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2025 Conference on Derivatives & Volatility

2025 Conference on Derivatives and Volatility

14 & 15 November 2025 | Chicago, IL 

Cboe Global Markets 
433 W. Van Buren Street
Chicago, IL 60607

Financial Management Association International (FMA) is pleased to announce the 2025 Conference on Derivatives and Volatility at Cboe Global Markets in Chicago, IL. In its ninth year, the conference is smaller and more focused than the FMA’s traditional meetings and will include research presentations, academic and practitioner keynotes, and a presentation on product innovations and industry trends. 

The conference will take place in-person at Cboe Global Market's offices at 433 W. Van Buren Street, Chicago, IL 60607. 

In addition to benefiting from the presentations of high-quality research and expert presentations, conference participants have the opportunity to enjoy a weekend in windy city  – and explore everything the city has to offer – from entertainment on Navy Pier to historic Grant Park – to name a few attractions the city has to offer.

Program Co-Chairs

Torben G. Andersen, Nathan S. and Mary P. Sharp Professor of Finance
Northwestern University

Bjorn Eraker, Professor of Finance and Bill Nygren Chair in Investments
University of Wisconsin-Madison

  

Conference Registration and Program

Conference registration is now open! The registration fee is $95 and includes the conference program, Friday luncheon and dinner and Saturday luncheon. 

Click here to register!

Online registration is no longer available.  Please contact FMA here to register for the Conference.

Conference Program

Friday, 14 November

 

9:00am-10:20am

Institutional Option Market Features: Roll-Over & Strike Introductions

Option returns: A tale of the expiration rollover day
Presenter: Pedro A. Garcia-Ares, ITAM
Discussant: Vincent Bogousslavsky, Boston College

The Information in Option Strike Price Introductions
Presenter: Hojoon Lee, Boston College
Discussant: Paola Pederzoli, University of Houston
10:20am-10:30am Break
10:30am-11:50am Variance Swaps & Skewness/Variance Expectations

What Drives Variance Swap Prices?
Presenter: Joren Koëter, Erasmus University
Discussant: Kris Jacobs, University of Houston 

Subjective Expectations for Variance and Skewness: Evidence from Analyst Forecasts
Presenter: Shuaiqi Li, City University of Hong Kong
Discussant: Steve Heston, University of Maryland
11:50am-1:00pm Lunch & Keynote Address by Rama Cont, University of Oxford

Modeling options markets with Generative AI: Scenario simulation and risk management
1:00pm-2:20pm

Rebalancing of Delta-Hedges & India Retail

Asset Pricing Results in Options Markets: True, Spurious, or Overlooked?
Presenter: Matthias Molnar, Karlsruhe Institute of Technology
Discussant: Jefferson Duarte, Rice University

Animal Spirits on Steroids: Evidence from Retail Options Trading in India
Presenter: Haibei Zhao, Lehigh University
Discussant: Davide Tomio, Texas A&M University
2:20pm-2:40pm Break
2:40pm-3:30pm

Cboe Product Presentation

What's Cooking at Cboe Labs?

Florian Huchedé, Senior Product Manager, Cboe Labs
3:30pm-5:30pm

ODTE & Functional Estimation & FX Invariance

0DTE Asset Pricing
Presenter: Caio Almeida, Princeton University 
Discussant: Piotr Orłowski, HEC Montréal

Functional Estimation of Option Pricing Models
Presenter: Evgenii Vladimirov, Erasmus University
Discussant: Nicola Fusari, Johns Hopkins University 

FX Futures Invariance
Presenter: Oleg Bondarenko, University of Illinois Chicago
Discussant: Tugkan Tuzun, Federal Reserve Board
5:30pm-8:30pm

Dinner & Industry Panel

Equity Option Market Change Perspectives 

Panelists:

Peng Cheng is a portfolio manager at Alphadyne Asset Management, a hedge fund headquartered in New York, where he is responsible for developing systematic trading strategies across asset classes. Prior to joining Alphadyne in 2024, Peng was a managing director at JPMorgan, and led Quantitative and Derivatives Research efforts in New York and London. Previously, he was a Convertible and Volatility strategist at Lehman Brothers/Barclays. He holds a Master's degree from the University of California, Berkeley and is a CFA charter holder.

Don Dale recently joined BlackRock within the SpiderRock Advisors team as a Director and Portfolio Manager. With a wealth of experience as a senior industry practitioner, Don has led several derivatives groups across major American, European, and Asian investment banks and entities including BNP and Nomura, as well as having been trained at Susquehanna Investment Group. His primary focus lately has been on risk mitigation for tactical and offensively deployed solutions that can be actively monetized during periods of market and portfolio stress. Don has also been instrumental in developing innovative strategies that enhance portfolio resilience and deliver consistent returns for clients.

Craig Iseli is co-founder and Chief Operating Officer of SpiderRock Holdings, LLC where he leads operational strategy, and new business development including SpiderRock’s data/analytics business. With more than two decades of experience spanning proprietary trading, technology platforms and institutional markets, Craig has helped guide SpiderRock’s shift from trading firm to a leading full-service analytics and execution provider. Craig holds a bachelor’s degree in chemical engineering, an MBA from the University of Chicago Booth School of Business with concentration in finance and is a recent graduate of Harvard’s Business Analytics Program.

Euan Sinclair is an option trader with 30 years of professional trading experience. He currently manages the volatility exposures of the HTUS ETF at Hull Tactical Asset Allocation. He holds a PhD in theoretical physics from the University of Bristol and has written four books, "Volatility Trading”, “Option Trading", “Positional Option Trading” and “Retail Option Trading”. He is a member of the editorial board of the Journal of Investment Strategies, a publication of Risk Journals and has written several papers on options, volatility and bet sizing.

   


Saturday, 15 November

9:10am-10:30am

History & Lottery

Rediscovering Conditional Entry: Profitability, Pricing and Market Function in 1920s Wheat Futures and Options
Co-presenters: John Berdell, DePaul University & Jin Choi, DePaul University
Discussant: Scott Mixon

In the Money? Option Betting Beyond Lottery Payoffs
Presenter: Edna Lopez Avila, Western University
Discussant: Marc Lipson, University of Virginia
10:30am-10:40am Break
10:40am-12:00pm

Intermediary Option Pricing & Market Makers

Intermediary Option Pricing
Presenter: Julian Terstegge, University of Michigan
Discussant: William Diamond, University of Wisconsin-Madison

Options Market Makers
Presenter: Dmitriy Muravyev, University of Illinois Urbana-Champaign
Discussant: Marcelo Fernandes, Fundação Getulio Vargas
12:00pm-1:00pm Lunch & Spiderrock Data Presentation
1:00pm-3:00pm

Opioids & Covid & Optionality

Opioid Crisis and Firm Downside Risks: Evidence from the Options Market
Presenter: Amit Goyal, University of Lausanne
Discussant: Mathias Kruttli, Indiana University

Lockdowns and Leverage:  Option Pricing during the Covid Pandemic
Presenter: Junbo Wang, Louisiana State University
Discussant: Aurelio Vasquez, ITAM

Separate Risk from Optionality
Presenter: Liuren Wu, Baruch College
Discussant: Federico Bandi, Johns Hopkins University

 

Keynote Speaker Rama Cont

University of Oxford 

Modeling options markets with Generative AI: scenario simulation and risk management

Rama Cont is Professor of Mathematical Finance and Head of the Mathematical and Computational Finance Group at the Oxford Mathematical Institute and a Fellow of St Hugh’s College.

His research in finance has focused on the quantitative modeling of financial instability and extreme market risks: discontinuities in market behavior, liquidity risk, endogenous risk, stress testing and systemic risk.

Professor Cont has extensive experience in the stress testing of large financial institutions and market infrastructures, in particular central counterparties (CCPs), and has participated as an expert in many stress testing exercises across Europe, Asia, the US and Latin America. He has served as a consultant to the Basel Committee on Banking reform, the European Central Bank, the New York Federal Reserve, the US Commodity Futures Commission (CFTC), the US Office of Financial Research, the International Monetary Fund (IMF), DTCC, LCH, B3 (the Brazilian securities clearinghouse), the Chicago Merchantile Exchange (CME) and the Hong Kong Exchange, on matters related to stress testing and the design of margin and risk management systems. He currently serves as Scientific counselor to the Financial Stability Division of Norges Bank, the central bank of Norway. 

He was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010 for his research on mathematical modeling in finance and the Royal Society Award for Excellence in Interdisciplinary Research in 2017 for his research on systemic risk.

Paper Submissions

The submission deadline was Friday, 20 June 2025. We are no longer accepting submissions. Decision letters were sent on 11 September 2025. If you have not received your letter, please contact FMA here.

Click here for the Call for Papers.

The editors of Financial Management (FM), the flagship journal of FMA International, will be apprised by the conference program committee of papers that the committee assesses to be of particularly high-quality.  In select cases, the editors will “lightly solicit” papers for submission to FM by offering fast-turnaround, high-quality reviews, waived initial submission fees, and enhanced marketing of papers that are eventually accepted through this submission route. Referees for “lightly-solicited” papers will be made aware that the paper was invited for submission by the editors.  While these invitations do not promise eventual publication of papers in FM, the invitations are only offered to a small number of papers each year that the respective FMA conference program committees identify as likeliest to clear the bar for publication in FM without major revisions.  

Conference Hotels

Holiday Inn & Suites

506 West Harrison Street, Chicago, IL 60607 (2-minute walk to Cboe Global Markets)

Rooms available from $151 (before taxes)

Click here for reservations

Hampton Inn & Suites - Chicago Downtown

33 W Illinois, Chicago, IL 60654 (10-minute cab/Uber)

Rooms available from $214 (before taxes)

Click here for reservations

JW Marriott Chicago

151 W Adams St, Chicago, IL 60603 (15-minute walk to Cboe Global Markets)

Room Rate: $239 (before taxes)

Click here for reservations

Presenting Partner/Conference Sponsor

Cboe Global Markets

CBOE

 
Cboe Global Markets is one of the world's largest exchange holding companies, offering cutting-edge trading and investment solutions to investors around the world. Cboe offers trading across a diverse range of products in multiple asset classes and geographies, including options, futures, U.S. and European equities, exchange-traded products (ETPs), global foreign exchange (FX), and multi-asset volatility products. Our trading venues include the largest options exchange in the U.S. and the largest stock exchange by value traded in Europe. In addition, the company is the second-largest stock exchange operator in the U.S. and a leading market globally for ETP trading.
 
Cboe is home to the Cboe Volatility Index (VIX Index), the world's barometer for equity market volatility; the Cboe ETF Marketplace, the fastest growing listing venue for issuers; Cboe BXTR, the largest trade reporting facility in Europe; Cboe Livevol, a leading provider of options technology, trading analytics and market data services; Cboe Vest, an asset management company specializing in target-outcome investment strategies; Cboe Risk Management Conferences (RMC), the premier financial industry forums on derivatives and volatility products; the Cboe Options Institute, the company's world-renowned education arm; and ETF.com, a leading provider of ETF news, data and analysis.

 

Sponsor

SpiderRock is a technology provider that creates and deploys some of the most innovative algorithmic execution and risk management solutions commercially available to service large hedge funds, bank trading desks and proprietary trading firms around the world. The platform is a high-performance, cloud-based trading system empowering institutional clients with tools to construct, manage, and scale equity, futures and option strategies.

SpiderRock is also a market data vendor specializing in low latency data and analytics services. In addition, we offer electronic execution and market access services via SpiderRock EXS, an agency broker dealer regulated by FINRA and NFA.

#FMAatCBOE - Follow the Conversation

During the conference, use the hashtag #FMAatCBOE to follow the conversation on Twitter (@finmgmtassoc) and Facebook  (www.facebook.com/FMA.org).