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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

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

  1. Zero interest rates and quantitative easing altered the traditional search for yield
  2. Risk-free return or Return-free risk?
  3. Volatility positioning in the options market
  4. Optionality positions in other asset classes and structures
  5. 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


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


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


Steven M Sears


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


Luke Kawa, Cross-Asset Reporter, Bloomberg


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

Additonal Speaker TBC

2:30pm – 3:00pm

Session Break


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


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


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?




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


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)


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


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


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


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


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


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


    End of Conference


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

    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