Cboe Risk Management Conference US

AGENDA

Learn the latest trading and
risk management strategies

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35th Annual RMC US
Monday, 25 March 2019
Wednesday, 27 March 2019

Hotel RESERVATIONS

Located at
Park Hyatt Aviara, Carlsbad, CA

Get an Edge on Managing Risk

Going into its 35th year in the U.S., the annual Cboe Risk Management Conference (RMC) is the foremost financial industry conference designed for institutional users of equity derivatives and volatility products.

Hosted by Cboe Global Markets, RMC is an educational forum dedicated to exploring the latest products, trading strategies and tactics used to manage risk exposure and enhance yields.

About conference

HIGhlights

From Last Year's Event

The location

Monarch Beach Resort

We were delighted with our March 2017 stay at the Monarch Beach Resort in Dana Point, California. For 2018 we are happy to be returning to the Hyatt Regency Coconut Point near Ft. Myers, Florida. Always a favorite destination for RMC attendees, we appreciate the great food, outstanding service and casual elegance of this plantation style resort. Check back later for details-- but plan to join us there March 7 through March 9, 2018!

About Monarch Beach Resort
Nestled in the golden hillsides of Orange County, Monarch Beach offers deluxe amenities for guests to unwind. Play a round of golf on the award-winning Monarch Beach Links course complete with stunning views of the Pacific Ocean.

Or, if you’re looking to indulge in the ultimate spa experience, visit the Miraval Life in Balance Spa. There, you can spoil yourself with a massage, facial and many other spa services.

And of course, when it comes to food, a wide array of options are available to you from casual dining to an upscale culinary experience. No matter what you choose, you’ll experience the bright flavors southern California has to offer.

About the location

Keynote Speaker

Edward O. Thorp

Math Professor, Inventor, Best-Selling Author and Hedge Fund Manager

View edward's bio

view all Speakers

2017 Featured Sponsors

A special thank-you to our sponsors who have helped make the 2017 Cboe Risk Management Conference U.S. possible.

2019 Cboe RMC U.S. will be held March 25-27

Interested in seeing last year's agenda? Take a look here.

Previous Day Next Day

12:00pm – 5:30pm

Conference Registration – Grand Ballroom Foyer

1:00pm – 2:00pm

Less Growth, More Uncertainty - Is Volatility Here to Stay?

David M. Blitzer, Ph.D., Managing Director and Chairman of the Index Committee for S&P Dow Jones Indexes

2:00pm – 2:30pm

Coffee Break

2:30pm – 3:45pm

The Volatility Positioning Ledger - Blow Ups, Buried Bodies and Behavioral Biases

Zero interest rates and quantitative easing altered the traditional search for yield
Risk-free return or Return-free risk?
Volatility positioning in the options market
Optionality positions in other asset classes and structures
Where and when the Day of Reckoning may occur

Jon Havice, President & Chief Investment Officer, DGV Solutions

Colin Bebee, CFA, Principal, Pension Consulting Alliance, LLC

3:45pm – 4:15pm

Coffee Break

4:15pm – 5:30pm

What You Need to Know - Wall St. Derivative Strategists Weigh in on Key 2019 Market Factors

Moderator:

Bill Looney, Vice President, Head of Index Options Strategy, Cboe Global Markets

Panelists:

Katherine Fogertey, Vice President, Global Investment Research, Goldman Sachs

Stacey Gilbert, Head of Derivative Strategy, Susquehanna Financial Group

Mandy Xu, Chief Equity Derivatives Strategist, Credit Suisse

6:00pm – 8:00pm

Welcome Reception: Cocktails and Dinner, Palm Courtyard
(weather permitting, otherwise Aviara Salon)

6:30am – 7:30am

Rise and shine for Fitness Workout Boot Camp, Palm Courtyard
(Aviara Salon in the event of rain)

8:00am – 9:00am

Buffet Breakfast, Aviara Salon

9:00am – 9:30am

Welcome and Cboe Update - Grand Ballroom

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

9:30am – 10:30am

Keynote Speech: "US - China Economic Tensions, Impact and Implications"

Yukon Huang, Ph.D., Senior Fellow, Asia Program, Carnegie Endowment for International Peace

10:30am – 11:00am

Coffee Break

11:00am – 12:00pm

Stay Calm and Trade Vol

Moderator:

Steven M Sears

Panelists:

‍

Will Bartlett, CEO and Managing Member, Parallax Volatility Advisers, LLC

David Burkart, CFA, Founder and Chief Investment Officer, Coloma Capital Futures LLC

Zem Sternberg, CIO and Managing Partner, Lake Hill Capital Management, LLC

12:00am – 1:30pm

Lunch and Networking – Palm Courtyard

1:30pm – 2:30pm

Think Managing Risk is a Boring Topic? Think Again!
From Naval Special Warfare Operations to Short Gamma Management, How to Reconcile Intuition/Experience/Expertise with Big Data and Technology in a Dynamic Environment

Moderator:

Luke Kawa, Cross-Asset Reporter, Bloomberg

Panelists:

‍

Matt Rowe, Managing Partner & Chief Investment Officer, Headwaters Solutions

Additonal Speaker TBC

2:30pm – 3:00pm

Session Break

TRACK A

3:00pm – 4:00pm

The Rising Importance of Falling Liquidity

Benn Eifert, Ph.D., Founder and CIO of QVR Advisors

John Marshall, Managing Director, Head of Derivatives Research, Goldman Sachs‍

TRACK B

3:00pm – 4:00pm

How to Get the Most Out of Credit Volatility

Intro to OTC structures/ETPs/Futures
Details on how OTC Credit Volatility structures can add value
Simple trades using Credit Volatility and their benefits
Case studies on popular trades for various investors needs and how to track performance
Brief introduction to the other members of the VIX fixed income family and how OTC structures could also benefit a potential investor looking at the Credit Volatility space

4:00pm – 4:30pm

Coffee Break

TRACK A

4:30pm – 5:30pm

Volatility Risk Premium (VRP) Diversification and Performance Enhancement opportunities

Liquid diversifying fundamental risk position enhanced by behavioral biases
Alternative beta position which is liquid, low cost, unlevered and can be "mission aligned"
Capturing performance benefits through the "monetization" of an investors risk profile
VRP - Where does it fit? Approval challenges? Appropriate benchmarks? Other considerations?

Moderator:

TBD

Panelists:

Jack Hansen, CFA, Chief Investment Officer, Parametric

Anders Norman, Head of Public Markets, San Diego County Employees Retirement Association (SDCERA)

Roberto Obregon, Senior Research Analyst, Meketa Investment Group

TRACK B

4:30pm – 5:30pm

Exploring the Relationship Between Equity Option Implied Volatility and Credit Spreads

Explore the current corporate credit environment, the close relationship between equity volatility and credit spreads
New hedging tools available for hedging against adverse moves in credit spreads (exchange-traded CDX futures, bond ETFs, VIX futures & options, Cboe iBoxx iShares Corporate Bond Index Futures)

Moderator:

John Angelos, Director, Global Head of Institutional Buy-Side Client Solutions, Cboe Global Markets

Panelists:

John Coleman, Senior Vice President and Managing Director, R.J. O'Brien

Olivier Sarfati, Head of Equities, GenTrust

Steve Laipply, Managing Director, Head of U.S. i-Shares Fixed Income Strategy, BlackRock

6:00pm – 7:00pm

Cocktail Reception, Laviana Terrace

8:00am – 9:00am

Buffet Breakfast, Aviara Salon

TRACK A

9:00am – 10:15am

Tail Risk Management, and Use of Options and Volatility Products for Downside Protection

Why are investors interested in tail risk management and downside hedging strategies?
Hedging strategies can be appealing in theory, but how can the costs of protective programs be mitigated?
What are the trade-offs regarding cost & protection?
Sizing, operational, and liquidity considerations of hedging strategies

Josh Lisser, Senior Vice President, Head-Index Strategies, AllianceBernstein

Alex Reed, CFA, CAIA, Risk Specialist, University of Chicago, Office of Investments

TRACK B

9:00am – 10:15am

Interest Rates Volatility and a Simple Framework for using the VIX Family as Signals

Best ways to monitor rates volatility and better understand signal value in FI volatility indices
Why TYVIX is a better measure that other indices (for example MOVE)
How to best hedge interest rate volatility exposure using TYVIX futures
Introduction to a simple regime-based volatility framework
Using Equity and FI VIX together
Sample strategies that incorporate rates volatility designed to protect downside, allocate assets, etc.

Presenters TBD

10:15am – 10:45am

Coffee Break

TRACK A

10:45am – 12:00pm

Artificial Intelligence Powers a New Class of Systematic Options Strategies

State of systematic options strategies and motivations for using AI
Options AI: Technical objectives and challenges
Delivering optins AI investment products

Mohamed El-Hioum, Executive Director, Dynamic Strategies Structuring, UBS

Hani El-Sakkout, Chief Development Officer, Tradelegs LLC

TRACK B

10:45am – 12:00pm

New White Papers with 32-Year Analysis of Strategies That Use SPX or SPXW Options

How have SPX options-selling strategies performed over 3 decades, compared with stocks, bonds and commodities, and option-buying strategies
Is the implied Volatility Risk Premium (VRP) a key factor related to unique and compelling risk-adjusted returns for key index options strategies?
While some still ask if all options strategies are risky, what have been the drawdowns, betas and standard deviations for select Cboe strategy benchmark indexes?
How much option premium has been generated by strategies that write index options on a weekly or monthly basis?

Oleg Bondarenko, Professor of Finance, University of Illinois at Chicago

Jeffrey Foley, Managing Director-Principal, Wilshire Associates

12:15pm

End of Conference

1:00pm

Golf - Shuttle leaves for Del Mar Country Club. Pre-registration required.