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The event started on 30 September and ended on 2 October 2013.

11:00am – 5:30pm

Conference Registration

12:30 – 1:45pm

Volatility Primer and Option Risk Measures (The "Greeks")

  • What does a 25 volatility mean anyway?
  • Implied probability distributions
  • Volatility characteristics: mean reversion, serial correlation, "vol of vol," risk premias
  • Dynamic hedging and re-hedging – P/L based on actual future volatility

Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC
Timothy Weithers, Co-Director of Education, Chicago Trading Company, LLC
Presentation (pdf)

1:45 – 2:00pm

Session Break

2:00 – 3:15pm

The Volatility Surface: Skew and Term-Structure

  • Option pricing theory vs. the Real World
  • Modeling skew and term structure
  • The dynamics of the Volatility surface
  • How the Volatility surface impacts strategy selection and risk measurement

Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC
Presentation (pdf)

Stefan Wintner, CFA, Portfolio Manager, SigmaSquare Capital AG
Presentation (pdf)

3:15 – 3:30pm

Coffee Break

3:30 – 4:45pm

VIX ETPs, Interrelationships between Volatility Markets and Implications for Investors and Traders

  • A brief overview of index based risk management solutions, e.g., VIX-linked, risk control, low volatility and risk parity
  • Design of first and second generation VIX strategy indexes
  • Implied volatility distortions and opportunities
  • How small trades can have big impacts

Colin Bennett, Managing Director, Head of Equity Derivative Strategy, Banco Santander Central Hispano
Berlinda Liu, Director, Index Research and Design, S&P Dow Jones Indices
Presentation (pdf)

6:30 – 8:30pm

Opening Reception and Dinner

8:00 – 9:00am

Buffet Breakfast

​Conference check-in/registration continues

9:00 – 9:30am

Keynote Speakers: William J. Brodsky, CBOE Executive Chairman and Edward T. Tilly, CBOE Chief Executive Officer

CBOE, Washington and Options Industry Updates

9:30 – 10:30am

Keynote Speaker: Paul Donovan, Global Economist, UBS

Living in a low nominal world – the economics of the new normal

10:30 – 10:45am

Coffee Break

10:45 – 11:45am

Keynote Speaker: Krag "Buzz" Gregory, Equity Derivatives Strategist, Goldman Sachs

VIX Quicks: Performance of long and short VIX options and VIX futures strategies

  • VIX strategy development and key drivers of trade profitability
  • Performance of VIX carry and portfolio hedging strategies, lessons learned, and "what worked when"

11:45am – 1:00pm

Lunch and Networking

1:00 – 2:00pm

Keynote Panel: Trends in Institutional Options and Volatility Product Usage

What strategies are institutional investors employing and why?


  • Dan Mikulskis, Investment Consultant, Redington Partners LLP


  • Chris Limbach, Advisor to the CEO, PGGM Investments
  • Mark Mehtonen, Portfolio Manager, Tactical Allocation/Ilmarinen Alpha, Ilmarinen Mutual Pension Insurance Company
  • Sebastian Richner, Portfolio Manager Asset Allocation & Equity, Swiss Life Asset Managers
  • Brendan Walsh, Senior Macro Strategist, Aviva Investors Global Services

2:00 – 2:15pm

Session Break

2:15 – 3:30pm

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
  • Implementing options-based programs in a pension plan

Delphine Leblond-Limpalaër, CFA, Equity Derivatives Specialist, Société Générale
Presentation (PDF)

Scott Maidel, Senior Portfolio Manager/Trader, Equity Derivatives, Russell Investments
Presentation (PDF)

Managing Positions Pre- and Post-Trade

  • Pre-trade Rich/Cheap Analysis
  • Scenario & Horizon Analysis
  • Managing options positions over time (getting in, getting out, rolling up, down and out)

Antoine Delga, Equity Derivative Application Specialist, Bloomberg  
Gabriel Manceau, Volatility Trader, Barclays
Presentation (PDF)

3:30 – 3:45pm

Coffee Break

3:45 – 5:00pm

Optimizing Portfolio Hedging Strategies

  • Empirical results of hedging strategies including those using SPX, VIX and other products
  • Practical approaches for comparing potential hedges
  • Sizing initial trades and managing positions over time

Neil Dissanayake, Senior Risk Manager & Trader, Milliman
Presentation (pdf)

Alessandro Esposito, Portfolio Manager, Blue Bay Asset Management
Presentation (pdf)

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

Moderator: Pin Chung, Chief Financial Officer and Chief Investment Officer, R+V International Business Services Limited
Presentation (pdf)

Philippe Combescot, Head of Americas Equity Derivatives Structuring & Strategy, BNP Paribas
Presentation (pdf)

Stefan Jaschke, Head of Quantitative Methods, Munich Re
Presentation (pdf)

Andrew Rallis, Senior Vice President & Global Head of Asset/Liability Management, Metlife
Presentation (pdf)

7:00 – 8:00am

Breakfast Buffet

8:00 – 9:00am

Keynote Speaker: Gerry Fowler, Head of Equity & Derivative Strategy, BNP Paribas

Love Panic: Can sentiment indicators inform equity risk management strategies?

  • A sentiment phase overlay to quantitative US sector long/short option strategies

Presentation (PDF)

9:00 – 9:15pm

Session Break

9:15 – 10:30am

Panel on Volatility as an Asset Class


  • Robert McGlinchey, Managing Editor, Derivatives Intelligence & Derivatives Week


  • Zoltan Eisler, Portfolio Manager – Directional Strategies, Capital Fund Management
  • Dr. Christoph Gort, Partner, SIGLO Capital Advisors
  • Neale Jackson, Portfolio Manager, 36 South Capital Advisors
  • Alex Orus, Founder, Nascor Capital Partners AG

10:30 – 11:00am

Coffee Break

11:00am – 12:15pm

Beyond VIX: Trading Volatility and Variance Across Asset Classes

  • Variance strategies and relationships to equity volatility markets
  • Volatility of non-equity asset classes
  • Analyzing credit spreads versus equity volatilities
  • Hedging macro portfolios: finding good proxy hedges and underpriced tails
  • In practice: examples and implementation
  • Listed variance futures design and trading

Chris Rodarte, Portfolio Manager, Pine River Capital Management
Presentation (pdf)

William Speth, Vice President, Research and Product Development, Cboe
Presentation (pdf)


Golf Tournament

7:00 – 9:00pm

Buffet Dinner and Networking

The 2016 speakers
The event started on 26 September and ended on 28 September 2016.
Keynote Speaker
2013 sponsors
The event started on 30 September and ended on 2 October 2013.
Media Sponsors