Accessing the Volatility Risk Premium with Cash-Secured Put Writing

Please join the CAIA Association, CBOE and PRMIA for light refreshments, presentations and a panel discussion on the topic of Accessing the Volatility Risk Premium with Cash-Secured Put Writing.

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?

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, LLC

Moderator:

Matt Moran, JD., VP of Business Development at CBOE

Fees:

$10 in advance

$15 on the day of the event

Space is limited so please register by March 21.

Speaker Bios:

Oleg Bondarenko is Professor of Finance at the University of Illinois at Chicago. Here are four of his many papers - (1) “A General Framework for the Derivation of Asset Price Bounds: An Application to Stochastic Volatility Option Model,” with I. Longarela, 2009, Review of Derivatives Research, Vol. 12, p. 81; (2) “Construction and Interpretation of Model - Free Implied Volatility” with T. Andersen, 2007, in Volatility as an Asset Class , (London: Risk Books), ed. by I. Nelken, p. 141; (3) “The Performance of Option Market and Time Series Forecasts of Return Volatility,” with T. Andersen, 2010, working paper; (4) “Why are Put Options So Expensive?” 2003, working paper; presented at AFA 2004. His education: Ph.D. Social Sciences at California Institute of Technology; MS Banking and Finance at International University in Moscow; MS Applied Mathematics and Computational Methods; and BS Applied Mathematics at Moscow Institute of Physics and Technology.

Tripp Zimmerman began at WisdomTree as a Research Analyst in February 2013. Now, as an Associate Director of Research, he leads the Firm’s data analytics group, responsible for index creation, maintenance and reconstitution. Tripp travels domestically and internationally to speak about WisdomTree index capabilities and meets with clients across various sales channels. He is also involved in creating and communicating WisdomTree’s thoughts on the markets. Prior to joining WisdomTree, Tripp worked in various investment-related roles for TD Ameritrade, Wells Fargo Advisors, TIAA-CREF and Evergreen Investments. Tripp graduated from The University of North Carolina at Chapel Hill with dual degrees in Economics and Philosophy. Tripp is a holder of the Chartered Financial Analyst designation.

Mark Sebastian is COO & Director of Education at Option Pit, LLC, and he is a former member of both the Chicago Board Options Exchange and the American Stock Exchange. Along with founding Option Pit, Mark is the Chief Investment Officer of Karman Line Capital.  He is the author of the popular trading manual "The Option Traders Hedge Fund."  He is a  frequent guest on CNBC, Fox Business News, Bloomberg, BNN,  Sky News and hosts the show Track the Trade on CBOETV.  Sebastian has been published nationally on Yahoo Finance, quoted in the Wall Street Journal, The Economist, Reuters, and Bloomberg and is a senior derivatives writer for The Street’s Real Money Pro.  Mark has spoken for The Options Industry Council, the CBOE, the ISE, The CME, and is a co-host on the popular Option Block Podcast and Volatility Views podcast. Mark has a Bachelor’s in Science from Villanova University.

Matt Moran is vice president of business development for the Chicago Board Options Exchange (CBOE), where he is responsible for many of the exchange's business development efforts for pension funds, mutual funds, and other institutional investors. Previously, he was trust counsel at Harris Bank and vice president at Chicago Mercantile Exchange. He is an associate editor of The Journal of Trading and The Journal of Index Investing, and is on the advisory board of the Journal of Indexes. Mr. Moran holds JD and MBA degrees from the University of Illinois at Urbana-Champaign.