One hundred attendees listened to five financial experts discuss the theme, "Portfolio Management and the Volatility of Volatility Indexes," at a panel discussion at a joint Chicago QWAFAFEW / PRMIA - sponsored meeting. This presentation was held on Thursday, September 27th at the members lounge of the Chicago Board Options Exchange (CBOE), 400 South LaSalle Street, Chicago.

Presentations:

Volatility Indexes

Russell Indexes and Listed Options

By Mr. David E. Kuenzi, Head of Risk Management and Quantitative Research, Glenwood Capital Investments, LLC, in Chicago*

By Keith H. Black, CFA at Ennis Knupp + Associates*

* Views expressed by third parties are not necessarily endorsed by CBOE.

Questions:

Here are some of the questions that will be posed to the panelists --

• In light of the fact that the volatility indexes already have experienced greater-than-ten-percent daily moves in more than thirty days in 2007, how can investors and traders benefit from these big moves?
• How are the futures and options on the volatility indexes priced?
• Have the volatility indexes seen explosive upside moves when stock prices recently declined?
• Is volatility a powerful unique new asset class?
• Is a high VIX level bullish and a low VIX bearish for stocks?
• Can the volatility index products be used as tools for diversification, asset allocation, and/or market forecasting?

Panelists:

The five panelists were:

(1) Mr. David E. Kuenzi, Head of Risk Management and Quantitative Research Glenwood Capital Investments, LLC, in Chicago. Mr. Kuenzi is the author of the recent 18-page working paper "Shedding Light on Alternative Beta: A Volatility and Fixed Income Asset Class Comparison."

(2) Mr. Keith H. Black, CFA at Ennis Knupp & Associates, a consulting firm based in Chicago. Keith is the author of "Improving Hedge Fund Risk Exposures by Hedging Equity Market Volatility, or How the VIX Ate My Kurtosis" in the 2006 Journal of Trading.

(3) Mr. Kelly Haughton, Strategic Director at Russell Indexes in Tacoma, WA. Options on the CBOE Russell 2000 Volatility Index are scheduled to begin trading on September 27.

(4) Mr. Dominic Salvino of Group One Trading in Chicago, a firm that serves as designated primary marketmaker (DPM) for options on volatility indexes.

(5) Mr. Paul Kepes, Managing Director of Chicago Trading Company (CTC), a firm that serves as designated primary marketmaker (DPM) for futures contracts based on variance and volatility indexes.

More details are at http://www.qwafafew.org/chicago.

Photos

Standing (L-R)—Sara Wilson, Russell Indexes; Kelly Haughton, Russell Indexes; Dominic Salvino, Group One; David Kuenzi, Man Glenwood; Paul Kepes, Chicago Trading Company; Keith Black, Ennis Knupp. Seated—Matt Moran, CBOE.

(L - R) Kevin Kennedy, CBOE broker; Terry Andrews, CTC; Kelly Haughton, Russell Indexes; Ben Londergan, Group One; Sara Wilson, Russell Indexes; Dominic Salvino, Group One.

(L - R) Ben Londergan, Group One; Sara Wilson, Russell Indexes; Kelly Haughton, Russell Indexes; Bill Brodsky, CBOE; and Dick DuFour, CBOE, ring the bell for the opening day of trading in options on the CBOE Russell 2000 Volatility Index (RVX) on September 27, 2007.