CBOE’s 29th Annual Risk Management Conference Agenda

Sunday, March 3, 2013

11:00 – 5:30

4:30 – 5:30

- An analysis of the historical performance of premium selling and tail risk strategies

Chris Cole, Managing Partner, Artemis Capital Management LLC

3:15 – 3:30 Coffee Break

Timothy Weithers, Co-Director of Education, Chicago Trading Company, LLC

Conference Registration: AVIARA SALON

12:30 – 1:45

1:45 – 2:00 Session break

2:00 – 3:15

Fundamentals of Options and Options Strategy

- Option terminology, mechanics and profit/loss diagrams of investor strategies

- Option prices and market dynamics

Managing Positions Pre- and Post-Trade

David Mitchell, Equity Derivative Application Specialist, Bloomberg

3:30 – 4:45

Registration Continues

6:00 – 8:30 Opening Reception: Palm Courtyard (weather permitting) or AVALON Room Lower

Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC

VIX Paradigm & Paradox

- Examining how macro trends and new supply/demand characteristics are changing the

dynamics of VIX derivatives

AVIARA SALON A

- Review of option risk measures (the “Greeks”)

- Pre-trade Rich/Cheap Analysis

- Scenario & Horizon Analysis

- Managing options positions over time (getting in, getting out, rolling up, down and out)

Michael Schmanske, Founder and Portfolio Manager, Glenshaw Capital Management

LLC

Jim Bittman, Senior Instructor, CBOE Options Institute

- Traditional and new approaches to trading volatility

- Characteristics of volatility, and volatility of volatility

Monday, March 4, 2013

10:00 - 10:15

1:15 – 1:30

1:30 - 2:45 Grand Ballroom A Grand Ballroom D

Using Short Options Positions to Manage

and Lower Volatility of an Equity Portfolio

Alpha Opportunities in Equity Derivatives

Created by Macro Uncertainty

- Pros and cons of using index options versus

individual equity options

- Crisis fatigue and high central bank liquidity

is creating attractive risk premiums to harvest

in equity derivatives

- Creating a portfolio of staggered and

laddered option positions to mitigate pin risk

and lower overall volatility

- Surprisingly, there is not just one risk

premium, but many that can be turned into

uncorrelated alpha sources

- Different types of option contacts to use and

benefits of each: traditional listed, flex, OTC,

weeklys

- Why a market in which many find it hard to

generate alpha, is benefiting the derivatives

market

· Using technical and volatility analysis for

dynamic strike and tenor selection

Benjamin Bowler, Global Head of Equity

Derivatives Research, BofA Merrill Lynch

- Implementing options-based programs in a

pension plan

Michael Wexler, Founder and CEO, Maple

Leaf Capital

John Colville, Chief Investment Officer,

City of Sacramento

Scott Maidel, Senior Portfolio Manager /

Trader, Equity Derivatives, Russell

InvestmentsVictor Viner, President/CIO/Co-Portfolio

Manager, V2 Capital

Grand Ballroom A Grand Ballroom D

Left and Right Tail Risk Hedging and Carry Realized Variance Strategies and

Implementation

- Leveraging the main (i.e. long) portfolio as a

way to mitigate the negative carry of tail

hedging 

-Listed variance futures design and trading

- Finding value across various markets (US

equities, commodities, HY bonds, world

equities, EM equities)

-Variance strategies and relationships to

volatility markets

- Using leverage to offset the negative carry of

tail protection across different markets

-The effects of convexity and the price of

convexity

Robert Gingrich, Risk Analyst, Western

Asset Management

-Trading variance vs. volatility

Aashish Vyas, President, Silk Road Asset

Management

John Hiatt, Director, Research and Product

Development, CBOE

Vishnu Kurella, Portfolo Manager,

BlueMountain Capital Management

Trading Innovation: A Financial Exchange for Intellectual Property Rights

Gerard J. Pannekoek, President & CEO, Intellectual Property Exchange International,

Inc. (IPXI)

Coffee break

7:30 – 8:30 Buffet Breakfast: Aviara Salon

Conference Registration: Grand Foyer

8:30 – 9:00 Keynote Speaker: William J. Brodsky, CBOE Chairman and CEO

CBOE and Options Industry Update

9:00 - 10:00 Keynote Speaker: John Coates, Senior Research Fellow in Neuroscience & Finance,

University of Cambridge

New Research in Neuroscience & Finance; The Biology of Risk Taking

10:15 - 11:30

Moderator: Phillip Kosmala, Managing Director, Taiber Kosmala and Associates, LLC

Clayton Cutler, Head of Risk Trading and Portfolio Management, The Hartford

Lunch and networking

3:00 – 4:15

Session break

11:30 – 12:45

12:45 – 1:15

2:45 – 3:00 Coffee break

Greg McMurran, Chief Investment Officer, Analytic Investors

Keynote Panel: Trends in Institutional Options Usage

David Villa, Chief Investment Officer, State of Wisconsin Investment Board

What strategies are institutional investors employing and why?

Nancy Davis, Director of Derivatives, AllianceBernstein

Tuesday, March 5, 2013

7:15 - 8:00

Grand Ballroom A Grand Ballroom D

VIX ETPs, Interrelationships between

Volatility Markets and Implications for

Investors and Traders

Portfolio Construction:  Finding Options

Where You Least Expect Them

- Design of first and second generation VIX

strategy indexes

- Portfolio exposures are not as linear as we

think. Investors can achieve options-like risks

and payoffs without owning any options. 

- Utility for longer term investors and shorter

term traders

- How do managers maintain a desired

market exposure?

- Fundamental vs. structural impacts on pricing

in volatility markets

- Best strategies to achieve the desired

balance of risk and reward in investors’

portfolios

- How liquidity issues matter in choosing

products and strategies

Zem Sternberg, Managing Partner, Lake

Hill Capital Management

Spencer Cross, Co-Head Index Volatility

Trading, Citigroup Global Markets

Sorina Zahan, Partner, Core Capital

Management

Frank Luo, Head of Index Research and

Design, S&P Dow Jones Indices

What Everyone Needs to Know About

Listed Options Taxation

Volatility Management of Equity-Based

Insurance Guarantees- Puts, calls & their effect on dividends - Introduction to Equity Based Insurance

Guarantees

- Differing taxation of index and ETF options - New product designs including volatility

control products, low volatility by stock

selection and VIX-linked  structures

- Replicating structured notes with listed

options

- Volatility profile of equity based insurance

guarantees, with and without new designs

- Using portfolio margining to increase liquidity

from concentrated stock positions

- How insurance companies manage risks

Michael Leon, Senior Vice President,

Northern TrustMichael Lynch, Vice President, Twenty-

First Securities CorporationMark Hadley, Vice President, Financial

Engineering, Numerix William Paul, Tax Partner, Covington &

Burling LLPStephen Stone, Senior Vice President, AIG

Life and Retirement

12:15

7:00 - 9:00

The Hundred Year Storm…Five Times in 20 Years? - Looking Back and Looking Forward on

Financial Market Shocks

End of Conference Sessions

Buffet Breakfast: Aviara Salon

Keynote Speaker: Dean Curnutt, CEO, Macro Risk Advisors

1:00 Golf Tournament: Aviara Golf Club

Buffet dinner and networking: Avalon Terrace (casual dress, outdoors)

9:00 – 9:15 Session Break

9:15 -10:30

10:30-11:00

8:00 – 9:00

11:00- 12:15

Coffee Break