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Posted: 1/31/17
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The event started on February 29 and ended on March 2, 2016.

11:00am – 5:30pm

Conference Check-In and Registration open

12:30pm – 1:45pm

Constructing/Deconstructing Volatility Risk Premia Strategies

  • An analysis of new benchmark indexes using Russell 2000 index options
  • 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, Portfolio Manager, AQR Capital Management
Mark Shore, Adjunct Professor, DePaul University and Chief Research Officer, Shore Capital Research LLC

Mark Shore Presentation (pdf)

1:45pm – 2:00pm

Session Break

2:00pm – 3:15pm

The Unknowns about Bond Investing that Equity Options Traders Know

  • Systematic equity and equity index option strategies as alternatives to fixed income strategies
  • Using expectations for un-levered free cash flow yield to guide asset allocation decisions between collateralized short puts and stock
  • As risk management can color biases when the process is unknown, portfolio results drastically differ from stress tests once the trading protocol is added
  • Coupling discipline with reasonable expectation around risk and return makes for better investment results

John Marshall, Managing Director, Derivatives & Tactical Research, Goldman Sachs 
​Zem Sternberg, Head of Lake Hill, a Division of Leucadia Asset Management

3:15pm – 3:30pm

Coffee Break

3:30pm – 4:45pm

Intersections Between Macroeconomic Conditions and Volatility Levels

  • Can we combine fundamental macroeconomic data in a robust way to improve our medium term forecasts of market volatility?
  • What do macroeconomic dynamics tell us about the relative volatility of different market sectors and style exposures?
  • What do option markets say about potential events such as earnings and takeovers, expected dividends key announcements?
  • How to discern differences between traditional equity valuations and volatility levels

Benn Eifert, Ph.D., Former Portfolio Manager, Mariner Coria

Benn Eifert Presentation

Stacey Gilbert, Head of Derivatives Strategy, Susquehanna

4:30pm – 5:30pm

Check-in/Registration continues

6:30pm – 8:30pm

Welcome Reception: Cocktails and Dinner

7:45am – 8:45am

Buffet Breakfast

​Conference check-in/registration continues

8:45am – 9:15am

Welcome and CBOE Update

Edward L. Provost, President & Chief Operating Officer, CBOE Holdings, Inc.

Edward L. Provost Presentation (pdf)

9:15am – 10:15am

Keynote Speaker

Leo de Bever, PhD, Former CEO, Alberta Investment Management Corp.
Long-Termism: An Opportunity Worth Seizing

Leo de Bever Presentation (pdf)

10:15am – 10:45am

Coffee Break

10:45am – 11:45am

Perspectives on Options and Volatility Product Usage by Institutional Asset Owners


  • Neil Rue, CFA, Managing Director, Pension Consulting Alliance, LLC


  • John Burkhartzmeyer, Senior Trader, State of Wisconsin Investment Board
  • Paul R.T. Johnson, Jr., Board Member, State University Retirement System
  • Mike Nichols, CAIA, Investment Officer, Texas Tech University Syste
  • Leighton A. Shantz, CFA, Director of Fixed Income, Employees Retirement System of Texas

11:45am – 1:00pm

Lunch and networking

1:00pm – 2:15pm

Differentiating and Benchmarking Volatility-Based Investment Strategies:  Presentation and Panel



  • Joe Aiken, Portfolio Manager, Malachite Capital Management
  • Dennis Davitt, Managing Principal, Chief Investment Officer, Harvest Volatility Advisors, LLC
  • Satoshi Iwanaga, Chairman, Eurekahedge
  • James Koutoulas, CEO, Typhon Capital Management
  • Alan Salzbank, CIO, Gargoyle Investment Advisor L.L.C.

2:15pm – 2:30pm

Session Break

2:30pm – 3:45pm


Equities & Rates: Hybrid Options, Correlation and Risk Management

  • Competing drivers of both positive & negative equities-rates correlation
  • Hybrid options in a portfolio: beyond the cheapening
  • Responses of equities & rates volatility markets to Fed hiking
  • Interconnected rates & equities risks faced by insurance companies

Rocky Fishman, CFA, Equity Derivatives Strategy, Deutsche Bank Securities Inc.
​Philip Jones, SVP, Quantitative Strategies, Capital Markets Solutions, Ameriprise Financial


What Everyone Needs to Know About Listed Options Taxation

  • Differing taxation of index and ETF options
  • Replicating structured notes with listed options
  • Exchange traded options on MLPs instead of buying MLPs
  • New withholding tax issues for non-U.S. market participants

Bob Gordon, President, Twenty-First Securities Corporation
Bob Gordon Presentation

Michael Leon, Senior Vice President, Northern Trust
Michael Leon Presentation

William Paul, Tax Partner, Covington & Burling LLP
William Paul Presentations 1
William Paul Presentations 2

3:45pm – 4:00pm

Coffee Break

4:00pm – 5:15pm


Risk Hedging Frameworks: Governance Concerns and Equity Derivative Strategies

  • Motivations for long-term investors to tail hedge: economic, behavioral, operational
  • Tail hedging within an institutional portfolio framework
  • Enhanced systematic hedges using market signals and tactical overlays
  • Maximizing hedging risk/reward via derivatives strategies

Rebecca Cheong, Head of Americas Equity Derivatives Strategy, UBS Securities LLC
​Ari Paul, CFA, Portfolio Manager, The University of Chicago, Office of Investments
Ari Paul Presentation


Volatility of Volatility and Other Facets of VIX Options

  • Perspectives on the evolution of VIX options over its 10 year history
  • Understanding the distributions of realized and implied volatility
  • Key differences between volatility of VIX, of VIX ETPs and of spot
  • Structuring trading and hedging strategies using a variety of instruments
  • Special characteristics of VIX Weeklys

Joe Aiken, Portfolio Manager, Malachite Capital Management 
Art Lu, Director, Equity Quant Trading Strategy, Citigroup
Dominic Salvino, VIX Specialist, Group One, LLC
Dominic Salvino Presentation

7:15am – 8:00am

Breakfast Buffet

8:00am – 9:00am

Keynote Speaker

David M. Blitzer, Ph.D., Managing Director & Chairman of the Index Committee, S&P Dow Jones Indices
Secular Stagnation or Our Economic Hangover?

9:00am – 9:15pm

Session Break

9:15am – 10:30am


How to Improve Directional Trading Using Correlation Information

  • This year could mark a critical inflection point in many cross-market and cross-asset correlations
  • Monetizing probable correlation disconnects for either cheap macro directional trades or efficient hedges
  • How directional option holders can benefit from divergent price paths

Ryan McRandal, Portfolio Manager, One River Asset Management
Nitin Saksena, Head of US Equity Derivatives Research, BofA Merrill Lynch


The Evolving Dynamics of VIX Futures

  • Understanding the dynamics of VIX futures and their correlations with VIX and SPX
  • How have dynamics changed over the past few years given changes in supply and demand in volatility?
  • Impacts on systematic alpha and hedging strategies

Maneesh Deshpande, Managing Director and Head of Americas Equity Derivatives Strategy, Barclays
​Samuel Vazquez, Vice President, Quant Strategist, Capstone Investment Advisors, LLC

10:30am – 11:00am

Coffee Break

11:00am – 12:15pm


Directional Options Trading and Strategy – How to Effectively Manage a Directional Options Portfolio

  • Processes for idea generation and trade selection given an existing volatility and macro/thematic environment
  • Nuances of different underlying securities and factor payoffs
  • Analyzing implied and expected volatility over varying time horizons
  • Position management tactics

Ilya Feygin, Managing Director/Senior Strategist, WallachBeth Capital LLC
Michael C. Khouw, President, Optimize Advisors, LLC and Chief Strategist, Tradelegs, LLC
Michael C. Khouw Presentation


Cross-Region Volatility Analysis for Investing and Hedging

  • How supply/demand imbalances impact equity volatility surfaces by region; Asia, US and Europe
  • How to take advantage of structural dislocations to fit objectives

Vishnu Kurella, Portfolio Manager, Caxton Associates LP
​Ramon Verastegui, Managing Director, Head of Flow Strategy & Solutions, Americas, Société Générale


Golf Tournament

For all attendees. Dress is casual. Dinner concludes the conference.

7:00pm – 9:00pm

Buffet Dinner and Networking

The 2016 speakers
The event started on February 29 and ended on March 2, 2016.
Keynote Speakers
the 2016 sponsors
The event started on February 29 and ended on March 2, 2016.
Platinum Sponsor
Silver Sponsors
​Exhibitor Sponsors
General Sponsors
Media Sponsors
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