Cboe Risk Management Conference US

Get the latest trading
and risk strategies

March 7-9, 2018
Registration Now Closed

Hyatt Regency Coconut Point Bonita Springs, FL

Get an Edge on Managing Risk

Going into its 34th 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

2018 Cboe RMC U.S. Agenda

Cboe RMC U.S. 2018 was held Wednesday, Mar 7 through Friday, Mar 9, 2018. Presentations that have been made available have been posted here. New video recaps will be coming soon. To see the Agenda and presentations from 2017, click here: 2017 RMC US Agenda

Previous Day Next Day

11:00am – 5:30pm

Conference Registration

12:30 – 1:45pm

New Studies on Use of VIX Futures and Options, RVX Futures, and on Use of Options by Mutual Funds and ETFs

An analysis of the pros and cons of long and short positions in RVX Futures and VIX Futures and Options
Presentation of a study with an analysis of more than 150 ‘40 Act funds that use options for portfolio management

Keith Black, Ph.D., CAIA, CFA, Managing Director, Curriculum and Exams, Chartered Alternative Investment Analyst (CAIA) Association
Edward Szado, Assistant Professor of Finance, Providence College
Black and Szado Presentation 1
Black and Szado Presentation 2
Black and Szado Presentation 3

1:45 – 2:00pm

Session Break

2:00 – 3:15pm

Interpreting Volatility-Related Indicators, and Determining Courses of Action

Structural drivers of volatility-related instruments
Understanding signals from VIX, VVIX (VIX of VIX), skew and correlation dynamics
Determining which measures fit what investor needs and market conditions
How to structure trading strategies based on volatility-related indicators

William Speth, Global Head of Research, Cboe Global Markets
William Speth Presentation
Mandy Xu, Chief Equity Derivatives Strategist, Credit Suisse

3:15 – 3:30pm

Coffee Break

3:30 – 4:45pm

VIX ETPs: Market Impact & Opportunities in VIX Futures/Options

Reconciling VIX ETPs’ net vega, CFTC-reported VIX positioning and VIX futures market size information
VIX ETPs in a severe selloff – potential impact on vol-of-vol
Option-implied distribution of VIX Futures prices and VIX Options opportunities driven by ETP impact
VIX futures curve shape: evaluating curve trades in the context of the ETPs

Benn Eifert, Ph.D., Founder and CIO, QVR Advisors
Rocky Fishman, CFA, Equity Derivatives Strategist, Goldman Sachs

4:30 – 5:30pm

Registration Continues

6:00 – 8:30pm

Opening Reception: Cocktails and Dinner

7:45 – 8:45am

Buffet Breakfast

8:45 – 9:15am

Welcome and Cboe Update

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

9:15 – 10:15am

Keynote Speech: Digital Assets and the Future of Finance

Cameron and Tyler Winklevoss, Co-founders of Gemini

10:15 – 10:45am

Coffee Break

10:45 – 11:45am

Keynote Speech: Market Movers: The Structure and the Cycle in 2018

Louis-Vincent Gave, Founding Partner & Chief Executive Officer of Gavekal

11:45am – 1:00pm

Lunch and Networking

1:00 – 2:00pm

Sourcing Liquidity: Diving Into New Initiatives and New Products

Options, Futures, Equity and FX market structures
Volume trends by product, order types, client types
How do, and how should, traders tap liquidity?

Moderator:
David Cross, Managing Director, Dash Financial Technologies

Panelists:
Bryan Christian, Head of US Equities Sales, Cboe Global Markets
Sean Cleary, Head of FX Sales, Cboe Global Markets
Eric Frait, Options Advancement and Strategy, Cboe Global Markets
Matthew McFarland, Cboe Futures Exchange (CFE) Business Operations & Strategy, Cboe Global Markets

2:00 – 2:15pm

Session Break

TRACK A

2:15 – 3:30pm

Trading Volatility Through the Bubble and Beyond

Has the bubble in volatility finally popped?
Efficient hedging strategies before and after a VIX shock
Risk-controlled carry opportunities across volatility regimes

Kambiz Kazemi, CFA, Partner & Portfolio Manager, La Financière Constance
Nitin Saksena, Head of US Equity Derivatives Research, BofA Merrill Lynch

TRACK B

2:15 – 3:30pm

Artificial Intelligence, Options and Volatility Strategies

Essential concepts of artificial intelligence, machine learning and deep factor modeling; where useful and where not
Utility for assessing direction of asset prices and relationships between prices and risk factors
Implications for portfolio optimization

Brandon Bates, Portfolio Manager, BlackRock
Ramon Verastegui, Managing Director, Société Générale

3:30 – 3:45pm

Coffee Break

TRACK A

3:45 – 5:00pm

Enhancing Active/Smart Beta Portfolio Management with Stock Option Writing

Highlighting the underrated benefits of put-writing outside of typical benchmarks
Studying the importance of using non-traditional, non-derivative signals in executing put-writing strategies
Revisiting covered call strategies as a means to shift returns from growth to income
Tradeoffs between weekly vs. monthly options in overwriting strategies

Joanne M. Hill, Chief Advisor for Research and Strategy, Cboe Vest
Anand Omprakash, Director, Equity & Derivative Strategy, BNP Paribas

TRACK B

3:45 – 5:00pm

Behavioral Finance: What Are Your Options?

A discussion of behavioral biases
How to avoid decision traps in portfolio construction
Understanding biases in the decision making of others, and taking advantage of miss-pricings that occur

Ilya Feygin, Managing Director/Senior Strategist, WallachBeth Capital LLC
Stacey Gilbert, Head of Derivatives Strategy, Susquehanna

7:15 – 8:00am

Buffet Breakfast

8:00 – 9:00am

Keynote Speech: The VIX Index Turns 25...Reflections on Quiet and Fear Throughout the Years

Dean Curnutt, Founder and CEO, Macro Risk Advisors LLC (MRA)
Dean Curnutt Presentation
Dean Curnutt Poem

9:00 – 9:15am

Session Break

TRACK A

9:15 – 10:30am

An Alternative Option to Portfolio Rebalancing

Between rebalances, portfolio weights deviate from their strategic target weights
A short options overlay can assist with hedging unintentional timing exposures
Furthermore, an options overlay can add alpha to a portfolio by earning the volatility risk premium
Through dedicated research and experience, we highlight implementation considerations including transaction costs, perception issues and other real world constraints

Roni Israelov, Ph.D., Principal, Head of Volatility Strategies, AQR Capital Management
Ragu Raghavan, Principal, Head of Institutional Solutions, Gladius Capital Management LP

TRACK B

9:15 – 10:30am

Volatility Management in Insurance Companies

Introduce a framework to evaluate the benefits and drawbacks of various risk management strategies from viewpoints of both policyholders and insurance companies
Present one quantitative evaluation of both viewpoints under the framework – on a historical basis and a prospective basis
Introduce new methods that may better balance the interests of insurers and policyholders
Provide an insurance company’s view of how the various techniques perform in the marketplace

Bryan Pinsky, Senior Vice President, AIG
Aaron Sarfatti, Partner, Oliver Wyman
Joe Kairen, Senior Director, S&P Dow Jones Indices

10:30 – 11:00am

Coffee Break

11:00am – 12:15pm

Implementing Options and Volatility-Based Strategies within Institutional Portfolios

Moderator: Michael J. Oyster, CFA, CAIA, Chief Investment Strategist, FEG Investment Advisors
Panelists:
Dennis Davitt, Partner, Harvest Volatility Management
Jon Havice, President and Chief Investment Officer, DGV Solutions
Paul R.T. Johnson, Jr., Board Member, State University Retirement System
Matthew Sherwood, Ph.D., Senior Investment Manager, Public Markets Investments, Ministers and Missionaries Benefit Fund (MMBB)

12:15pm

End of Conference Sessions

1:00pm

Golf Tournament or Naples Botanical Garden Tour (advance registration is required)

7:00 – 9:00pm

Buffet Dinner & Networking

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

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.