CBOE Risk Management Conference Agenda

26th Annual Risk Management Conference Agenda and List of Speakers

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Sunday, March 7, 2010

11:00 - 12:30	Conference Registration
12:30 - 1:45	Fundamentals of Options Part One: Options Strategy and Pricing - Profit/loss diagrams of investor strategies - Options strategies to fit asset allocation goals - Introduction to option price behavior Jim Bittman, Senior Staff Instructor, CBOE Options Institute
1:45 – 2:00	Session break
2:00 – 3:15	Fundamentals of Options Part Two: The Role of Market Makers - Misconceptions and conceptions about market makers - Delta-neutral and volatility trading from a market maker perspective - Position risks: Delta, Gamma, Vega and Theta and relevance to investors Joseph E. Bonin, Managing Partner, Navigate Advisors LLC
3:15 – 3:30	Coffee break
3:30 – 4:45	Fundamentals of Options Part Three: Harvesting Volatility - Introduction to the VIX index and VIX futures and options - Options-related strategy indexes including BXM, CBOE’s BuyWrite index and VPN, CBOE’s Capped VIX Premium index - Practical implementation issues Andrew Baehr, Managing Director in Global Equities and Commodity Derivatives, BNP Paribas Jack Hansen, CIO, The Clifton Group Paul Stephens, Director, Chicago Board Options Exchange
4:30 – 5:30	Conference Registration
6:30-8:30	Welcome reception and dinner

Monday, March 8, 2010

7:45 – 8:30	Buffet Breakfast & Conference Registration
8:30 – 9:00	Welcome Remarks by William J. Brodsky, CBOE Chairman and CEO
9:00 – 10:00	Keynote Speaker: Dr. Pippa Malmgren, President, Canonbury Group "Politics, Policy and the Financial Markets: Trading Opportunities in the New (Reformed) Regulatory Environment"
10:00 - 10:15	Coffee break
10:15 - 11:15	Keynote Speaker: Dr. Benn Steil, Senior Fellow and Director of International Economics, Council on Foreign Relations "The Dollar Dilemma"
11:15 – 11:30	Coffee break
11:30 - 12:30	Equity Volatility and the Business Cycle - Economic and multi-asset models for forecasting equity-related volatility - Observations from past business cycles - Implications for VIX and volatility trading Krag “Buzz” Gregory, Equity Derivatives Strategist, Goldman Sachs
12:30 – 1:45	Lunch and networking
1:45 – 3:00	Assessing Volatility and Correlation Trading Strategies - Pros and cons of various volatility trading methods - Current assessments of the volatility risk premium - Tools for analyzing volatility and correlation - Trends in product usage, strategies and potential results Rick Jen, Senior Portfolio Manager, Wolverine Asset Management Puneet Kohli, Portfolio Manager, National Bank of Canada Mike Merucci, Portfolio Manager and Trader, Pengana Capital	Sentiment Signals from Options Markets -Reading volume and open interest patterns - Gamma scalping & pin risk - Forecasting price impact and timing of catalysts - Case studies Marko Kolanovic, Ph.D., Global Head of Derivatives and Delta One Strategy, J.P. Morgan Securities Inc. Paul G. Staneski, Ph.D., Global Head of Derivatives Solutions & Training, Credit Suisse Securities (USA) LLC
3:00 – 3:15	Coffee break	Coffee break
3:15 – 4:30	Equity-Related Volatility Skew - Option models and the real world - Modeling the skew - Skew risk and changing market conditions - Skew sensitive trading strategies Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC Timothy Weithers, Co-Director of Education, Chicago Trading Company, LLC	The Options Trading Landscape as Seen by the Buy-side - Results from a 2010 Options study - Insights on who uses what products and strategies and why they do so - Best practices in analytics and execution techniques Jay Easterling, Managing Director, Gargoyle Asset Management LLC Gary McAnly, Director of Trading, Oppenheimer Capital David W. Mortimer, Managing Director, Equity Options, Pipeline Andy Nybo, Principal, Head of Derivatives, TABB Group

Tuesday, March 9, 2010

7:15 - 8:00	Buffet Breakfast
8:00 - 9:00	Keynote Speaker: Dr. David M. Blitzer, Managing Director and Director of the Index Committee, Standard & Poor's Bubble Risk Management: Strategies for Identifying and Responding to Financial Bubbles
9:00 - 9:15	Coffee Break	Coffee break
9:15 - 10:30	Insurance Industry Usage of Equity Derivatives - Fundamentals of insurance structures and equity derivative product needs - Special regulatory, operational and other concerns that impact valuations of long-term interest rates and equity volatilities - Policy behavior, liquidity and counterparty concerns Simon Babbs, Head of Quantitative Risk Management, The Options Clearing Corporation Ken Mungan, Financial Risk Management Practice Leader, Milliman	Dividend Swaps, Options & Futures - Dividends as an asset class - Key characteristics of dividend indexes and fair value pricing - Development of the listed dividend futures and options market - Practical applications of dividend-based strategies on single stocks and indices Charles de Boissezon, Equity Derivatives Engineering & Advisory, Société Générale Sarah Dahan, Portfolio Manager, Blue Mountain Capital
10:15 -10:30	Session Break	Session break
11:00 - 12:15	Bringing Exotic Models Home - Replicating exotic option structures with listed options - Exotic options embedded in insurance products - Outsourcing vs. DIY - Pre- and post-trade attribution analysis Brayton Li, Senior Managing Director, Derivatives, Principal Life Insurance Company Izzy Nelken, President, Super Computer Consulting	Convertible Bond Arbitrage and Listed Options - Trends in the convertible bond marketplace - Trading techniques for locking in profits and managing risk - Perspectives on volatility trading J.D. Cronin, Derivatives Analyst, Concept Capital Jonathan Havice, COO, Interlachen Capital Group, LLC
12:15	End of Conference Sessions
1:00	Golf Tournament at Tiburon
6:00 -8:00	Buffet Dinner for all conference attendees at Tiburon

Listed speakers are confirmed. Some session topics or speakers may change. Please check back for updates.

LIST OF CONFIRMED SPEAKERS

Simon Babbs, Head of Quantitative Risk Management, The Options Clearing Corporation

Andrew Baehr, Managing Director in Global Equities and Commodity Derivatives, BNP Paribas

Jim Bittman, Senior Staff Instructor, CBOE Options Institute

Dr. David M. Blitzer, Managing Director and Director of the Index Committee, Standard & Poor's

Charles de Boissezon, Equity Derivatives Engineering & Advisory, Société Générale

Joseph E. Bonin, Managing Partner, Navigate Advisors LLC

Willam J. Brodsky, Chairman and CEO, Chicago Board Options Exchange

J.D. Cronin, Derivatives Analyst, Concept Capital

Sarah Dahan, Portfolio Manager, Blue Mountain Capital Mangement

Jay Easterling, Managing Director, Gargoyle Asset Management LLC

Krag "Buzz" Gregory, Equity Derivatives Strategist, Goldman Sachs

Jack Hansen, CEO, The Clifton Group

Jonathan Havice, COO, Interlachen Capital Group, LLC

Rick Jen, Senior Portfolio Manager, Wolverine Asset Management

Puneet Kohli, Portfolio Manager, National Bank of Canada

Marko Kolanovic, Ph.D., Global Head of Derivatives and Delta One Strategy,
J.P. Morgan Securities Inc

Brayton Li, Senior Managing Director - Derivatives, Principal Life Insurance Company

Dr. Pippa Malmgren, President, Canonbury Group

Gary McAnly, Director of Trading, Oppenheimer Capital

Mike Merucci, Portfolio Manager and Trader, Pengana Capital

David W. Mortimer, Managing Director, Equity Options, Pipeline

Ken Mungan, Financial Risk Management Practice Leader, Milliman

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

Izzy Nelken, President, Super Computer Consulting

Andy Nybo, Principal, Head of Derivatives, TABB Group

Paul G. Staneski, Ph.D., Global Head of Derivatives Solutions & Training, Credit Suisse Securities (USA) LLC

Dr. Benn Steil, Senior Fellow and Director of International Economics, Council on Foreign Relations

Paul Stephens, Director, Chicago Board Options Exchange

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

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