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Posted: 1/31/17
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THE 33rd Annual

Cboe Risk Management Conference Europe

The premier educational forum for users of equity derivatives, options and volatility products.

Posted: 1/31/17
Agenda Now Available
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Posted: 1/31/17
The Hotel room block may be full. Go to the "Hotel and Travel" page for more information
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Learn the latest trading and risk management strategies

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for 2018 Europe
12-14 Sept 2018
Powerscourt Hotel, IRE

Save the date for
2018 Europe
12-14 Sept 2018
Powerscourt Hotel, IRE

The 2017 event was held at: The Grove
Hertfordshire, UK

registration is closed
2017 Location

The Grove Hotel 

About The Grove Hotel
Only 18 miles from central London, The Grove is more than just a five-star hotel. Set amid 300 acres of rolling greens and meadowlands, the setting offers an escape from the ordinary, a chance to escape and explore, recharge and rejuvenate. Steeped in history, the hotel offers the finest in customer service and hospitality while providing the latest in technology and services. There is something for everyone here—top rated spa, world-class golf, a walled garden, two pools, a beach and surprises around every corner of this renovated and updated country estate that will surprise and delight.

About the location
2017 Agenda & Highlights
The event was held Monday, 11 September through Wednesday, 13 September, 2017
SAVE THE DATE FOR 2018! 12-14 Sept 2018 at the Powerscourt Hotel, Enniskerry, County Wicklow, IRE
Previous DayNext Day

11:00am – 5:30pm

Conference Registration – Amber Suites Reception

12:30 – 1:45pm

New Developments in Options and Volatility-Based Benchmarks and Volatility Indicators

  • Research on BuyWrite and PutWrite benchmark indexes that use S&P 500 or Russell 2000 options
  • Design and utility of indicators that measure volatility, skew and implied correlation
  • Using benchmarks and indicators as trading signals in systematic investment strategies
  • Practical considerations of implementing options-based strategy benchmarks in ETPs and Mutual Funds

Tim Edwards, Ph. D., Senior Director of Index Investment Strategy, S&P Dow Jones Indices

William Speth, Vice President, Research and Product Development, Cboe

William Speth Presentation (pdf)

1:45 – 2:00pm

Session Break

2:00 – 3:15pm

Timing Considerations for Short Volatility Strategies

  • Timing & frequency of trading options and delta hedges
  • Equity volatility risk premia strategies across regions
  • Passive vs. active approaches
  • Managing drawdowns in market stress

Luke Browne, Head of Investment Specialists, UBS Investment Solutions

Natasha Jhunjhunwala, Executive Director, Equity Derivatives Structuring, Goldman Sachs

3:15 – 3:30pm

Coffee Break

3:30 – 4:45pm

Implementing Volatility Strategies within Institutional Portfolios

  • Why are fund sponsors considering allocations to volatility based strategy?
  • A discussion on the topic of where an allocation to volatility ‘fits’ in a portfolio
  • Volatility implementation choices: funded versus unfunded; leveraged versus unleveraged; separate account versus commingled vehicle; active versus passive
  • Getting ‘buy-in’ on a volatility allocation from key decision makers


  • Jack Hansen, Chief Investment Officer, Parametric-Minneapolis Investment Center


6:00 – 8:30pm

Opening Reception with Cocktails and Dinner – Cedar Ballroom

7:30 – 8:30am

Buffet Breakfast (breakfast at The Grove is included in the Group Room Rate. Join us in the Glass House restaurant).

8:30 – 9:00am

Welcome and Cboe Update

Chris Concannon, President & Chief Operating Officer, Cboe Holdings, Inc

9:00 – 10:00am

Keynote Speaker

Zanny Minton Beddoes, Editor-in-chief of The Economist
"What’s Next? Making Sense of a Global Economy"

10:00 – 10:30am

Coffee Break

10:30 – 11:30am

The Current Volatility Environment: Impact of Fundamentals and Flows

  • Fundamental drivers of the current low volatility regime
  • Are volatility selling strategies suppressing volatility?
  • Changing VIX ETP flows and their impact on the derivatives markets
  • How low can the VIX go?

Maneesh Deshpande, Managing Director and Global Head of Equity Derivatives Strategy, Barclays

11:30am – 1:00pm

Lunch and Networking – The Walled Garden

1:00 – 2:00pm

Volatility: Harvest Premia or Hedge Risk?


  • Abhinandan Deb, Managing Director, Head of Quantitative Investment Strategies & EMEA Equity Derivatives Research, Bank of America Merrill Lynch


2:00 – 2:15pm

Session Break

2:15 – 3:30pm

TRACK A – Amber Suite 2

How to Hedge Cross-Asset Portfolios with Risk Transfer

  • How the hedging needs from differing investor types such as pensions, insurance companies and asset managers drive the supply & demand of equity/rates correlation and creates opportunities
  • How equity/FX correlation distortions can be used to insulate portfolios against political risks
  • Discover alternative risk transfer opportunities in fixed income

Kokou Agbo-Bloua, Managing Director, Global Head of Flow Strategy & Solutions, Société Générale'

Natasha Sibley, Portfolio Manager, Henderson Global Investors

Kokou Agbo-Bloua & Natasha Sibley Presentation (pdf)

TRACK B – Amber Suite 5

Panel on Market Structure for Equity, Equity-Related Options and Volatility Products, and FX



3:30 – 3:45pm

Coffee Break

3:45 – 5:00pm

TRACK A – Amber Suite 2

Designer Dispersion – Identifying Optimised Risk Premium

  • Dispersion trades for extracting risk adjusted value, distinct from and competitive with index volatility risk premium
  • Performance drivers of dispersion under volatility regimes
  • Designer dispersion, using optimized ‘statistical’ and ‘thematic’ approaches
  • Views on systematic/quant approaches vs more fundamental/tactical approaches

Riddhi Prasad, Equity Derivatives Strategist, Deutsche Bank London

Arne Staal, Head of Multi-Asset Quantitative Strategies, Global Absolute Return Strategies, Standard Life Investments

TRACK B – Amber Suite 5

The Evolving Dynamics of VIX Futures

  • Understanding the dynamics of VIX futures and their correlations with VIX and SPX
  • How have dynamics changed over the past few years given changes in supply and demand in volatility?
  • Impacts on systematic alpha and hedging strategies

Alex Orus, Founder and Partner, Principalium Capital AG

Alex Orus Presentation (pdf)

Erkki Silde, Ph.D., Quantitative Portfolio Manager, Independent View B.V.

Erkki Silde Presentation (pdf)

7:15 – 8:00am

Breakfast (breakfast at The Grove is included in the Group Room Rate. Join us in the Glass House restaurant).

8:00 – 9:00am

Panel on Long and Relative Value Volatility Trading and Tail Risk


  • Paul Leech, Managing Director, Equity Derivatives Trading, JP Morgan


9:00 – 9:15am

Session Break

9:15 – 10:30am

TRACK A – Amber Suite 2

Design and Trading of US and European Volatility-Related ETPs

  • Global volatility ETP landscape
  • A framework for thinking about price evolution and relative value within volatility ETPs
  • Volatility ETP design and potential historical implications
  • Practical implementations for the future

Nick Cherney, CFA, Senior Vice President, Head of Exchange Traded Products, Janus Henderson Investors
Pete Clarke, Global Head of Equity Derivatives Strategy, UBS

TRACK B – Amber Suite 5

Panel on Sourcing Liquidity in Index Option Markets



10:30 – 11:00am

Coffee Break

11:00am – 12:15pm

Sell Low, Buy Lower? Volatility Premia Harvesting in Low Volatility Regimes

  • Trade-offs of making vol risk premium strategies smarter
  • Sizing, mean reversion and more
  • How long in the tooth is this regime?

Abhinandan Deb, Managing Director, Head of Quantitative Investment Strategies & EMEA Equity Derivatives Research, Bank of America Merrill Lynch

Nils Lodberg, Head of Equities, SEB Pension


End of Conference Sessions


Golf Tournament at The Grove (pre-registration and payment is required)

7:00 – 9:00pm

Buffet Dinner – The Potting Shed

KEYNOTE speaker
Edward O. Thorp
Math Professor, Inventor, Best-Selling Author and Hedge Fund Manager
Featured Sponsors
A special thank-you to our sponsors who have helped make the 2017 Cboe Risk Management Conference Europe possible
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