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2017 RMC U.S. Highlights
2017 Agenda
The Cboe Risk Management Conference was held Wednesday, March 8 through Friday, March 10, 2017. 
Previous DayNext Day

11:00am – 5:30pm

Conference Registration – Pacific Ballroom Foyer

11:30am – 12:30pm

Light Stand-up Lunch Buffet – Pacific Ballroom Foyer

12:30pm – 1:45pm

Pension Consultant White Papers on Funds and Use of Options Strategies

  • New research on Buywrite and Putwrite benchmark indexes that use S&P 500 or Russell 2000 options
  • Risk and return metrics of such options-based strategies compared to strategies involving multiple asset classes
  • Case studies on the use of options within pension plan asset allocations

​Teri Geske, Consultant, Wilshire Associates

Teri Geske Presentation (pdf)

Michael J. Oyster, CFA, Managing Principal & Chief Investment Strategist, Fund Evaluation Group, LLC

Michael J. Oyster Presentation (pdf)

1:45pm – 2:00pm

Session Break

2:00pm – 3:15pm

The Decision Cycle for Downside Risk and Income-Focused Strategies

  • Investment metrics and the pitfalls of back tests
  • Implied vs. realized index return distributions - implications for investment strategy innovation
  • Options as building blocks for reshaping downside returns profiles
  • Income-focused strategies with low interest rate and credit risk using short volatility exposure

Carlos Chujoy, Portfolio Manager, Employees Retirement System of Texas

Carlos Chujoy Presentation (pdf)

Joanne M. Hill, Research and Strategy, Cboe Vest

Aashish K. Vyas, Director of Portfolio Strategy, Swan Global Investments

Aashish K. Vyas Presentation (pdf)

3:15pm – 3:30pm

Coffee Break

3:30pm – 4:45pm

Real Money: Institutional Liabilities and How Options Strategies Can Help

  • 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
  • Maintaining expected returns that risk assets provide is critical to meeting liabilities for institutions
  • Options and volatility-based strategies that lower volatility and cushion downside risks can better align assets with overall enterprise risk of institutions

Jon Havice, President and Chief Investment Officer, DGV Solutions

Jon Havice Presentation (pdf)


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

Adam J. Smith, CFA, CAIA, Director of Investments, Mercy Health

David Warn, Head of Market Risk, Senior Portfolio Manager, The University of Chicago, Office of Investments

4:30pm – 5:30pm

Registration Continues

6:00pm – 8:30pm

Opening Reception: Cocktails and Dinner on the Grand Lawn (weather permitting)

7:30am – 8:30am

Buffet Breakfast on the Pacific Lawn, weather permitting, otherwise AVEO Table & Bar
Conference Registration continues in Pacific Ballroom Foyer

8:30am – 9:00am

Welcome and Cboe Update

Edward Provost, President & Chief Operating Officer, Cboe Holdings, Inc.

9:00am – 10:00am

Keynote: Position Sizing and Relation to Risk Management

Edward O. Thorp, Math Professor, Inventor, Best-Selling Author and Hedge Fund Manager

10:00am – 10:30am

Coffee Break

10:30am – 11:30am

Post-Central Bank Volatility: More Risk But More Alpha

  • Post 2008, unprecedented global central bank policy has heavily depressed volatility and starved markets for alpha causing active managers to deliver historically poor performance
  • However, CBs are losing their grip on volatility as the effectiveness of QE fades, and as the Fed’s put strike is forced lower with monetary stimulus shifting to fiscal
  • This should ultimately kill today’s winning “buy the equity dip/sell the vol spike” trade, resulting in higher volatility, but also more alpha as markets become less slaved to policy

Benjamin Bowler, Global Head of Equity Derivatives Research, Bank of America Merrill Lynch

11:30am – 1:00pm

Lunch and Networking – Pacific Lawn

1:00pm – 2:00pm

Panel on Sourcing Liquidity

Henry Schwartz, President, Trade Alert, LLC

Henry Schwartz Presentation (pdf)

William Bartlett, CEO, Parallax Volatility Advisors

Jean Cayla, Head of US Execution Trading, Optiver

Michael C. Khouw, President, Optimize Advisors, LLC and Chief Strategist, Tradelegs, LLC

Stephen J. Solaka, Managing Partner, Belmont Capital Group

2:00pm – 2:15pm

Session Break


2:15pm – 3:30pm

Impact of Flows on Cash and Derivatives Markets: Myths and Realities

  • The relationships between volume, illiquidity and volatility at market and security levels, and their evolution over time
  • How measures of equity illiquidity relate to levels of equity volatility and VIX
  • Impact of volatility control & risk parity funds and market maker option hedging on the cash market
  • Quantifying the impact of buywrite funds on index option markets
  • Changing impact of VIX ETP flows on the VIX derivative market and taming the VIX whipsaws

Maneesh Deshpande, Managing Director and Global Head of Equity Derivatives Strategy, Barclays

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

Tim Edwards Presentation (pdf)


2:15pm – 3:30pm

Options Out of This Country

  • International index construction
  • Unique economics of USD-denominated international ETF options
  • Using FX-equity correlation views to drive trade selection
  • Time-of-day volatility differences for index products that trade in hours when their constituent markets are closed
  • Brexit recap: evaluating cash-settled index option hedges such as with SPX, MXEA, MXEF and EuroStoxx, around the Brexit vote period

Rocky Fishman, CFA, Equity Derivatives Strategy, Deutsche Bank Securities Inc.

Ricardo Manrique, Executive Director, MSCI

Ricardo Manrique Presentation (pdf)

Yoav Sharon, ‎Assistant Portfolio Manager, Senior Options Analyst, Driehaus Capital Management

Yoav Sharon Presentation (pdf)

3:30pm – 3:45pm

Coffee Break


3:45pm – 5:00pm

Focus on VIX Options

  • A historical perspective on the evolution of volatility strategies from utilizing fixed strike options, variance swaps, to VIX futures and options
  • VIX options strategies for insurance, yield or simply expressing a view
  • Special properties of VIX options which make them unique, and how to take advantage of such properties

Moderator/Presenter: Ramon Verastegui, Managing Director, Head of Flow Strategy & Solutions, Americas, Société Générale

Jeremy Attali, Vice President, Jr. Portfolio Manager, Capstone Investment Advisors LLC

David Liebowitz, Managing Partner, Aroya Capital, LP

David Liebowitz Presentation (pdf)


3:45pm – 5:00pm

Cross-Asset Volatility Trading; Relationships Between Credit Spreads, Fixed Income Volatility and Equity Volatility

  • Credit spreads & equity volatility; Interest rate & FX volatility; Policy rate & equity volatility; Pricing event & calendar risk; Cross asset skew & term structure; Risk parity & balanced portfolio hedges
  • Implied volatility as an awareness tool
  • Applications to multi-asset portfolios

John-Mark Piampiano, Head of Equity Derivatives Strategy, Seaport Global Securities LLC

David Rogal, Director and Portfolio Manager, BlackRock

7:15am – 8:00am

Breakfast on the Pacific Lawn (weather permitting, otherwise AVEO Table & Bar)

8:00am – 9:00am

The Growing Role of Predictive Analytics in Investing

  • Relationships between political/policy shocks and financial markets
  • Predictive signals from Twitter traffic
  • Signals from implied volatility measures

Angela Miles, President, Miles Ahead Productions, LLC.  Business First AM

Joe Gits, CFA, CEO and Co-Founder, Social Market Analytics (SMA)

William Speth, Vice President, Research and Product Development, Cboe

Eric Zitzewitz, Professor of Economics, Dartmouth College

9:00am – 9:15am

Session Break


9:15am – 10:30am

U.S. Dispersion: Stocks, Sectors, and Indexes in a Changing Rate Environment

  • Inter/intra-sector & index dispersion and implications for volatility
  • Developments in equity-rate correlation and sector volatility bias
  • Market supply/demand dynamics and impact on implementation choices

Eric Rains, Portfolio Manager, BlueMountain Capital

Stewart Warther, CFA, US Equity & Derivative Strategist, BNP Paribas


9:15am – 10:30am

SPX Weeklys: Market Analysis and Long and Short Applications

  • Dynamics of how Weeklys differ from standard listed options
  • Systematic strategies using weekly options
  • Utility of Weeklys for just-in-time hedging, long or short volatility applications

Pravit Chintawongvanich, Head of Risk Strategy, Macro Risk Advisors

Pravit Chintawongvanich Presentation (pdf)

Scott Maidel, Former Senior Portfolio Manager, Russell Investments

Scott Maidel Presentation (pdf)

10:30am – 11:00am

Coffee Break


11:00am – 12:15pm

Options and Volatility Based Solutions for Insurance Companies

Bill O’Keefe, Director of Derivatives & Customized Options, X-Change Financial Access (XFA)

Pawel Konieczny, Ph.D., CFA, Vice President, Client Solutions Group, Numerix

Brayton Li, Managing Partner, Abacus Partners LLC

Joyana Pilquist, CFA, Vice President, Derivative Portfolio Manager, American Equity Group

Dan Walsh, Derivatives Trader, Protective Life


11:00am – 12:15pm

Determining Edge in Options Trading – an Application of the Kelly Criterion

  • What do option markets say about potential events such as earnings, takeovers and expected dividends key announcements?
  • Trade construction via comparison of view and market-implied probability distributions
  • How to discern differences between traditional equity valuations and volatility levels

Ilya Feygin, Managing Director/Senior Strategist, WallachBeth Capital LLC

Stacey Gilbert, Head of Derivatives Strategy, Susquehanna Financial Group, LLC


End of Sessions


Golf Tournament at Monarch Beach Golf Links

1:00pm Shotgun Start (For all attendees. Preregistration is required.)

7:00pm – 8:30pm

Closing Dinner – Club 19

The 2017 Speakers
The Cboe Risk Management Conference was held Wednesday, March 8 through Friday, March 10, 2017.
Keynote Speaker
2017 Sponsors
The Cboe Risk Management Conference was held Wednesday, March 8 through Friday, March 10, 2017.
Platinum Sponsor
Gold Sponsors
Silver Sponsors
General Sponsors
Media Sponsors