CBOE RMC Day 1 Recap

I work for CBOE and I am a company man.  However, no bias plays into me stating that today’s first three sessions of CBOE’s Risk Management Conference combined to make today the best first day of RMC I have ever experienced.  Each session combined education with practical knowledge and each session involved two speaker that complemented each other’s strengths.

The first session involved pairing up Mark Shore who is Chief Research Officer from Shore Capital Research as well as an Adjunct Instructor at DePaul University with Roni Israelov, Portfolio Manager from AQR Capital Management.  Shore discussed recent results of a study he performed on Russell 2000 Index option based strategy indexes.  He noted the superior absolute returns of the CBOE Russell 2000 PutWrite Index while also noting the risk adjusted returns of a handful of other strategy benchmarks.  Israelov followed up by dissecting the returns from covered calls noting that the real alpha comes from the short volatility component of covered call returns.

A more extensive review of the first session may be found at –

Constructing / Deconstructing Volatility Risk Premia Strategies

The second presentation of the day covered The Unknowns about Bond Investing that Equity Options Traders Know.   John Marshall, Managing Director, Derivatives and Tactical Research at Goldman Sachs and Zem Sternberg of Lake Hill.  Sternberg led off discussing what should be known when considering and option based portfolio stategy and Marshall follows up with a strategy that takes cash flow into account for put selling with the results being superior to comparable fixed income investing.

Further coverage of this talk may be found at –

The Unknowns about Bond Investing that Equity Options Traders Know

The final day one presentation was titled Intersections Between Macroeconomic Conditions and Volatility Levels.  Benn Eifert, Ph.D., Former Portfolio Manager from mariner Coria and Stacey Gilbert, Head of Derivatives Strategy at Susquehanna teamed up for a very informative and educational session.  Eifert offered a historical perspective on volatility and economic cycles while Gilbert took his work and applied what she sees in the current market environment.

You can read more about this presentation at –

Intersections Between Macroeconomic Conditions and Volatility Levels

The takeaways from the first day were substantial with equal approval being spread across all three sessions during this evening’s networking event.  I can only imagine how strong the response will be during tomorrow’s presentations which cover a much wider variety of topics.