33 Speakers at RMC Cover Skew, Vol of Vol, Options-Based Funds, etc.

At the 31st Annual CBOE Risk Management Conference (RMC) on March 4 – 6, 2015 in California, thirty-three expert speakers (see list below) spoke on a variety of subjects, including skew, volatility of volatility, and a new 2015 study with the first-ever list of publicly available list 119 Options-Based Funds.

Speakers noted that Extended Trading Hours – beginning at 2 am Chicago time – commenced on March 2 for VIX options, and commence on Monday, March 9 for SPX options. www.cboe.com/ETH


Below are 14 charts on some of the topics covered by the speakers.

Speakers noted that the CBOE VIX of VIX Index (VVIX) has risen in recent months.

Ch-2015-03-05-1415-VVIX  VIXCh-2015-03-06-1100-Table VIX Index & VIX futuresCh-2015-03-06-1100-VIX Index & VIX futures

VIX has been in contango for most days in each year since 2008. VIX was in backwardation about 111 days in 2008, 2 days in 2012 and 33 days in 2014.

In 2014 the average daily close for the CBOE Volatility Index (VIX) was 14.2 for the second year in a row, and the CBOE SKEW Index had its highest-ever average daily closing value of 129.8.

Ch-2015-03-06-0800-SKEW IndexCBOE now offers futures on the CBOE/CBOT Treasury Note Volatility Index (VXTYN), and I believe interest in and concerns about interest rate volatility could heat up in the next year or two.

Ch-2015-03-05-1545-VXTYN & Int Rtaes since 2003

Keith Black presented a groundbreaking new study — “Highlights of Performance Analysis of Options-Based Equity Mutual Funds, CEFs, and ETFs” authored by Keith Black and Edward Szado — that analyzed SEC-regulated investment companies that focus on use of exchange-listed options for portfolio management (options-based funds). www.cboe.com/funds.

Ch-2015-03-05-1400-Options-based Funds Number Growth




008-AnnualizedRet-BXYCh-2015-03-05-1400-RisK Return BXM BXYGROWTH IN VOLUME

SPX options, VIX futures and VIX options all had record volume years in 2014, and many speakers discussed volume and liquidity trends. Keith Black noted that the notional value of the average daily volume for SPX options was around $172 billion in 2014.

Ch-2015-03-04-1530-SPX options volume

VIX futures a d v


1 Arie Aboulafia Senior Portfolio Manager, Capstone Investment Advisors, LLC
2 Brandon Bates Portfolio Manager, BlackRock
3 Keith Black, Ph.D., CAIA, CFA Managing Director, Curriculum and Exams, Chartered Alternative Investment Analyst (CAIA) Association
4 Benjamin Bowler Co-Head of Global Equity Derivatives Research, BofA Merrill Lynch
5 David Burchmore Portfolio Manager, Ontario Teachers’ Pension Plan
6 Vijoy Paul Chattergy Chief Investment Officer, Employees’ Retirement System of the State of Hawai’i (HIERS)
7 Andrew Claeys, CFA Director of Trading, Analytic Investors
8 Dean Curnutt Chief Executive Officer, Macro Risk Advisors
9 Bruno Dupire Head of Quantitative Research, Bloomberg
10 Mike Edleson Chief Risk Officer, The University of Chicago
11 Benn Eifert, Ph.D. Portfolio Manager, Mariner Investment Group
12 Rocky Fishman CFA, Equity Derivatives Strategy, Deutsche Bank Securities Inc.
13 David Goerz Former EVP – Head of Investment Strategy & Risk Management, Alberta Investment Management Corp.
14 Jason Goldberg Portfolio Manager, PIMCO
15 Krag “Buzz” Gregory Equity Derivatives Strategist, Goldman Sachs
16 Søren Grooss Portfolio Manager, PKA
17 Samuel Kadziela Director of Education, Chicago Trading Company, LLC
18 Zachary Karabell President, River Twice Research
19 Kambiz Kazemi Portfolio Manager, Picton Mahoney Asset Management
20 Marko Kolanovic Global Head of Quantitative and Derivatives Strategy, J.P. Morgan
21 Ken Kwalik Portfolio Manager, Investment Management Division, Goldman Sachs
22 Boris Lerner Head of US Quantitative and Derivatives Strategy, Morgan Stanley
23 Berlinda Liu Director of Index Research and Design, S&P Dow Jones Indices
24 Defina Maluki Portfolio Manager, Barclays Wealth and Investment Management
25 Andy Nybo Principal, Head of Derivatives, TABB Group
26 Yoshiki Obayashi Managing Director, Applied Academics, LLC
27 Donald Pierce, CFA Chief Investment Officer, San Bernardino County Employees’ Retirement Association
28 Edward L. Provost President & Chief Operating Officer, CBOE Holdings, Inc.
29 Amna Qaiser Portfolio Manager, Goldman Sachs Asset Management
30 Olivier Sarfati Head of US Trading Strategies, Citigroup
31 William Speth Vice President, Research and Product Development, CBOE
32 Basil Williams Co-Chief Investment Officer, Mariner Investment Group
33 Mahsa Zeinali Chief Operating Officer, Rosen Capital Advisors

In addition, Edward Szado Assistant Professor of Finance, Providence College, was scheduled to deliver a presentation on a 2015 paper on Options-based Funds, but his arrival was delayed by the snowy weather in New England.


Here are links to webpages with more information –

  • More than 30 volatility indexes   www.cboe.com/volatility
  • CBOE SKEW Index   www.cboe.com/SKEW
  • Term Structure updates   www.cboe.com/VIXterm
  • White Papers on index options    www.cboe.com/benchmarks
  • CBOE Risk Management Conference (upcoming conferences are planned for Switzerland in September and Hong Kong in December) www.cboermc.com

The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

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