2009 Agenda & Speakers

Sunday, March 8

11:00	Conference Registration Opens
12:15 - 1:45	Fundamentals of Options Essential Option Pricing Concepts - The role of forward pricing and probability in option pricing - Characteristics of realized and implied volatility - Forecasting volatility Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC Timothy Weithers, Co-Director of Education, Chicago Trading Company, LLC Presentation - Fundamental Session 1
1:45	Session break
2:00 – 3:15	Risk Measurement - Defining risk measures including delta, gamma, theta, vega and rho - Interpreting risk measures and how they are affected by changing market conditions - Analyzing an option-based portfolio Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC Timothy Weithers, Co-Director of Education, Chicago Trading Company, LLC Presentation - Fundamental Session 2
3:15	Coffee break
3:30 – 4:45	Options Arbitrage and Volatility Trading Primer - Dynamically hedging an option position - Using and pricing synthetic equivalents - Introduction to variance futures and VIX futures and options products - Volatility-based trading strategies and historical performance Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC Edward Szado, CISDM, University of Massachusetts Timothy Weithers, Co-Director of Education, Chicago Trading Company, LLC Presentation - Fundamental Session 3, Part A Presentation - Fundamental Session 3, Part B Presentation - Fundamental Session 3, Part C Presentation - Fundamental Session 3, Part D (Szado)
4:30	Conference Registration
6:00 - 8:30	Opening Reception - The Pacific Promenade at The Ritz-Carlton

Monday, March 9

7:30	Breakfast Buffet & Conference Registration
8:30	Welcome Remarks by CBOE Chairman and CEO William J. Brodsky
9:00 – 10:00	Keynote Speaker:  Nouriel Roubini, Professor of Economics, Stern School of Business, New York University Roubini's View, Pt. 1 (video)  Roubini's View, Pt. 2 (video) Roubini's View, Pt. 3 (video)
10:00	Coffee break
10:15 - 11:00	Using Volatility Products to Control Risk - Interpreting volatility measures such as VIX in different market cycles and current market conditions - Key characteristics of volatility products including volatility of volatility - Historical performance of VIX options strategies  Dean Curnutt, President, Macro Risk Advisors, LLC Dean Curnutt Presentation
11:00	Session break
11:15 - 12:30	Track A Building a Volatility Trading Plan - Defining potential gains and risks - Examining available models and understanding volatility surface dynamics - Using implied volatility to assess market dynamics Pav Sethi, Chief Investment Officer, CEO, Gladius Investment Group Andy Song, Head of Equity Derivatives Trading, CQS (UK) LLP	Track B  Income Strategies - Options strategies that target risk reduction and increased portfolio income   - Results of a new study on the performance of five benchmark indexes including CBOE's PUT Index for cash-secured put writing   - Communicating plans and results with institutional and high-net-worth clients Keith Black, CFA, CAIA, Associate, Ennis Knupp + Associates Keith Black Presentation Steven Marco, CFA, Portfolio Manager, Marco Investment Management, LLC Steven Marco Presentation

12:30	Lunch and networking on the Dana Lawn
1:45 – 3:00	Track A  Volatility Strategies in Today's Market - Lessons from volatility surfaces - Unique properties of VIX options and trading implications - Case studies of options trades Jeremy Wien, Index Volatility Trader, Société Générale Jeremy Wien Presentation	Track B  Protection Strategies - Traditional protective equity puts and collars and newproducts for credit default protection - Adjusting protection levels as the market moves - Considering past results and developing realistic forward expectations Gregory McMurran, Chief Investment Officer, Analytic Investors Gregory McMurran Presentation David Patterson, Chair and CEO, Northwater Capital Management
3:00	Coffee break	Coffee break
3:15 – 4:30	Track A Market Inter-Relationships - How variable annuities have impacted and will impact long-dated equity volatilities - Shifts in derivative demographics and product usage - Impact of equity derivatives on equity cash markets Marko Kolanovic, Ph.D., Global Head of Derivatives and Delta One Strategy, J.P. Morgan Securities Inc. Marko Kolanovic Presentation Stephen J. Stone, Portfolio Manager, AIG SunAmerica, Inc. Stephen Stone Presentation	Track B  Special Situation Strategies - Increasing exposure, but not risk, over a limited range - Trading a stock price range and adjusting the size of a position - Alternatives for targeting stock purchase prices - Insights for trading straddles, time spreads and butterfly spreads Jim Bittman, Senior Instructor, The Options Institute at CBOE Gary Trennepohl, President, Oklahoma State University – Tulsa Bittman & Trennepohl Presentation

Tuesday, March 10

7:30	Breakfast Buffet
8:00 – 9:00	Keynote Speaker:  Dr. David M. Blitzer, Managing Director and Director of the Index Committee, Standard & Poor's David Blitzer Presentation
9:00	Coffee Break
9:15 -10:30	Track A Dispersion/Correlation Trading - Historical relationships between index and single stock volatilities - How to set up dispersion trades - Case studies John Bush, Senior Derivatives Trader, Parallax Fund, LP Carl Mason, Equity Derivatives Strategist, BNP Paribas	Track B Plan Sponsors Panel on Options Based Risk Management - Incremental cash flow and return strategies - Opportunities and pitfalls in the current environment - Creating and executing overlay programs Discussion Leader: Rick Ballsrud, CFA, Senior Portfolio Manager & Principal, The Clifton Group Lawrence P. Anderson, Executive Vice President-Finance, Covenant Ministries of Benevolence Edwin T. Burton III, Trustee, Virginia Retirement System and Professor of Economics, University of Virginia James Hille, Chief Investment Officer, Texas Christian University Susan Slocum, Treasurer, Children's Hospital and Clinics of Minnesota
10:30	Session break
10:45- 12:00	Track A The Informational Content in Option Markets - DOOM (Deep Out-Of-the-Money) puts and credit default probability - Obtaining implied stock price distributions from option prices - Gauging measures of investor sentiment - Applying options-based information to investment situations Peter Carr, Head of Quantitative Research, Bloomberg/NYU Peter Carr Presentation Chris Jacobson, Senior Options Strategist, Susquehanna International Group Chris Jacobson Presentation	Track B Implementation Tactics for Stock, Single-stock Futures and Stock Options -New trends in OTC and exchange traded markets - Techniques for more efficient use of capital - Alternative short selling ideas - Option order execution issues  Bill McGowan, Managing Director, Interactive Brokers Kevin Nichols, Derivatives Trader, Thales, LLC
12:00	End of Conference Sessions
1:00 6:30	Golf Tournament at Monarch Beach Buffet dinner and closing event - Monarch Sunset Terrace at The Ritz-Carlton

Listed speakers are confirmed.  Additional speakers may be added as they are confirmed. Some session topics may change. Please check back here regularly for updates. 

Confirmed Speakers

As of February 5, 2009 the following speakers are confirmed.  Check back for updates as more speakers will be added.  

Lawrence P. Anderson, Chief Financial Officer, Covenant Ministries of Benevolence

Rick Ballsrud, CFA, Senior Portfolio Manager & Principal, The Clifton Group


Jim Bittman, Senior Instructor, The Options Institute at CBOE

Keith Black, CFA, CAIA, Associate, Ennis Knupp + Associates

Dr. David M. Blitzer, Managing Director and Director of the Index Committee, Standard & Poor's

William J. Brodsky, Chairman and CEO, CBOE

Edwin T. Burton III, Trustee, Virginia Retirement System and Professor of Economics, University of Virginia

John Bush, Senior Derivatives Trader, Parallax Fund

Peter Carr, Head of Quantitative Research, Bloomberg/NYU

Dean Curnutt, President, Macro Risk Advisors, LLC

James Hille, Chief Investment Officer, Texas Christian University

Chris Jacobson, Senior Options Strategist, Susquehanna International Group

Marko Kolanovic, Ph.D., Global Head of Derivatives and Delta One Strategy, J.P. Morgan Securities Inc.

Steven Marco, CFA, Portfolio Manager, Marco Investment Management, LLC

Carl Mason, Equity Derivatives Strategist, BNP Paribas

Bill McGowan, Managing Director, Interactive Brokers


Gregory McMurran, Chief Investment Officer, Analytic Investors

Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC

Kevin Nichols, Derivatives Trader, Thales, LLC

Nouriel Roubini, Professor of Economics, Stern School of Business, New York University

David Patterson, Chair and CEO, Northwater Capital Management

Pav Sethi, CIO, CEO, Gladius Investment Group

Susan Slocum, Treasurer, Children's Hospital and Clinics of Minnesota

Andy Song, Head of Equity Derivatives Trading, CQS (UK) LLP

Stephen J. Stone, Vice President, AIG SunAmerica, Inc.

Edward Szado, CISDM, University of Massachusetts

Gary Trennepohl, President, Oklahoma State University - Tulsa

Timothy Weithers, Co-Director of Education, Chicago Trading Company, LLC

Jeremy Wien, Index Volatility Trader, Société Générale

Attendance is limited to approved registrants.  Sponsorship may be restricted and will be approved at the discretion of the conference organizers.


Please see our Sponsorship Opportunities page for information or contact John Angelos at 312-786-7063 or angelos@cboe.com on becoming a sponsor for the 29th Annual CBOE Risk Management Conference.