2013 Agenda
29th Annual Risk Management Conference™ Agenda
Click here for a printer friendly version of the agenda.Sunday, March 3, 2013
| 11:00 - 5:30 | Conference Registration | |
| 12:30 - 1:45 | Fundamentals of Options and Options Strategy -Option terminology, mechanics and profit/loss diagrams of investor strategies -Option prices and market dynamics -An analysis of the historical performance of premium selling and tail risk strategies Jim Bittman, Senior Instructor, CBOE Options Institute Timothy Weithers, Co-Director of Education, Chicago Trading Company, LLC Bittman & Weithers Presentation | |
| 1:45 - 2:00 | Session break | |
| 2:00 - 3:15 | Managing Positions Pre- and Post-Trade -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) David Mitchell, Equity Derivative Application Specialist, Bloomberg Michael Schmanske, Founder and Portfolio Manager, Glenshaw Capital Management LLC Mitchell & Schmanske Presentation | |
| 3:15 - 3:30 | Session break | |
| 3:30 - 4:45 | VIX Paradigm & Paradox -Traditional and new approaches to trading volatility -Characteristics of volatility, and volatility of volatility -Examining how macro trends and new supply/demand characteristics are changing the dynamics of VIX derivatives Chris Cole, Managing Partner, Artemis Capital Management LLC Chris Cole Presentation Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC Sheldon Natenberg Presentation | |
| 4:30 - 5:30 | Registration Continues | |
| 6:30 - 8:00 | Opening Reception | |
Monday, March 4, 2013
| 7:30 - 8:30 | Buffet Breakfast Conference Registration | |
| 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 | |
| 10:00 - 10:15 | Session break | |
| 10:15 - 11:30 | Keynote Panel: Trends in Institutional Options Usage What strategies are institutional investors employing and why? Moderator: Phillip Kosmala, Managing Director, Taiber Kosmala and Associates, LLC Clayton Cutler, Head of Risk Trading and Portfolio Management, The Hartford Nancy Davis, Director of Derivatives, AllianceBernstein Greg McMurran, Chief Investment Officer, Analytic Investors David Villa, Chief Investment Officer, State of Wisconsin Investment Board | |
| 11:30 - 12:45 | Lunch and networking | |
| 12:45 - 1:15 | Trading Innovation: A Financial Exchange for Intellectual Property Rights Gerard J. Pannekoek, President & CEO, Intellectual Property Exchange International, Inc. (IPXI) Gerard J. Pannekoek Presentation | |
| 1:15 - 1:30 | Session Break | |
| 1:30 - 2:45 | Using Short Options Positions to Manage and Lower Volatility of an Equity Portfolio -Pros and cons of using index options versus individual equity options -Creating a portfolio of staggered and laddered option positions to mitigate pin risk and lower overall volatility -Different types of option contacts to use and benefits of each: traditional listed, flex, OTC, weeklys -Using technical and volatility analysis for dynamic strike and tenor selection -Implementing options-based programs in a pension plan John Colville, Chief Investment Officer, City of Sacramento Scott Maidel, Senior Portfolio Manager/Trader, Equity Derivatives, Russell Investments Scott Maidel Presentation Victor Viner, President/CIO/Co-Portfolio Manager, V2 Capital Victor Viner Presentation | Alpha Opportunities in Equity Derivatives Created by Macro Uncertainty -Crisis fatigue and high central bank liquidity is creating attractive risk premiums to harvest in equity derivatives -Surprisingly, there is not just one risk premium, but many that can be turned into uncorrelated alpha sources -Why a market in which many find it hard to generate alpha, is benefiting the derivatives market Benjamin Bowler, Global Head of Equity Derivatives Research, BofA Merrill Lynch Michael Wexler, Founder and CEO, Maple Leaf Capital Michael Wexler Presentation |
| 2:45 - 3:00 | Coffee break | |
| 3:00 - 4:15 | Left and Right Tail Risk hedging and Carry -Leveraging the main (i.e. long) portfolio as a way to mitigate the negative carry of tail hedging -Finding value across various markets (US equities, commodities, HY bonds, world equities, EM equities) -Using leverage to offset the negative carry of tail protection across different markets Robert Gingrich, Risk Analyst, Western Asset Management Robert Gingrich Presentation Aashish Vyas, President, Silk Road Asset Management Aashish Vyas Presentation | Realized Variance Strategies and Implementation -Listed variance futures design and trading -Variance strategies and relationships to volatility markets -The effects of convexity and the price of convexity -Trading variance vs. volatility John Hiatt, Director, Research and Product Development, CBOE John Hiatt Presentation Vishnu Kurella, Portfolio Manager, BlueMountain Capital Management Vishnu Kurella Presentation |
Tuesday, March 5, 2013
| 7:15 - 8:00 | Buffet Breakfast Conference Registration | |
| 8:00 - 9:00 | Keynote Speaker: Dean Curnutt, CEO, Macro Risk Advisors The Hundred Year Storm...Five Times in 20 Years? - Looking Back and Looking Forward on Financial Market Shocks Dean Curnutt Notes Dean Curnutt Presentation part 1, part 2, part 3 | |
| 9:00 - 9:15 | Session break | |
| 9:15 - 10:30 | VIX ETPs, Interralationships between Volatility Markets and Implications for Investors and Traders -Design of first and second generation VIX strategy indexes -Utility for longer term investors and shorter term traders -Fundamental vs. structural impacts on pricing in volatility markets -How liquidity issues matter in choosing products and strategies Spencer Cross, Co-Head Index Volatility Trading, Citigroup Global Markets Spencer Cross Presentation Frank Luo, head of Index Research and Design, S&P Dow Jones Indices Frank Luo Presentation | Portofolio Construction: Finding Options Where You Least Expect Them -Portfolio exposures are not as linear as we think. Investors can achieve options-like risks and payoffs without owning any options -How do managers maintain a desired market exposure? -Best strategies to achieve the desired balance of risk and reward in investors' portfolios Zem Sternberg, Managing Partner, Lake Hill Capital Management Zem Sternberg Presentation Sorina Zahan, Partner, Core Capital Management |
| 10:30 - 10:45 | Session break | |
| 11:00 - 12:15 | What Everyone Needs to Know About Listed Options Taxation -Puts, calls & their effect on dividends -Differing taxation of index and ETF options -Replicating structured notes with listed options -Using portfolio margining to increase liquidity from concentrated stock positions Michael Leon, Senior Vice President, Northern Trust Michael Leon Presentation Michael Lynch, Vice President, Twenty-First Securities Corporation Michael Lynch Presentation William Paul, Tax Partner, Covington & Burling LLP William Paul Presentation | Volatility Management of Equity-Based Insurance Guarantees -Introduction to Equity Based Insurance Guarantees -New product designs including volatility control products, low volatility by stock selection and VIX-linked structures -Volatility profile of equity based insurance guarantees, with and without new designs -How insurance companies manage risks Mark Hadley, Vice President, Financial Engineering, Numerix Mark Hadley Presentation Stephen Stone, Senior Vice President, AIG Life and Retirement Stephen Stone Presentation |
| 12:15 | End of Conference Sessions | |
| 1:00 | Golf Tournament | |
| 7:00 - 9:00 | Closing dinner and networking | |