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Posted: 1/31/17
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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.

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Announcements!
Posted: 1/31/17
Agenda Now Available
View Agenda
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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Monday – Wednesday
11-13 September 2017

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The Grove
Hertfordshire, UK

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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
The event runs Monday, 11 September through Wednesday, 13 September.
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

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

Moderator/Presenter:

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

Panelists:

  • Mohamed Ellouze, Senior Multi-Asset Strategist, Universities Superannuation Scheme (USS)
  • Dr. Christoph Gort, Partner, SIGLO Capital Advisors
  • Carl Lindberg, Portfolio Manager, Second Swedish National Pension Fund (AP2)

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?

Moderator:

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

Panelists:

  • Roni Israelov, Ph.D., Portfolio Manager, AQR Capital Management
  • Neale Jackson, Portfolio Manager, 36 South Capital Advisors

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

TRACK B – Amber Suite 5

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

Moderator:

  • Philip Stafford, Editor of FT Trading Room, Financial Times

Panelists:

  • Bryan Christian, SVP, Head of US Sales, Bats Global Markets, CBOE Holdings
  • Eric Frait, Vice President, Business Analysis, CBOE/CFE, CBOE Holdings
  • Mark Hemsley, CEO, Bats Europe, CBOE Holdings
  • Paul Millward, Head of FX Product Strategy, CBOE Holdings

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
Samuel Vazquez, Senior Research Manager, Capital Fund Management

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

Moderator:

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

Panelists:

  • David Dredge, CIO, Convex Strategies, City Financial Investment Company Pte
  • Oleg Lugovkin, Portfolio Manager, Argentière Capital AG
  • Chris Rodarte, Portfolio Manager, Pine River Capital Management
  • Angel Serrat, Partner & Chief Strategist, Capula Investment Management

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

Moderator:

  • Henry Schwartz, President, Trade Alert, LLC

Panelists:

  • Kristin Boyd,  Director, Credit Suisse
  • William J. Ellington, Managing Partner, X-Change Financial Access LLC
  • Stacey Gilbert, Head of Derivatives Strategy, Susquehanna
  • Sander van Zelm, Head of Institutional Trading, Optiver

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

12:15pm

End of Conference Sessions

1:00pm

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
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