundamentals of Options Part Tw The Role of Market Makers - Misconceptions and conceptions about market makers - Delta-neutral and volatility trading from a market maker perspective - Position risks: Delta, Gamma, Vega and Theta and relevance to investors Joseph E. Bonin, Managing Partner, Navigate Advisors LLC Presentation - Fundamental Session 2 |
| 3:15 – 3:30 | Coffee break |
| 3:30 – 4:45 | Fundamentals of Options Part Three: Harvesting Volatility - Introduction to the VIX index and VIX futures and options - Options-related strategy indexes including BXM, CBOE's BuyWrite index and VPN, CBOE's Capped VIX Premium index - Practical implementation issues Andrew Baehr, Managing Director in Global Equities and Commodity Derivatives, BNP Paribas Jack Hansen, CIO, The Clifton Group Paul Stephens, Director, Chicago Board Options Exchange Presentation - Fundamental Session 3, Part A Presentation - Fundamental Session 3, Part B Click here for an interview with Jack Hansen on CBOE TV |
| 4:30 – 5:30 | Conference Registration |
| 6:30-8:30 | Welcome reception and dinner |
Monday, March 8, 2010
| 7:45 – 8:30 | Buffet Breakfast & Conference Registration | |
| 8:30 – 9:00 | Welcome Remarks by William J. Brodsky, CBOE Chairman and CEO | |
| 9:00 – 10:00 | Keynote Speaker: Dr. Pippa Malmgren, President, Canonbury Group "Politics, Policy and the Financial Markets: Trading Opportunities in the New (Reformed) Regulatory Environment" Click here for an interview with Dr. Malmgren on CBOE-TV | |
| 10:00 - 10:15 | Coffee break | |
| 10:15 - 11:15 | Keynote Speaker: Dr. Benn Steil, Senior Fellow and Director of International Economics, Council on Foreign Relations "The Dollar Dilemma" Benn Steil Presentation Click here for an interview with Dr. Steil on CBOE-TV | |
| 11:15 – 11:30 | Coffee break | |
| 11:30 - 12:30 | Equity Volatility and the Business Cycle - Economic and multi-asset models for forecasting equity-related volatility - Observations from past business cycles - Implications for VIX and volatility trading Krag "Buzz" Gregory, Equity Derivatives Strategist, Goldman Sachs | |
| 12:30 – 1:45 | Lunch and networking | |
| 1:45 – 3:00 | Assessing Volatility and Correlation Trading Strategies - Pros and cons of various volatility trading methods - Current assessments of the volatility risk premium - Tools for analyzing volatility and correlation - Trends in product usage, strategies and potential results Rick Jen, Senior Portfolio Manager, Wolverine Asset Management Puneet Kohli, Portfolio Manager, National Bank of Canada Mike Merucci, Portfolio Manager and Trader, Pengana Capital | Sentiment Signals from Options Markets -Reading volume and open interest patterns - Gamma scalping & pin risk - Forecasting price impact and timing of catalysts - Case studies Marko Kolanovic, Ph.D., Global Head of Derivatives and Delta One Strategy, J.P. Morgan Securities Inc.Marko Kolanovic Presentation Paul G. Staneski, Ph.D., Global Head of Derivatives Solutions & Training, Credit Suisse Securities (USA) LLC Paul G. Staneski Presentation |
| 3:00 – 3:15 | Coffee break | Coffee break |
| 3:15 – 4:30 | Equity-Related Volatility Skew - Option models and the real world - Modeling the skew - Skew risk and changing market conditions - Skew sensitive trading strategies Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC Timothy Weithers, Co-Director of Education, Chicago Trading Company, LLC Natenberg & Weithers Presentation | The Options Trading Landscape as Seen by the Buy-side - Results from a 2010 Options study - Insights on who uses what products and strategies and why they do so - Best practices in analytics and execution techniques Jay Easterling, Managing Director, Gargoyle Asset Management LLC Gary McAnly, Director of Trading, Oppenheimer Capital David W. Mortimer, Managing Director, Equity Options, Pipeline Andy Nybo, Principal, Head of Derivatives, TABB Group Easterling, McAnly, Mortimer & Nybo Presentation Click here for an interview with Andy Nybo on CBOE TV |
Tuesday, March 9, 2010
| 7:15 - 8:00 | Buffet Breakfast | |
| 8:00 - 9:00 | Keynote Speaker: Dr. David M. Blitzer, Managing Director and Director of the Index Committee, Standard & Poor's Bubble Risk Management: Strategies for Identifying and Responding to Financial Bubbles David Blitzer Presentation Click here for an interview on "Bubble Risk" with David Blitzer on CBOE TV | |
| 9:00 - 9:15 | Coffee Break | Coffee break |
| 9:15 - 10:30 | Insurance Industry Usage of Equity Derivatives - Fundamentals of insurance structures and equity derivative product needs - Special regulatory, operational and other concerns that impact valuations of long-term interest rates and equity volatilities - Policy behavior, liquidity and counterparty concerns Simon Babbs, Head of Quantitative Risk Management, The Options Clearing Corporation Simon Babbs Presentation Ken Mungan, Financial Risk Management Practice Leader, Milliman Ken Mungan Presentation Click here for an interview with Ken Mungan on CBOE TV | Dividend Swaps, Options & Futures - Dividends as an asset class - Key characteristics of dividend indexes and fair value pricing - Development of the listed dividend futures and options market - Practical applications of dividend-based strategies on single stocks and indices Charles de Boissezon, Equity Derivatives Engineering & Advisory, Société Générale Charles de Boissezon Presentation Sarah Dahan, Portfolio Manager, Blue Mountain Capital Sarah Dahan Presentation Click here for interviews on CBOE TV with David Blitzer, Chairman of the Index Committee, S&P Indices; Sarah Dahan and Charles de Boissezon |
| 10:15 -10:30 | Session Break | Session break |
| 11:00 - 12:15 | Bringing Exotic Models Home - Replicating exotic option structures with listed options - Exotic options embedded in insurance products - Outsourcing vs. DIY - Pre- and post-trade attribution analysis Brayton Li, Senior Managing Director, Derivatives, Principal Life Insurance Company Brayton Li Presentation Izzy Nelken, President, Super Computer Consulting Izzy Nelken Presentation | Convertible Bond Arbitrage and Listed Options - Trends in the convertible bond marketplace - Trading techniques for locking in profits and managing risk - Perspectives on volatility trading J.D. Cronin, Derivatives Analyst, Concept Capital Jonathan Havice, COO, Interlachen Capital Group, LLC Cronin & Havice Presentation |
| 12:15 | End of Conference Sessions | |
| 1:00 | Golf Tournament at Tiburon | |
| 6:00 -8:00 | Buffet Dinner for all conference attendees at Tiburon | |
Listed speakers are confirmed. Some session topics or speakers may change. Please check back for updates.
If you would like to contact any of the speakers from this year's RMC send an email to
institutional@cboe.com or call 312-786-8310 for assistance.
2010 RMC SPEAKERS
Simon Babbs, Head of Quantitative Risk Management, The Options Clearing Corporation
Andrew Baehr, Managing Director in Global Equities and Commodity Derivatives, BNP Paribas
Jim Bittman, Senior Staff Instructor, CBOE Options Institute
Dr. David M. Blitzer, Managing Director and Director of the Index Committee, Standard & Poor's
Charles de Boissezon, Equity Derivatives Engineering & Advisory, Société Générale
Joseph E. Bonin, Managing Partner, Navigate Advisors LLC
Willam J. Brodsky, Chairman and CEO, Chicago Board Options Exchange
J.D. Cronin, Derivatives Analyst, Concept Capital
Sarah Dahan, Portfolio Manager, Blue Mountain Capital Mangement
Jay Easterling, Managing Director, Gargoyle Asset Management LLC
Krag "Buzz" Gregory, Equity Derivatives Strategist, Goldman Sachs
Jack Hansen, CIO, The Clifton Group
Jonathan Havice, COO, Interlachen Capital Group, LLC
Rick Jen, Senior Portfolio Manager, Wolverine Asset Management
Puneet Kohli, Portfolio Manager, National Bank of Canada
Marko Kolanovic, Ph.D., Global Head of Derivatives and Delta One Strategy,
J.P. Morgan Securities Inc
Brayton Li, Senior Managing Director - Derivatives, Principal Life Insurance Company
Dr. Pippa Malmgren, President, Canonbury Group
Gary McAnly, Director of Trading, Oppenheimer Capital
Mike Merucci, Portfolio Manager and Trader, Pengana Capital
David W. Mortimer, Managing Director, Equity Options, Pipeline
Ken Mungan, Financial Risk Management Practice Leader, Milliman
Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC
Izzy Nelken, President, Super Computer Consulting
Andy Nybo, Principal, Head of Derivatives, TABB Group
Paul G. Staneski, Ph.D., Global Head of Derivatives Solutions & Training, Credit Suisse Securities (USA) LLC
Dr. Benn Steil, Senior Fellow and Director of International Economics, Council on Foreign Relations
Paul Stephens, Director, Chicago Board Options Exchange
Timothy Weithers, Co-Director of Education, Chicago Trading Company, LLC
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