2012 Agenda
CBOE's 28th Annual Risk Management Conference™ Agenda
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Sunday, March 11, 2012
| 11:00 – 5:30 | Conference Registration in the Calusa Foyer | |
| 12:30 – 1:45 | Options Fundamentals for Investors Part One: Options Strategy and Pricing - Option terminology, mechanics and profit/loss diagrams of investor strategies - Option prices and market dynamics - Managing market exposure using options - Option basics for institutional investors Jim Bittman, Senior Staff Instructor, CBOE Options Institute Gary Trennepohl, Trustee - Oklahoma Teachers Retirement System and ONEOK Professor of Finance at Oklahoma State University Bittman & Trennepohl Presentation | Options Fundamentals for Traders Part One: Synthetic Option Strategies - There's more than one way to get long or short - Arbitrage relationships - Review of option risk measures (the "Greeks") -What are option market-makers thinking? Timothy Weithers, Co-Director of Education, Chicago Trading Company, LLC Timothy Weithers Presentation |
| 1:45 – 2:00 | Coffee break | |
| 2:00 – 3:15 | Options Fundamentals for Investors Part Tw The Case for Selling Options – Using Options to Enhance Returns and Dampen Volatility - Rationale and benefits of selling volatility using equity index options - Considerations for incorporating a volatility selling strategy within a diversified portfolio - How selling volatility works - exchanging equity risk premium for insurance risk premium Brad Johnson, CFA, Investment Consultant, Cambridge Associates, LLC Highlights from the Benefits of Selling Volatility Jay H. Strohmaier, CFA, Senior Portfolio Manager, The Clifton Group | Options Fundamentals for Traders Part TwVolatility Trading - Interpreting volatility data - Volatility characteristics - The role of volatility in strategy selection - Volatility in the real world Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC Sheldon Natenberg Presentation |
| 3:15 – 3:30 | session break | |
| 3:30 – 4:45 | Options Fundamentals for Investors Part Three:Institutional Investors Panel - What option based strategies are being employed? - How does one get these "complex" programs approved by committees and supported by consultants? - What are the lessons learned from using option based programs and where are the opportunities today? Moderator: Matt Moran, Business Development, CBOE Larry Anderson, EVP of Finance, Covenant Ministries of Benevolence Larry Krummen, Chief Investment Officer, MoDOT & Patrol Employees Retirement System Sue Slocum, Treasurer, Children's Health Care | Options Fundamentals for Traders Part Three:Using VIX to Trade Volatility - Traditional approaches to trading volatility - VIX methodology - Buying and selling VIX products - The term structure of volatility and volatility of volatility Samuel Kadziela, Associate Director of Education, Chicago Trading Company, LLC Samuel Kadziela Presentation |
| 4:30 – 5:30 | Registration continues | |
| 6:00– 8:00 | Opening Reception: Cocktails and dinner at the Waterfall Pool at Hyatt Regency | |
Monday, March 12, 2012
| 7:30 – 8:30 | Buffet Breakfast on the Calusa Terrace Conference Registration- Calusa Foyer | |
| 8:30 – 9:00 | Keynote Speaker: William J. Brodsky, CBOE Chairman and CEO | |
| 9:00 - 9:15 | Session break | |
| 9:15 - 10:30 | Keynote Speaker: PJ O' Rourke, Political Satirist, Journalist & Writer Market Freedom & Political Freedom; Packing the Dog with the Cat - Why, in a democracy, the best businessman and the best politician, even if they're the same person, have trouble getting along | |
| 10:30 - 10:45 | Coffee break | |
| 10:45 – 11:45 | Today's Volatility Environment and What to Do about It - Higher volatility and correlation levels have been a dominant driver of subpar active manager performance - Derivative overlay strategies can enhance yield and mitigate risk, but which ones work? - A comparison of portfolio hedging and yield enhancement strategies, analysis of lessons learned, and "what worked when" Krag "Buzz" Gregory, Equity Derivatives Strategist, Goldman Sachs | |
| 11:45 – 1:15 | Lunch and networking | |
| 1:15 – 2:30 | Options-Based Strategy Benchmarks - Option selling benchmarks such as the BXM, BXY, and PUT Indexes - Downside risk benchmarks that utilize VIX futures or options Mitch Boraz, Senior Consultant, Asset Consulting Group An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns Key Tools for Hedging and Tail Risk Management Berlinda Liu, Director of Index Research and Design, S&P Indices Berlinda Liu Presentation Shane Schurter, Senior Consultant, Hewitt EnnisKnupp The CBOE S&P 500 BuyWrite Index (BXM) - A Review of Performance | Technical vs. Fundamental Drivers of Volatility - Gamma hedging as a driver of SPX price patterns and volatility - Impact of market liquidity, stock correlations, and cross-asset links - A discussion of the European debt crisis Marko Kolanovic, Global Head of Derivatives and Delta One Research, J.P. Morgan Marko Kolanovic Presentation Pav Sethi, Chief Investment Officer, CEO, Gladius Investment Group |
| 2:30 – 2:45 | Session break | |
| 2:45 – 4:00 | How to Manage Tail Risk and Add Alpha - Who should hedge what types of existing risks and when? - Where can one find value in an environment of increasing correlations between stocks and between asset classes? - Tactics for creating alpha andmonetizing positions Donald Dale, Managing Partner, Derivaguard Advisors LLC Donald Dale Presentation Puneet Kohli, Portfolio Manager, National Bank of Canada Alternative Investments Puneet Kohli Presentation | Dispersion and Correlation Trading: What Worked, When, Why, and How? - An overview of the forms of fixed-strike and OTC dispersion/correlation strategies - A history of correlation trading performance, outright and benchmarked to common hedging strategies - A survey of potential pitfalls of the strategy Jon Loflin, Portfolio Manager, Overland Advisors Antoine Segaud, Structuring & Strategy, Equity & Commodity Derivatives, BNP Paribas |
Tuesday, March 13, 2012
| 7:15 - 8:00 | Buffet Breakfast on the Calusa Terrace | |
| 8:00 – 9:00 | Keynote Speaker: Tobias Levkovich, Chief US Strategist, Citigroup The Delve into Twelve (and Beyond) Tobias Levkovich Presentation | |
| 9:00 – 9:15 | Session Break | |
| CALUSA ABC CALUSA F | ||
| 9:15 -10:30 | Cross-Asset Volatility - Volatility as an asset class - Volatility across highly correlated assets - Global risk profiles Som Dasgupta, Portfolio Manager, Linden Advisers Brian Finn, Managing Director, Head of Correlation/Dispersion Risk Management and Industrials Derivatives Trading, Barclays Capital | Options Pricing Theory Revisited and the Impact on Long-Dated Index Options - A re-examination of how volatility, interest rates and dividends are measured and relevance to the insurance industry - Finding a role in option pricing for the expected rate of return on the underlying security - Resolving the conflict that might exist between competing market forces - The proper components of option value Richard R. Joss, Resource Actuary (Retired), Towers Watson Richard Joss Presentation Paul G. Staneski, Ph.D., Head of Derivatives Solutions & Training, Credit Suisse Securities (USA) LLC Paul Staneski Presentation |
| 10:30-11:00 | Coffee Break | |
| 11:00- 12:15 | Smart Hedging and Alpha Generation with VIX Options - Why equity volatility is one of the most attractive hedges across asset classes - VIX options: Among the best-performing tail hedges through the credit crisis - Value of "hedging your hedge" when volatility is elevated Nitin Saksena, US Equity Derivatives Research, BofA Merrill Lynch Marc-André Soublière, CFA, VP Fixed Income and Derivatives, Air Canada Pension Investments | Panel: Long-Dated Volatility Supply and Demand Dynamics and Implications for the Insurance Industry - Using short-dated options to manage long-dated risks - Long-term options outside the US - Liquidity and transparency in listed, FLEX and OTC long-term options - A discussion of portfolio margining and collateral Moderator: Kevin Duggan, Vice President of Equity Products, Ontario Teachers' Pension Plan Claudio Bufi, CFA, Product Development & Management, CI Investments Jonathan Bensimon, Head of Equities and Derivatives Trading, Société Générale Steve Karasick, Senior Portfolio Manager, Allstate Investments, LLC Steven Tumen, CEO, Equitec Group, LLC |
| 12:15 | End of Conference Sessions | |
| 1:00 | Golf Tournament at Old CorkscrewGolf Club (pre-registration required) | |
| 7:00- 8:45 | Closing dinner and networking on the Belvedere Terrace | |