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The event started on 3 September and ended on 5 September 2014.

11:00am – 5:30pm

Conference Registration

12:30 – 1:45pm

Primer on Options and Volatility Strategies

  • How equity-related options and volatility strategies are used for hedging and for increasing returns by different types of investors
  • Long, short and relative value volatility strategies
  • Alternative methods to analyze historical and implied volatility characteristics

Colin Bennett, Managing Director, Head of Quantitative and Derivative Strategy, Banco Santander Central Hispano
Paul Stephens, Vice President, Institutional Business Development, Cboe
Presentation (pdf)

1:45 – 2:00pm

Coffee Break

2:00 – 3:00pm

Directional Options Trading and Strategy – An Analysis of Managing a Directional Options Portfolio

  • Pre-trade rich/cheap analysis; a look at implied volatility and skew
  • Choosing the right options strategy
  • Position management tactics – When to roll or adjust strikes

Bill Looney, Director, Institutional Business Development, Cboe 
Oleg Lugovkin, Volatility Trader, Argentière Capital AG
Presentation (pdf)

3:15 – 3:30pm

Session Break

3:30 – 4:45pm

US Options and Volatility Market Client Demographics

  • Results of the Tabb Group's research on European trading of U.S. listed options
  • A discussion of uses of products, how and why

Andy Nybo, Principal, Head of Derivatives, TABB Group
Presentation (pdf)

6:30 – 8:30pm

Opening Reception: Cocktails and Dinner

8:00 – 9:00am

Buffet Breakfast

​Conference check-in/registration continues

9:00 – 9:15am

Welcome & Cboe Update

Edward T. Tilly, Chief Executive Officer, Cboe Holdings, Inc.

9:15 – 10:15am

Keynote Speaker: David Hauner, Head of EEMEA Cross-Asset Strategy and Economics, Bank of America Merrill Lynch

Emerging Markets: Attractive Investment or Global Systemic Risk?

10:15 – 10:45am

Coffee Break

10:45 – 11:45am

Volatility Regimes and an Analysis of Where We Were, Where We Are and Where We Are Going

Gerry Fowler, Head of Equity & Derivatives Strategy, Global Equities & Commodity Derivatives, BNP Paribas

11:45am – 1:00pm

Lunch and Networking

1:00 – 2:00pm

Panel on Trends in Institutional Options and Volatility Product Usage


  • Robert McGlinchey, Director and Co-founder, EQDerivatives


  • Jean-Francois Bacmann, Portfolio Manager and Head of Volatility Strategies, Man AHL
  • Stephen Crewe, Portfolio Manager, Fulcrum Asset Management
  • Jack Hansen, Chief Investment Officer, Parametric Clifton Group
  • Andrew Rozanov, Former Managing Director, Permal Investment Management

2:00 – 2:15pm

Session Break

2:15 – 3:30pm

Asset Allocation Rebalancing Using Short Options

  • Results from an empirical study on the use of SPX options to implement allocation shifts with market moves
  • Case studies on how dynamic rebalancing has been accomplished in practice

Dr. Christoph Gort, Partner, SIGLO Capital Advisors
Presentation (PDF)

Pav Sethi, Chief Investment Officer, CEO, Gladius Investment Group
Presentation (PDF)

Volatility of Volatility

  • An analysis of volatility of volatility surfaces, including the VIX of VIX index, ticker VVIX
  • Applications for options on VIX and VIX ETPs
  • Historical observations and interpretations
  • Trading and hedging applications

Abhinandan Deb, Head of European Equity Derivatives Research, Bank of America Merrill Lynch
Presentation (PDF)
Jean-Gabriel Prince, Portfolio Manager, BlackRock

3:30 – 3:45pm

Session Break

3:45 – 5:00pm

The Volatility Surface: Skew and Term-Structure

  • Option Pricing Theory vs. the Real World
  • How the volatility surface impacts strategy selection and risk measurement
  • Trading Skew: how, when and why bother?

Natasha Jhunjhunwala, Equity Derivatives Product Management, Credit Suisse
Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC
Presentation (pdf)

Listed Derivative Product Design and Trading

  • A detailed description of the VIX settlement process
  • Weekly futures and options on short term VIX, ticker VXST
  • Volatility of non-equity asset classes including interest rate volatility
  • Managing volatility trades

Dominic Salvino, VIX Specialist, Group One, LLC
William Speth, Vice President, Research and Product Development, CBOE
Presentation (pdf)

7:15 – 8:15am

Breakfast Buffet

8:00 – 9:00am

Global Equity Derivatives Trading Themes – Dislocations and Opportunities for a Diverse Investor Base

Pete Clarke, Global Head of Equity Derivatives Strategy, UBS

9:00 – 9:15pm

Session Break

9:15 – 10:30am

Cross Asset Volatility Strategies for Tail Hedging and Alpha Generation

  • Volatility of non-equity asset classes including interest rate volatility indexes, VXTYN, MOVE and others
  • Determining optimal hedges for macro portfolios
  • Relative value trading ideas
  • In practice: examples and implementation

Yoshiki Obayashi, Founder, Applied Academics, LLC
Presentation (PDF)

Angel Serrat, Partner & Chief Strategist, Capula Investment Management

Management of Asian and Cliquet Option Exposures for Insurance Companies

  • Design of equity-linked insurance products
  • How average rate options and forward starting options are priced and traded
  • Hedging exposures with listed and OTC options
  • Implications of regulations on the design and management of equity-linked insurance products

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

Rachid Lassoued, Head of Financial Engineering, Bloomberg
Presentation (PDF)

10:30 – 10:45am

Coffee Break

10:45am – 12:00pm

Structured Products & Their Impact on Markets: What You Need to Know

  • Structured products around the world: who and what
  • How the market is evolving: drivers and outlook
  • A significant impact of the traditional vol/skew relation
  • The other major parameters: Repo and dividends
  • Source of opportunities?

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

Peter Murphy, Founder, P. M. Murphy Ltd.
Presentation (pdf)

Correlation and Dispersion: What They Mean and How to Trade Them

  • The role of correlations and dispersion in asset allocation decision and in measuring opportunity
  • Analyzing opportunities with alternative correlation measures
  • Selective dispersion: creating an affordable long volatility exposure in an equity portfolio
  • Practical examples of how trading strategies are implemented and insights into trading implications

Daniel Danon, Senior Vice President, Portfolio Management & Structuring, Assenagon Asset Management
Presentation (pdf)

Tim Edwards, Director of Index Investment Strategy, S&P Dow Jones Indices
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
2014 sponsors
The event started on 3 September and ended on 5 September 2014.
Media Sponsors