11:00 5:30 4:30 5:30 - An analysis of the historical performance of premium selling and tail risk strategies Chris Cole, Managing Partner, Artemis Capital Management LLC 3:15 3:30 Coffee Break Timothy Weithers, Co-Director of Education, Chicago Trading Company, LLC Conference Registration: AVIARA SALON 12:30 1:45 1:45 2:00 Session break 2:00 3:15 Fundamentals of Options and Options Strategy - Option terminology, mechanics and profit/loss diagrams of investor strategies - Option prices and market dynamics Managing Positions Pre- and Post-Trade David Mitchell, Equity Derivative Application Specialist, Bloomberg 3:30 4:45 Registration Continues 6:00 8:30 Opening Reception: Palm Courtyard (weather permitting) or AVALON Room Lower Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC VIX Paradigm & Paradox - Examining how macro trends and new supply/demand characteristics are changing the dynamics of VIX derivatives AVIARA SALON A - Review of option risk measures (the Greeks) - Pre-trade Rich/Cheap Analysis - Scenario & Horizon Analysis - Managing options positions over time (getting in, getting out, rolling up, down and out) Michael Schmanske, Founder and Portfolio Manager, Glenshaw Capital Management LLC Jim Bittman, Senior Instructor, CBOE Options Institute - Traditional and new approaches to trading volatility - Characteristics of volatility, and volatility of volatility Monday, March 4, 2013 10:00 - 10:15 1:15 1:30 1:30 - 2:45 Grand Ballroom A Grand Ballroom D Using Short Options Positions to Manage and Lower Volatility of an Equity Portfolio Alpha Opportunities in Equity Derivatives Created by Macro Uncertainty - Pros and cons of using index options versus individual equity options - Crisis fatigue and high central bank liquidity is creating attractive risk premiums to harvest in equity derivatives - Creating a portfolio of staggered and laddered option positions to mitigate pin risk and lower overall volatility - Surprisingly, there is not just one risk premium, but many that can be turned into uncorrelated alpha sources - Different types of option contacts to use and benefits of each: traditional listed, flex, OTC, weeklys - Why a market in which many find it hard to generate alpha, is benefiting the derivatives market Using technical and volatility analysis for dynamic strike and tenor selection Benjamin Bowler, Global Head of Equity Derivatives Research, BofA Merrill Lynch - Implementing options-based programs in a pension plan Michael Wexler, Founder and CEO, Maple Leaf Capital John Colville, Chief Investment Officer, City of Sacramento Scott Maidel, Senior Portfolio Manager / Trader, Equity Derivatives, Russell Investments Victor Viner, President/CIO/Co-Portfolio Manager, V2 Capital Grand Ballroom A Grand Ballroom D Left and Right Tail Risk Hedging and Carry Realized Variance Strategies and Implementation - Leveraging the main (i.e. long) portfolio as a way to mitigate the negative carry of tail hedging -Listed variance futures design and trading - Finding value across various markets (US equities, commodities, HY bonds, world equities, EM equities) -Variance strategies and relationships to volatility markets - Using leverage to offset the negative carry of tail protection across different markets -The effects of convexity and the price of convexity Robert Gingrich, Risk Analyst, Western Asset Management -Trading variance vs. volatility Aashish Vyas, President, Silk Road Asset Management John Hiatt, Director, Research and Product Development, CBOE Vishnu Kurella, Portfolo Manager, BlueMountain Capital Management Trading Innovation: A Financial Exchange for Intellectual Property Rights Gerard J. Pannekoek, President & CEO, Intellectual Property Exchange International, Inc. (IPXI) Coffee break 7:30 8:30 Buffet Breakfast: Aviara Salon Conference Registration: Grand Foyer 8:30 9:00 Keynote Speaker: William J. Brodsky, CBOE Chairman and CEO CBOE and Options Industry Update 9:00 - 10:00 Keynote Speaker: John Coates, Senior Research Fellow in Neuroscience & Finance, University of Cambridge New Research in Neuroscience & Finance; The Biology of Risk Taking 10:15 - 11:30 Moderator: Phillip Kosmala, Managing Director, Taiber Kosmala and Associates, LLC Clayton Cutler, Head of Risk Trading and Portfolio Management, The Hartford Lunch and networking 3:00 4:15 Session break 11:30 12:45 12:45 1:15 2:45 3:00 Coffee break Greg McMurran, Chief Investment Officer, Analytic Investors Keynote Panel: Trends in Institutional Options Usage David Villa, Chief Investment Officer, State of Wisconsin Investment Board What strategies are institutional investors employing and why? Nancy Davis, Director of Derivatives, AllianceBernstein Tuesday, March 5, 2013 7:15 - 8:00 Grand Ballroom A Grand Ballroom D VIX ETPs, Interrelationships between Volatility Markets and Implications for Investors and Traders Portfolio Construction: Finding Options Where You Least Expect Them - Design of first and second generation VIX strategy indexes - Portfolio exposures are not as linear as we think. Investors can achieve options-like risks and payoffs without owning any options. - Utility for longer term investors and shorter term traders - How do managers maintain a desired market exposure? - Fundamental vs. structural impacts on pricing in volatility markets - Best strategies to achieve the desired balance of risk and reward in investors portfolios - How liquidity issues matter in choosing products and strategies Zem Sternberg, Managing Partner, Lake Hill Capital Management Spencer Cross, Co-Head Index Volatility Trading, Citigroup Global Markets Sorina Zahan, Partner, Core Capital Management Frank Luo, Head of Index Research and Design, S&P Dow Jones Indices What Everyone Needs to Know About Listed Options Taxation Volatility Management of Equity-Based Insurance Guarantees - Puts, calls & their effect on dividends - Introduction to Equity Based Insurance Guarantees - Differing taxation of index and ETF options - New product designs including volatility control products, low volatility by stock selection and VIX-linked structures - Replicating structured notes with listed options - Volatility profile of equity based insurance guarantees, with and without new designs - Using portfolio margining to increase liquidity from concentrated stock positions - How insurance companies manage risks Michael Leon, Senior Vice President, Northern Trust Michael Lynch, Vice President, Twenty- First Securities Corporation Mark Hadley, Vice President, Financial Engineering, Numerix William Paul, Tax Partner, Covington & Burling LLP Stephen Stone, Senior Vice President, AIG Life and Retirement 12:15 7:00 - 9:00 The Hundred Year StormFive Times in 20 Years? - Looking Back and Looking Forward on Financial Market Shocks End of Conference Sessions Buffet Breakfast: Aviara Salon Keynote Speaker: Dean Curnutt, CEO, Macro Risk Advisors 1:00 Golf Tournament: Aviara Golf Club Buffet dinner and networking: Avalon Terrace (casual dress, outdoors) 9:00 9:15 Session Break 9:15 -10:30 10:30-11:00 8:00 9:00 11:00- 12:15 Coffee Break