CBOE Risk Management Europe – Day Two Agenda

RMC Europe is only three weeks away. RMC’s Day One Agenda was mentioned here yesterday. The following is the tentative Day Two Agenda.
Thursday, 4 September 2014

8:00am          Conference Registration and Buffet Breakfast

9:00am -9:15am        
Edward T. Tilly, Chief Executive Officer, CBOE Holdings, Inc.
Welcome and CBOE Update

9:15am –10:15am
Keynote Speaker: David Hauner, Head of EEMEA Cross-Asset Strategy and Economics, Bank of America Merrill Lynch

Emerging Markets: Attractive Investment or Global Systemic Risk?

10:15am -10:45am        Coffee Break

10:45am -11:45am      
 Volatility Regimes and an Analysis of Where we Were, Where we Are and Where we are Going
     Gerry Fowler, Head of Equity & Derivatives Strategy, Global Equities & Commodity Derivatives, BNP Paribas

11:45am  -1:00pm       Lunch and networking

1:00pm -2:00pm       
Panel on Trends in Institutional Options and Volatility Product Usage
Moderator: Robert McGlinchey, Director and Co-founder, EQDerivatives

Jean-Francois Bacmann, Portfolio Manager and Head of Volatility Strategies, Man AHL
Stephen Crewe, Portfolio Manager, Fulcrum Asset Management
                     Jack Hansen, Chief Investment Officer, Parametric Clifton Group
Andrew Rozanov, Former Managing Director, Permal Investment Management

2:00pm-2:15pm       Session Break

                                 Followed by TWO tracks:

 2:15pm -3:30pm   Asset Allocation Rebalancing Using Short Options
Results from an empirical study on the use of SPX options
to implement allocation shifts with market moves
– Case studies on how dynamic rebalancing has been accomplished in practice
                 Dr. Christoph Gort, Partner, SIGLO Capital Advisors
Pav Sethi, Chief Investment Officer, CEO, Gladius Investment Group

3:30pm -3:45pm        Session Break

3:45pm-5:00pm    The Volatility Surface:  Skew and Term-Structure
– Option Pricing Theory vs. the Real World
– How the volatility surface impacts strategy selection & risk measurement
– Trading Skew: how, when and why bother?
               Natasha Jhunjhunwala, Equity Derivatives Product Management, Credit Suisse
Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC



          Volatility of Volatility
An analysis of volatility of volatility surfaces, including the VIX of VIX index, ticker VVIX
– Applications for options on VIX and VIX ETPs
– Historical observations and interpretations
– Trading and hedging applications
             Abhinandan Deb, Head of European Equity Derivatives Research, Bank of America Merrill Lynch
Jean-Gabriel Prince, Portfolio Manager, BlackRock

 3:45pm -5:00pm       Listed Derivative Product Design and Trading
– A detailed description of the VIX settlement process
– Weekly futures and options on short term VIX, ticker VXST
– Volatility of non-equity asset classes including interest rate volatility
– Managing volatility trades
               Dominic Salvino, VIX Specialist, Group One, LLC
William Speth, Vice President, Research and Product Development, CBOE

There is still time to register.  The agenda, topics, speakers and registration form can be viewed at  http://www.cboermceurope.com/agenda

  We’re looking forward to seeing you there.