CBOE's 31st Annual Risk Management Conference (RMC) will be held March 4 - 6, 2015 at the Park Hyatt Aviara in Carlsbad, California. RMC is the premiere financial industry conference designed for institutional users of equity derivatives and volatility products. If you're a financial professional interested in learning the latest risk management techniques and how to trade and hedge volatility, CBOE's Risk Management Conference is an event you won't want to miss.
The Park Hyatt Aviara is along the Pacific Ocean, 25 miles North of San Diego and 50 miles South of Orange County, California. This year’s US conference has again drawn tremendous interest. The CBOE RMC Europe in Dublin last September received high praise from attendees.
DAY 1 AGENDA: WEDNESDAY, MARCH 4, 2015
11:00 - 5:30: Registration
12:30 - 1:45 Track One
Primer on Volatility Analysis and Trading Strategies
- Theory and practice of trading volatility by delta-hedging plain vanilla options versus trading in VIX-related products
- Stock index volatility skew and term structure and impacts on VIX-related products
- The design and performance of long, short and dynamic VIX-linked ETPs
- Utility for longer term investors and shorter term traders
Samuel Kadziela, Director of Education, Chicago Trading Company, LLC
Berlinda Liu, Director of Index Research and Design, S&P Dow Jones Indices
12:30 - 1:45 Track Two
Arbitraging Volatility Estimates
- Trading different estimates of volatility: Frequency arbitrage and beyond
- When is a volatility estimate tradable?
- A new tradable estimate based on High and Low
Bruno Dupire, Head of Quantitative Research, Bloomberg
1:45 - 2:00 Session Break
2:00 - 3:15 New Benchmark Indexes & Study on Use of Options by Mutual Funds and ETFs
- Beyond the BXM and PUT – Introducing new strategy benchmark indexes that use index options
- Presentation of a study with a novel list of dozens of ’40 Act funds that use options for portfolio management
- Discussion of issues such as, "Have options-based funds and benchmark indexes delivered lower volatility and higher risk-adjusted returns?"
William Speth, Vice President, Research and Product Development, CBOE
Edward Szado, Assistant Professor of Finance, Providence College
3:15 - 3:30 Coffee Break
3:30 - 4:45 The Evolution of Options Strategies on the Buy Side Trading Desk
- Selecting order channels for optimal execution
- The role of algos in options trading
- The benefits and challenges of extended hours trading
- Maximizing the value of the broker balance sheet
- The role of weekly options in institutional portfolios
Moderator: Andy Nybo, Principal, Head of Derivatives, TABB Group
Andrew Claeys, CFA, Director of Trading, Analytic Investors
Ken Kwalik, Vice President, Goldman Option Advisory Services
Mahsa Zeinali, Chief Operating Officer, Rosen Capital Advisors
4:30 - 5:30 Registration Continues
6:00 - 8:30 Opening Reception and Dinner
There is limited space available at CBOE RMC. For more information about the full agenda, topics, speakers and registration forms, go to http://www.cboermc/agenda
We will be reporting from each presentation all three days with updates, Tweets, Blogs, CBOETV, etc. and will be talking to presenters and attendees. To follow the conference go to cboermc.com.