Volatility Products in Chicago: The First Decade

By Chicago QWAFAFEW (other events)

Wednesday, March 26 2014 5:00 PM 7:00 PM

The March Chicago QWAFAFEW meeting will survey the development and promise of volatility products on the tenth anniversary of their launch. The panelists will include volatility product creators, traders and users. The meeting will be held on Wednesday, March 26, from 5:00  to 7:00 p.m. at CBOE, 400 South LaSalle Street in Chicago.

The four panelists will be:

   • Mike Edleson, Ph.D., CFA,  Chief Risk Officer,  Office of Investments, University of Chicago,

   • Joanne Hill, Ph.D., Head of Investment Strategy, ProShare Advisors,

   • Jamie Tyrell, VIX Options Market-maker, Group One Trading, and

   • Krag "Buzz" Gregory, Ph.D., Managing Director, Goldman Sachs.

Topics to be addressed include:
   • The tenth anniversary of the launch of VIX index futures on March 26, 2003,
   • The launch of new volatility indexes and products since then,
   • Discussion of VIX contract performance in periods of market turbulence,
   • Discussion of contract design, pricing, and contango issues, and
   • Applications, including managing portfolio tail risk and enhancing risk-adjusted returns.

The moderator will be Matt Moran of CBOE.

Admission is $15 in advance (or $20 at the door) with light food and drinks provided. The doors will open at 5:00 pm., the panel discussion will commence at 5:30 pm and conclude by 7:00 pm. Students pay $10.

Purchase tickets or reserve a seat (space available) via TicketLeap:

QWAFAFEW is an informal organization for discussions of quantitative investment topics. QWAFAFEW currently has active chapters in Chicago, Boston, Hartford, New York, Denver, Princeton, and San Francisco.


Current Chicago QWAFAFEW Steering Committee members:
  • Adam Cohen, Zacks Investment Research, Inc.,
  • Barry Feldman, Russell Investments,
  • Cindy Tsai, Marco Consulting,
  • Larissa J. Miller, Stuart School of Business, Illinois Institute of Technology,
  • Matthew Moran, Chicago Board Options Exchange, and
  • Steven P. Greiner, Factset Research Systems.