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9-11 September 2019
Andaz Munich Schwabinger
Munich, Germany

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2018 Europe
12-14 Sept 2018
Powerscourt Hotel, IRE
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2019 Agenda


The schedule below is for planning purposes. The agenda and speakers will be posted here when confirmed. Check back for updates!

For reference, view the 2017 CBOE RMC U.S. Agenda or the 2016 CBOE RMC Europe Agenda.

Previous DayNext Day

11:00am - 6:30pm
11:00 - 11:30am

Conference Registration opens
Light, stand up lunch

11:30am - 12:00pm

Interpreting and Navigating Volatility-Based Benchmarks and Indicators

  • Structural and supply/demand-based drivers of VIX and related instruments

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

12:00 - 12:15pm

Session Break

12:15 - 1:15pm

How to Benchmark Option Strategies for Institutions and Consultants and How 40-Act Funds are using Options to Achieve Multiple Goals

Chris Hausman, CMT, Portfolio Manager and Managing Director-Risk, Swan Global

Derek Devens, CFA, Managing Director and Senior Portfolio Manager, Neuberger Berman

1:15 - 1:30pm

Session Break

1:30 - 2:30pm

Bank/Fund Partnerships: How Does Risk Transfer Work & What Are The Main Opportunities For Both Counterparties?

Moderator: Antoine Garaialde, Executive Director, Structuring Team, J.P. Morgan Chase

Dr. Bernhard Brunner, Partner, finccam GmbH

Yann Le Her, Senior Portfolio Manager, La Francais Global Investment Solutions

Achim Motamedi, CEO, TAO Alternatives GmbH

Imran Hasnain, Partner and Portfolio Manager, CQS

2:30 - 2:45pm

Coffee Break

2:45 - 3:45pm

Different Approaches for Options Pricing

Moderator: Gordon Harpur, Structurer, Schroders

Dan Blum, Head of European Equity Index Derivatives Trading, UBS

Ousmane Diop, Senior Equity Derivatives Trader, J.P. Morgan

Sebastien Faucheur, Head of Index Volatility Trading, Societe Generale

Alex Fisher, Trader, Optiver

3:45 - 4:00pm

Session Break

4:00 - 5:00pm

Active Systematic Investing

  • Using experience from cross asset volatility programmes
  • How strategies need to adapt over time
  • PM's role in active selection and deployment

Dr. Jens Kroeske, Head of Macro Systematic Strategies Research, Aberdeen Standard Investments

5:00 - 5:15pm

Session Break

5:15 - 6:15pm

The Role of Short Volatility Strategies in Institutional Portfolios

Martin Luehrmann, Head of Systematic Volatility Strategies, Goldman Sachs

Antti Suhonen, Professor of Practice in Finance, Aalto University School of Business, Helsinki

6:30 - 9:00pm

Welcome Reception: Cocktails and Dinner

8:00 - 9:00am

Breakfast in the Lonely Broccoli restaurant (breakfast is included in the Group room rate at Andaz Hotel for those staying at the Hotel).

9:00 - 9:15am

Welcome and Cboe Update

Edward Tilly, Chairman, Chief Executive Officer and President, Cboe Global Markets

9:15 - 10:15am

Keynote Speaker

Philip Hammond, Member of Parliament, Former Chancellor of the Exchequer


10:15 - 10:30am

Coffee Break

10:30 - 11:30am

Equity Volatility in Multi-Asset Portfolios: Past, Present and Future

Moderator: Kokou Agbo-Bloua, Managing Director, Global Head of Flow Strategy Solutions, Societe Generale

Panelists:

Tim Armitage, CFA, Quantitative Strategist-Asset Allocation,  Legal & General Investment Management

Patrick Bartholet, Strategist, Aviva Investors

Adam C. Rudd, CFA, Investment Director, Aberdeen Standard Investments Inc

11:30 - 1:00pm

Lunch and networking, The Lonely Broccoli

1:00 - 1:30pm

Changes in Margin and Capital Requirements that Will Affect You

  • Options Clearing Corporation ("OCC") update on important changes
  • Understanding the new Renaissance system

John P. Davidson, Chief Executive Officer, OCC

1:30- 1:45pm

Session Break

1:45 - 2:30pm

Risk-Premia Specification, Quantification and Capture in the Equity Option Space

  • Premia taxonomy and differentiation
  • Relative valuation frameworks
  • Risk quantification and hedging
  • Strategy implementation and attribution

Mark Richardson, Portfolio Manager, Diversified Alternatives, Janus Henderson

2:30 - 3:00pm

Coffee Break

3:00 - 4:00pm

Systematic Options Strategies: Portfolio Positioning, Benchmarking, and Implementation

  • Advantages of an allocation to options-based strategies for Institutions
  • Where does an options-based strategy fit within an institutional portfolio?
  • Benchmarking and manager performance evaluation
  • Fully-funded vs. overlay strategies

Moderator: Mandy Xu, Chief Equity Derivatives Strategist, Credit Suisse Securities

Yanko Punchev, CFA, FRM, Portfolio Manager, TECTA Invest GmbH

Michael Wolfram, CAIA, FRM, Director, bfinance

Alex Zweber, CFA, Institutional Portfolio Manager, Eaton Vance

4:00 - 4:15pm

Session Break

4:15 - 5:15pm

Volatility Drivers of Rates Policy and Yield Curve: How it Feeds into VIX

Bhanu Baweja, Global Head of Cross Asset Strategy, UBS Investment Bank

5:30 - 7:00pm

Cocktail reception, M'UNIQO, Andaz 12th floor

8:00 - 9:00am

Breakfast in The Lonely Broccoli
(breakfast is included in the Group room rate for those staying at Andaz Hotel)

9:00 – 9:30am

Sourcing Liquidity and Tailoring Your Strategies

George Harrington, CFA, Managing Director, Global Head of Futures and Options, MSCI Inc.

9:30 - 9:45am

Session Break

9:45 - 10:30am

Quantitative Investment Strategies, Equity Fund Strategies and Volatility Strategies - Tractable, Agent-based Models

Hari P. Krishnan, Portfolio Manager, Doherty Advisors

10:30 - 11:00am

Coffee Break

11:00 - 12:00pm

Limitations to VIX, How Low Can It Go and Looking at Intraday Variance

Dr. Mikhail Krayzler, Director, Portfolio Manager, Allianz Global Investors

Stefan Wintner, Vice President, DUNN Capital

12:00 - 1:00pm

Small Cap Index Constitution and Use Cases

  • Russell 2000 focus - fundamental knowledge, unique characteristics
  • Performance vs other benchmarks
  • RUT volatility compared, arbitrage and trade ideas
  • Cross-asset opportunities

Rolf Agather, Managing Director, North American Research, FTSE Russell Indexes

Doug Kramer, Managing Director, Neuberger Berman

1:15 pm

End of Conference

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