11:00 – 12:30

Conference Registration

12:30 – 1:45

Options Fundamentals for Investors Part One: Options Strategy and Pricing

- Option terminology, mechanics and profit/loss diagrams of investor strategies
- Option prices and market dynamics
- Managing market exposure using options
- Option basics for institutional investors

Jim Bittman, Senior Staff Instructor, CBOE Options Institute
Gary Trennepohl, Trustee - Oklahoma Teachers Retirement System and ONEOK Professor of Finance at Oklahoma State University

Options Fundamentals for Traders Part One: Synthetic Option Strategies

- There’s more than one way to get long or short
- Arbitrage relationships
- Review of option risk measures (the “Greeks”)
-What are option market-makers thinking?

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

1:45 – 2:00

Session break

2:00 – 3:15

Options Fundamentals for Investors Part Two: The Case for Selling Options – Using Options to Enhance Returns and Dampen Volatility

- Rationale and benefits of selling volatility using equity index options
- Considerations for incorporating a volatility selling strategy within a diversified portfolio
- How selling volatility works - exchanging equity risk premium for insurance risk premium

Brad Johnson, CFA, Investment Consultant, Cambridge Associates, LLC
Jay H. Strohmaier, CFA, Senior Portfolio Manager, The Clifton Group

Options Fundamentals for Traders Part Two:Volatility Trading

- Interpreting volatility data

- Volatility characteristics
- The role of volatility in strategy selection
- Volatility in the real world

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

3:15 – 3:30

Coffee break

3:30 – 4:45

Options Fundamentals for Investors Part Three:Institutional Investors Panel

- What option based strategies are being employed?
- How does one get these “complex” programs approved by committees and supported by consultants?
- What are the lessons learned from using option based programs and where are the opportunities today?

Moderator: Matt Moran, Business Development, CBOE

Larry Anderson, EVP of Finance, Covenant Ministries of Benevolence
Larry Krummen, Chief Investment Officer, MoDOT & Patrol Employees Retirement System
Sue Slocum, Treasurer, Children's Health Care

Options Fundamentals for Traders Part Three:Using VIX to Trade Volatility

- Traditional approaches to trading volatility
- VIX methodology
- Buying and selling VIX products
- The term structure of volatility and volatility of volatility

Samuel Kadziela, Associate Director of Education, Chicago Trading Company, LLC

4:30 – 5:30

Registration continues

6:00– 8:00

Opening Reception: Cocktails and dinner at the Waterfall Deck at Hyatt Regency

7:45 – 8:30

Buffet Breakfast

Conference Registration

8:30 – 9:00

Keynote Speaker: William J. Brodsky, CBOE Chairman and CEO

9:00 - 9:15

Session break

9:15 - 10:30

Keynote Speaker: PJ O' Rourke, Political Satirist, Journalist & Writer

10:30 - 10:45

Coffee break

10:45 – 11:45

Today’s Volatility Environment and What to Do about It

- Higher volatility and correlation levels have been a dominant driver of subpar active manager performance
- Derivative overlay strategies can enhance yield and mitigate risk, but which ones work?
- A comparison of portfolio hedging and yield enhancement strategies, analysis of lessons learned, and “what worked when”

Krag “Buzz” Gregory, Equity Derivatives Strategist, Goldman Sachs

11:45 – 1:15

Lunch and networking

1:15 – 2:30

Options-Based Strategy Benchmarks


- Option selling benchmarks such as the BXM, BXY, and PUT Indexes
- Downside risk benchmarks that utilize VIX futures or options


Mitch Boraz, Senior Consultant, Asset Consulting Group
Berlinda Liu, Director of Index Research and Design, S&P Indices
Shane Schurter, Senior Consultant, Hewitt EnnisKnupp

Technical vs. Fundamental Drivers of Volatility

- Gamma hedging as a driver of SPX price patterns and volatility
- Impact of market liquidity, stock correlations, and cross-asset links
- A discussion of the European debt crisis

Marko Kolanovic, Global Head of Derivatives and Delta One Research, J.P. Morgan
Pav Sethi, Chief Investment Officer, CEO, Gladius Investment Group

2:30 – 2:45

Session break

2:45 – 4:00

How to Manage Tail Risk and Add Alpha

 
- Who should hedge what types of existing risks and when?
- Where can one find value in an environment of increasing correlations between stocks and between asset classes?
- Tactics for creating alpha andmonetizing positions

Donald Dale, Managing Partner, Derivaguard Advisors LLC
Puneet Kohli, Portfolio Manager, National Bank of Canada Alternative Investments

Dispersion and Correlation Trading: What Worked, When, Why, and How?

- An overview of the forms of fixed-strike and OTC dispersion/correlation strategies
- A history of correlation trading performance, outright and benchmarked to common hedging strategies
- A survey of potential pitfalls of the strategy

Jon Loflin, Portfolio Manager, Overland Advisors
Antoine Segaud, Structuring & Strategy, Equity & Commodity Derivatives, BNP Paribas

7:30 - 8:00

Buffet Breakfast

8:00 – 9:00

Keynote Speaker: Tobias Levkovich, Chief US Strategist, Citigroup

The Delve into Twelve (and Beyond)

9:00 – 9:15

Session Break

9:15 -10:30

Cross-Asset Volatility

- Volatility as an asset class
- Volatility across highly correlated assets
- Global risk profiles

Som Dasgupta, Portfolio Manager, Linden Advisers
Pankaj Khandelwal, Senior Index Volatility Trader, Barclays Capital

Options Pricing Theory Revisited and the Impact on Long-Dated Index Options

- A re-examination of how volatility, interest rates and dividends are measured and relevance to the insurance industry
- Finding a role in option pricing for the expected rate of return on the underlying security
- Resolving the conflict that might exist between competing market forces
- The proper components of option value

Richard R. Joss, Resource Actuary (Retired), Towers Watson
Paul G. Staneski, Ph.D., Head of Derivatives Solutions & Training, Credit Suisse Securities (USA) LLC

10:15-10:30

Coffee Break

11:00- 12:15

Smart Hedging and Alpha Generation with VIX Options

- Why equity volatility is one of the most attractive hedges across asset classes
- VIX options: Among the best-performing tail hedges through the credit crisis
- Value of "hedging your hedge" when volatility is elevated






Nitin Saksena, US Equity Derivatives Research, BofA Merrill Lynch
Marc-André Soublière, CFA, VP Fixed Income and Derivatives, Air Canada Pension Investments

Panel: Long-Dated Volatility Supply and Demand Dynamics and Implications for the Insurance Industry

- Using short-dated options to manage long-dated risks
- Long-term options outside the US
- Liquidity and transparency in listed, FLEX and OTC long-term options
- A discussion of portfolio margining and collateral

Moderator: Kevin Duggan, Vice President of Equity Products, Ontario Teachers' Pension Plan

Claudio Bufi, CFA, Product Development & Management, CI Investments
Jonathan Bensimon, Head of Equities and Derivatives Trading, Société Générale
Steve Karasick, Senior Portfolio Manager, Allstate Investments, LLC
Steven Tumen, CEO, Equitec Group, LLC

12:15

End of Conference Sessions

1:00

Golf Tournament at Old Corkscrew (transportation provided)

6:30- 8:30

Closing dinner and networking at Hyatt