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THE 6TH ANNUAL

CBOE Risk Management Conference EuropeThe Grove Hotel, Chandler’s Cross - Hertfordshire, UK

11 - 13 September, 2017

1CBOE Risk Management Conference EURO 2017

Monday, 11 September

11:00 – 5:30 pm Conference Registration AMBER SUITES RECEPTION

12:30 – 1:45 pm New Developments in Options and Volatility-Based Benchmarks and Volatility Indicators

• Research on BuyWrite and PutWrite benchmark indexes that use S&P 500 or Russell 2000 options

• Design and utility of indicators that measure volatility, skew and implied correlation

• Using benchmarks and indicators as trading signals in systematic investment strategies

• Practical considerations of implementing options-based strategy benchmarks in ETPs and Mutual Funds

Tim Edwards, Ph. D., Senior Director of Index Investment Strategy, S&P Dow Jones Indices

William Speth VP, Research and Product Development, CBOE

1:45 – 2:00 pm Session Break

2:00 – 3:15 pm Timing Considerations for Short Volatility Strategies

• Timing & frequency of trading options and delta hedges

• Equity volatility risk premia strategies across regions

• Passive vs. active approaches

• Managing drawdowns in market stress

Luke Browne Head of Investment Specialists, UBS Investment Solutions

Natasha Jhunjhunwala Executive Director, Equity Derivatives Structuring, Goldman Sachs

3:15 – 3:30 pm Coffee Break

CONFERENCE AGENDA

2 CBOE Risk Management Conference EURO 2017

3:30 – 4:45 pm Implementing Volatility Strategies within Institutional Portfolios

• Why are fund sponsors considering allocations to volatility based strategy?

• Adiscussiononthetopicofwhereanallocationtovolatility‘fits’inaportfolio

• Volatility implementation choices: funded versus unfunded; leveraged versus unleveraged; separate account versus commingled vehicle; active versus passive

• Getting‘buy-in’onavolatilityallocationfromkeydecisionmakers

Moderator/Presenter Jack Hansen ChiefInvestmentOfficer,Parametric-MinneapolisInvestmentCenter

Panelists Mohamed Ellouze Senior Multi-Asset Strategist, Universities Superannuation Scheme (USS)

Dr. Christoph Gort

Partner, SIGLO Capital Advisors

Carl Lindberg Portfolio Manager, Second Swedish National Pension Fund (AP2)

6:00 - 8:30 pm Opening Reception: Cocktails and Dinner CEDAR BALLROOM

Tuesday, 12 September - ALL SESSIONS ARE IN THE AMBER SUITES

7:30 – 8:30 am Buffet Breakfast - (Breakfast at The Grove is included in the Group Room Rate. Join us in the Glass House restaurant) THE GROVE

Conference Registration

8:30 – 9:00 am Chris Concannon, President & Chief Operating Officer, CBOE Holdings, Inc.Welcome and CBOE Update

9:00 - 10:00 am Keynote Speaker: Zanny Minton Beddoes, Editor-in-chief of The Economist What’sNext?MakingSenseofaGlobalEconomy

10:00 - 10:30 am Coffee Break

3CBOE Risk Management Conference EURO 2017

10:30 - 11:30 am The Current Volatility Environment: Impact of Fundamentals and Flows

• Fundamental drivers of the current low volatility regime

• Are volatility selling strategies suppressing volatility?

• ChangingVIXETPflowsandtheirimpactonthederivativesmarkets

• How low can the VIX go?

Maneesh Deshpande Managing Director and Global Head of Equity Derivatives Strategy, Barclays

11:30 – 1:00 pm Lunch and Networking THE WALLED GARDEN (OUTDOORS, WEATHER PERMITTING)

1:00 - 2:00 pm Volatility: Harvest Premia or Hedge Risk? Moderator Abhinandan Deb Managing Director, Head of Quantitative Investment Strategies & EMEA Equity Derivatives Research, Bank of America Merrill Lynch

Panelists Roni Israelov, Ph.D. Portfolio Manager, AQR Capital Management

Neale Jackson

Portfolio Manager, 36 South Capital Advisors

2:00 - 2:15 pm Session Break

2:15 - 3:30 pm TRACK A / AMBER SUITE 2 TRACK B / AMBER SUITE 5

How to Hedge Cross-Asset Portfolios with Risk Transfer

• How the hedging needs from differing investor types such as pensions, insurance companies and asset managers drive the supply & demand of equity/rates correlation and create opportunities

• How equity/FX correlation distortions can be used to insulate portfolios against political risks

• Discover alternative risk transfer opportunitiesinfixedincome

Kokou Agbo-Bloua Managing Director, Global Head of Flow Strategy & Solutions, Société Générale

Natasha Sibley Portfolio Manager, Henderson Global Investors

Panel on Market Structure for Equity, Equity-Related Options and Volatility Products, and FX Moderator Philip Stafford Editor of FT Trading Room, Financial Times

Panelists Bryan Christian Head of U.S. Sales, Bats Global Markets, a CBOE Company

Eric Frait VP, Business Analysis, CBOE/CFE

Mark Hemsley President, Bats Europe, a CBOE Company

Paul Millward Head of FX Product Strategy, Hotspot, a CBOE Company

4 CBOE Risk Management Conference EURO 2017

3:30 - 3:45 pm Coffee Break

3:45 - 5:00 pm TRACK A / AMBER SUITE 2 TRACK B / AMBER SUITE 5

Designer Dispersion – Identifying Optimised Risk Premium

• Dispersion trades for extracting risk adjusted value, distinct from and competitive with index volatility risk premium

• Performance drivers of dispersion under volatility regimes

• Designer dispersion, using optimized ‘statistical’and‘thematic’approaches

• Views on systematic/quant approaches vs more fundamental/tactical approaches

Riddhi Prasad Equity Derivatives Strategist, Deutsche Bank London

Arne Staal Head of Multi-Asset Quantitative Strategies, Global Absolute Return Strategies, Standard Life Investments

The Evolving Dynamics of VIX FuturesUnderstanding the dynamics of VIX futures and their correlations with VIX and SPX

• Understanding the dynamics of VIX futures and their correlations with VIX and SPX

• How have dynamics changed over the past few years given changes in supply and demand in volatility?

• Impacts on systematic alpha and hedging strategies

Alex Orus Founder and Partner, Principalium Capital AG

Erkki Silde , Ph. D. Quantitative Portfolio Manager, Independent View B.V.

Wednesday, 13 September

7:15 - 8:00 am Breakfast - (Breakfast at The Grove is included in the Group Room Rate. Join us in the Glass House restaurant) THE GROVE

8:00 – 9:00 am Panel on Long and Relative Value Volatility Trading and Tail Risk

Moderator Paul Leech Managing Director, Equity Derivatives Trading, JP Morgan

Panelists David Dredge CIO, Convex Strategies, City Financial Investment Company Pte Ltd

Oleg Lugovkin Portfolio Manager, Argentière Capital AG

Chris Rodarte Portfolio Manager, Pine River Capital Management

Angel Serrat Partner & Chief Strategist, Capula Investment Management

5CBOE Risk Management Conference EURO 2017

9:00 – 9:15 am Session Break

9:15 - 10:30 am TRACK A / AMBER SUITE 2 TRACK B / AMBER SUITE 5

Design and Trading of U.S. and European Volatility-Related ETPs

• Global volatility ETP landscape

• A framework for thinking about price evolution and relative value within volatility ETPs

• Volatility ETP design and potential historical implications

• Practical implementations for the future

Nick Cherney, CFA Senior Vice President, Head of Exchange Traded Products, Janus Henderson Investors

Pete Clarke Global Head of Equity Derivatives Strategy, UBS

Panel on Sourcing Liquidity in Index Option Markets

Moderator/Presenter Henry Schwartz President, Trade Alert, LLC

Panelists Kristin Boyd Director, Credit Suisse

William J. Ellington Managing Partner, X-Change Financial Access LLC

Stacey Gilbert Head of Derivatives Strategy Susquehanna

Sander van Zelm Head of Institutional Trading, Optiver

10:30 - 11:00 am Coffee Break

11:00 - 12:15 pm Sell Low, Buy Lower? Volatility Premia Harvesting in Low Volatility Regimes

• Trade-offs of making vol risk premium strategies smarter

• Sizing, mean reversion and more

• How long in the tooth is this regime?

Abhinandan Deb Managing Director, Head of Quantitative Investment Strategies & EMEA Equity Derivatives Research, Bank of America Merrill Lynch

Nils Lodberg Head of Equities, SEB Pension

12:15 pm End of Conference Sessions

1:00 pm Golf Tournament THE GROVE (Pre-registration is required)

7:00 - 9:00 pm Buffet Dinner THE POTTING SHED

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