March 22 Panel at CBOE on Accessing the Volatility Risk Premium with Cash-Secured Put Writing – by Matt Moran

Presentations and a panel discussion on the topic of – Accessing the Volatility Risk Premium with Cash-Secured Put Writing – will occur on Tuesday March 22, 2016 from 5:00 PM to 6:45 PM at Chicago Board Options Exchange (CBOE), 400 So. La Salle St., (enter on Van Buren Street), Chicago, 60605

http://bit.ly/CAIA-March22

PANEL MEMBERS

  • Oleg Bondarenko, Professor of Finance at the University of Illinois at Chicago
  • Tripp Zimmerman, CFA, Associate Director of Research at WisdomTree Asset Management
  • Mark Sebastian, COO & Director of Education at Option Pit

Moderator:

Matt Moran, VP of Business Development at CBOE

ISSUES

Issues to be discussed include –

  • Has there been a Volatility Risk Premium that can facilitate enhanced risk-adjusted returns for index options-selling strategies?
  • Do put-selling strategies have higher left tail risk?
  • How can investors access the cash-secured put-writing strategy?
  • What about topics such as transaction costs, transparency, liquidity, and capacity of the options markets?

REGISTRATION AND FEES

The event will be hosted by CAIA Association, CBOE and PRMIA, and light refreshments will be served.

Fees are —
$10 in advance
$15 on the day of the event (if seating is available)

Space is limited so please see the link below and register by March 21.

http://bit.ly/CAIA-March22

CHART

The panel members will present numerous charts. Here is a chart by Professor Oleg Bondarenko on the topic of gross premiums generated by the CBOE S&P 500 PutWrite Index (PUT) (which sells SPX options once a week) and the CBOE S&P 500 One-Week PutWrite Index (WPUT) (which sells SPX options once a week).

Tw-07-Premiums by Oleg

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

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