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2016 AGENDA & Highlights
The event started on 26 September and ended on 28 September 2016.

11:00am – 5:30pm

Conference Registration

11:45am – 12:30pm

Refreshment Break

12:30 – 1:45pm

New Developments in Options and Volatility-Based Benchmarks

  • A discussion of how Cboe's newest benchmarks were created and their utility for institutional investors
  • New research papers on performance of options-based strategy benchmarks and fund managers
  • A detailed analysis of new benchmark indexes using Russell 2000 index options

Matthew Moran, Vice President, Institutional Business Development, Cboe
Presentation (pdf)

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

1:45 – 2:00pm

Session Break

2:00 – 3:00pm

Constructing/Deconstructing Volatility Risk Premia Strategies

  • Impacts of risk premia strategies on sample portfolios
  • Presenting a novel risk and performance attribution methodology that deconstructs covered call strategies into three exposures
  • A risk-managed covered call strategy that eliminates uncompensated exposure

Roni Israelov, Ph.D., Portfolio Manager & Head of Volatility Strategies, AQR Capital Management
​Ron Israelov Journal Article

3:00 – 3:30pm

Coffee Break

3:30 – 4:45pm

Real Money: Institutional Liabilities and How Options Strategies Can Help

  • U.S. and European pension plans face the tyranny of funded status ratios that are doubly geared to economic variables
  • Endowments face challenges with gifts and spending/expenses that are highly correlated to risk assets
  • Regulatory change has impacted how insurance companies use derivatives to structure trades and offset risks
  • Maintaining expected returns that risk assets provide is critical to meeting liabilities for institutions
  • Options strategies that lower volatility and cushion downside risks can better align assets with overall enterprise risk of institutions

Abhinandan Deb, Head of European Equity Derivatives Research, Bank of America Merrill Lynch
Jon Havice, President and Chief Investment Officer, DGV Solutions
Presentation (PDF)

Michael Holliger, Portfolio Manager, Swiss Life Asset Management AG
Dan Mikulskis, Head of DB Pensions, Redington Ltd
Presentation (PDF)

6:30 – 8:30pm

Welcome Reception: Cocktails and Dinner

7:45 – 8:45am

Buffet Breakfast

​Conference check-in/registration continues

8:45 – 9:15am

A Fireside Chat

Edward L. Provost, President & Chief Operating Officer, CBOE Holdings, Inc.
Steven M. Sears, Senior Editor and Columnist, Barron's and

9:15 – 10:15am

Keynote Speaker

Jim VandeHei, Co-Founder, POLITICO
Insights, Analysis and Predictions on the US Elections, November 8, 2016

10:15 – 10:45am

Coffee Break

10:45 – 11:45am

Cross Asset Dislocations and Market Signals

Rebecca Cheong, Head of Americas Equity Derivatives Strategy, UBS Securities LLC

12:00 – 1:00pm

Lunch and Networking

1:00 – 2:15pm

Panel on Volatility-Based Investment Strategies


  • Chris Limbach, Managing Director Investments, PGGM Institutional Business


  • Uri Geller, Co-Founder and CIO, Granite M.S.A LTD
  • Roy Hoevenaars, PhD, Portfolio Manager, Blenheim Capital Management B.V.
  • Fergus Taylor, Portfolio Manager, Arrowgrass Capital Partners​
  • Brendan Walsh, Multi Asset Fund Manager, Aviva Investors Global Services

2:00 – 2:15pm

Session Break

2:15 – 3:30pm


Implementing Long Volatility Exposures​

  • Comparing VIX and SPX hedging strategies, when to use, how to size trades, how to manage positions over time
  • Detailed examples of what works, and what doesn't
  • Impact of option holding period, strike selection, delta hedging and trading frequency

Daniel Danon, Senior Vice President, Portfolio Management & Structuring, Assenagon Asset Management
Nicolas Vanhoutteghem, Portfolio Manager, Argentière Capital
Presentation (PDF)


Implementing Systematic Short Volatility Strategies

  • Impact of option holding period, strike selection, delta hedging and trading frequency
  • Reducing the effect of path dependency
  • The benefits of a multi asset approach
  • Has the opportunity been arbitraged away by the rise of “Alternative Beta” strategies?

Stephen Crewe, Portfolio Manager, Fulcrum Asset Management
Presentation (PDF)

Dhvani Gupta, Vice President, Barclays

3:30 – 3:45pm

Coffee Break

3:45 – 5:00pm


Hedging with VIX Options

  • Evaluating VIX option strategies: beyond the backtests toward tradeoff management
  • Mark-to-market behavior of VIX option strategies over a several-week horizon
  • Choosing between VIX and SPX hedges in a multi-asset framework
  • Timing the monetization of VIX hedges
  • Fine-tuning hedges: defining the hedging problem, sizing, rolling, VIX vs. VXX options
  • Update on VIX market dynamics, including ETP market activity

Rocky Fishman, CFA, Equity Derivatives Strategy, Deutsche Bank Securities Inc.
Andrew Warwick, Managing Director, BlackRock


Global Volatility Trading Opportunities with a Focus on Europe

  • Brexit and European fragmentation risk, geo-political risk, central bank risk
  • Impact of structural investor flows
  • Strategies to gain alpha and manage risks

Abhinandan Deb, Head of European Equity Derivatives Research, Bank of America Merrill Lynch
Michael Stephens, Multi-Asset Portfolio Manager, Pioneer Investment Management

7:15 – 8:15am

Breakfast Buffet

8:15 – 9:00am

Volatility and the Allegory of the Prisoner’s Dilemma

Christopher Cole, Managing Partner, Artemis Capital Management

9:00 – 9:15pm

Session Break

9:15 – 10:30am


Can we Improve Trading Using Correlation Information?

  • Correlations between bonds and equities are no longer a reliable diversifier
  • Traditional risk-on / risk–off might not be as expected in the future
  • VIX vs AUDJPY correlation – why and where to?

Kokou Agbo-Bloua, Managing Director, Global Head of Flow Strategy & Solutions, Société Générale
Neale Jackson, Portfolio Manager, 36 South Capital Advisors
Trung-Tu Nguyen, PhD, Portfolio Manager, Directional Strategies, Capital Fund Management
Presentation (PDF)


The Evolution of Options and Futures Strategies on the Buyside Trading Desk

  • Selecting order channels for optimal execution
  • The role of algos in options trading
  • The benefits and challenges of extended hours trading
  • Maximizing the value of the broker balance sheet
  • The role of weekly options in institutional portfolios

Speaker/Moderator: Andy Nybo, Principal, Head of Derivatives, TABB Group
Presentation (PDF)


  • Jared Dubin, Head of Systematic Strategy Research, LMR Partners
  • John Fennell, Executive Vice President, Financial Risk Management, OCC
  • Patrick A Luongo,  Head of AES Options Sales, Credit Suisse
  • Alex Orus, Founder and Partner, Principalium Capital AG

10:30 – 11:00am

Coffee Break

11:00am – 12:15pm


Towards Optimal Hedging and View-Expression

  • Trade construction via comparison of view and market-implied probability distributions
  • View-expression via mixture-model decomposition
  • Factor-based macro hedges
  • Liquidity vs. tracking error

Mark Richardson, Portfolio Manager, Henderson Global Investors
Edmund Shing, PhD, Global Head of Equity Derivative Strategy, BNP Paribas
Presentation (PDF)


Options and Volatility Based Solutions for Insurance Companies

  • Fundamentals of insurance structures and equity derivative product needs
  • Special regulatory, operational and other concerns that impact valuations of long-term interest rates and equity volatilities
  • Alternatives to common variable annuities hedging
  • How Asian and Cliquet options are priced and traded

Stacey Gilbert, Head of Derivatives Strategy, Susquehanna
​Chakradhar Singh, CFA, CQF, FRM, CAIA, Principal and Risk Manager, Apollo Management International LLP
Presentation (PDF)

Vinit Srivastava, Senior Director, Strategy and Volatility Indices, S&P Dow Jones Indices
Presentation (PDF)


Golf Tournament

Powerscourt Golf Club West Course

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
2016 sponsors
The event started on 26 September and ended on 28 September 2016.
GOLD Sponsor
Silver Sponsors
​Exhibitor Sponsors
Media Sponsors