2021 Conference on Derivatives and Volatility
12 - 13 November 2021 | Chicago, IL
Cboe Global Markets
433 W. Van Buren Street
Chicago, IL 60607
The conference will take place in a hybrid format with in-person sessions at Cboe Global Market's offices at 433 W. Van Buren Street, Chicago, IL 60607 and with virtual components on Zoom. Beginning September 1, 2021, Cboe Global Markets requires all visitors to be fully vaccinated against COVID-19. Upon arrival, all conference attendees will be required to provide proof of vaccination and to complete a health screening questionnaire. Those who cannot travel or cannot provide proof of vaccination may participate virtually
Financial Management Association International (FMA) is pleased to announce the 2021 Conference on Derivatives and Volatility at Cboe Global Markets. In its fifth year, the conference is smaller and more focused than the FMA’s traditional meetings and will include derivative and volatility focused papers as well as panel sessions on industry trends. 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
- Russell Rhoads, Head Research and Consulting, EQDerivatives and Clinical Associate Professor, Indiana University
Registration is now closed.
Program
Friday's sessions will take place in-person at Cboe Global Markets and live streamed on Zoom. Saturday's sessions will take place on Zoom.
Zoom links will be emailed to all conference registrants on Monday, November 8 and Wednesday, November 10. If you have not received this email, check your spam filters or email Matt Staton at [email protected].
To shorten check-in time for in-person attendees, each guest attending the conference must complete the Health Assessment form in the morning prior to entering the OPO building. The Health Assessment needs to be completed both Friday morning and Saturday morning.
- Health Assessment Link is available HERE
For guests joining on the conference in-person on Saturday, 13 November, they will need to use farthest west door on the Van Buren side of the OPO building to access the conference.
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November 12
8:45 AM - 9:30 AM
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Registration & Breakfast
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| 9:30 AM - 12:10 PM |
Session 1 (In-person with Zoom live-casting)
The Role of Leveraged ETFs and option market imbalances on end-of-day price dynamics
Heiner Beckmeyer, University of Muenster | Andrea Barbon, Swiss Institute of Banking & Finance and University of St. Gallen | Andrea Buraschi, Imperial College | Mathis Moerke, Swiss Institute of Banking & Finance and University of St. Gallen
Presenter: Heiner Beckmeyer
Discussant: Kris Jacobs, University of Houston
The lead-lag relationship between VIX futures and SPX futures
Christine Bangsgaard, Aarhus University | Thomas Kokholm,
Aarhus University and Danish Finance Institute
Presenter: Christine Bangsgaard
Discussant: Sang Seo, University of Wisconsin-Madison (Slides)
The impact of derivatives on cash markets: Evidence from the introduction
of Bitcoin futures contracts
Donghwa Shin, University of North Carolina | Patrick Augustin, McGill University | Alexey Rubtsov, Global Risk Institute
Presenter: Donghwa Shin (Slides)
Discussant: Nicola Fusari, Johns Hopkins University (Slides)
Risk Management, Agency costs, and Lending Covenants
Ilona Babenko, Arizona State University | Hendrik Bessembinder, Arizona State University | Yuri Tserlukevich, Arizona State University
Presenter: Yuri Tserlukevich
Discussant: Paul Whelan, Copenhagen Business School (Slides)
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| 12:15 PM - 1:45 PM |
Lunch and Keynote Presentation
"Option Momentum"
(Presentation Slides)
Steve Heston
Professor of Finance, University of Maryland
Steve Heston graduated with a BS double major in Mathematics and Economics from the University of Maryland, College Park in 1983. He attended the Graduate School of Industrial Administration and earned an MBA in 1985 followed by a PhD in Finance in 1990. He has held previous faculty positions at Yale, Columbia, Washington University, and the University of Auckland in New Zealand. He has worked in the private sector with Goldman Sachs in Fixed Income Arbitrage and in Asset Management Quantitative Equities. He is known
for analyzing options with stochastic volatility and international stock risk.
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| 1:45 PM - 3:45 PM |
Session 2
Option-Implied spreads and option risk premia
Christopher Culp, Johns Hopkins Institute for Applied Economics and Swiss Finance Institute | Mihir Gandhi, University of Chicago | Yoshio Nozawa, University of Toronto | Pietro Veronesi, University of Chicago, NBER, CEPR
Presenter: Pietro Veronesi
Discussant: David Bates, University of Iowa (Slides)
Stock market return predictability dormant in option panels
Yoosoon Chang, Indian University | Youngmin Choi, Baruch College,
CUNY | Soohun Kim, Korea Advanced Institute of Science and Technology |
Joon Park, Indiana University
Presenter: Youngmin Choi
Discussant: Paola Pederzoli, University of Houston (Slides)
A decomposition of conditional risk premia and implications for
representative agent models
Fousseni Chabi-Yo, University of Massachusetts – Amherst | Johnathan Loudis, University of Notre Dame
Presenter: Johnathan Loudis
Discussant: Jeroen Dalderop, University of Notre Dame
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| 3:45 PM - 4:00 PM |
Break |
| 4:00 PM - 5:20 PM |
Session 3
Betting on the likelihood of a short squeeze
Ilias Filippou, Washington University in St. Louis | Pedro A. Garcia-Ares, ITAM | Fernando Zapatero, Boston University
Presenter: Fernando Zapatero (Slides)
Discussant: Dmitriy Muravyev, Michigan State University
Retail derivatives and sentiment: A sentiment measure constructed
from issuances of retail structured equity products
Brian Henderson, George Washington University | Neil Pearson,
University of Illinois – Urbana-Champaign | Li Wang,
Case Western Reserve University
Presenter: Li Wang
Discussant: Ivan Shaliastovich, University of Wisconsin
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| 5:30 PM - 7:30 PM |
Conference Dinner and Practitioner Keynote Presentation
"Event Risk, Options, and Risk Management"
Clemens Kownatzki (Presentation Slides)
Pepperdine University
Bluford Putnam (Presentation Slides)
CME Group
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November 13
9:00 AM - 9:30 AM
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Registration & Breakfast
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| 9:30 AM - 11:30 AM |
Session 4 (All Zoom live-casting)
The components of the CDS bid-ask spreads: A reduced-form approach
Jennie Bai, Georgetown University and NBER | May Hu, RMIT University |
Xiaoxia Ye, University of Liverpool | Fan Yu, Claremont McKenna College
Presenter: Xiaoxia Ye (Slides)
Discussant: Fabrice Tourre, Copenhagen Business School
Who knows? Information differences between trader types
Albert Menkveld, Vrije Universiteit-Amsterdam | Ion Lucas Saru,
Vrije Universiteit-Amsterdam
Presenter: Ion Lucas Saru
Discussant: Markus Baldauf, UBC and Chicago Booth (Slides)
Presidential cycles and exchange rates
Hsuan Fu, Universite Laval | Pasquale Della Corte, Imperial College London and CEPR
Presenter: Hsuan Fu (Slides)
Discussant: Zhengyang Jiang, Northwestern University
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| 11:30 AM - 1:00 PM |
Lunch
Product Innovation Presentation: “Broad-based Index Derivatives: Developing Correlation and Dispersion as a Tradable Asset Class”
John Hiatt and Parth Shah, Cboe Global Markets
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| 1:00 PM - 3:00 PM |
Session 5
Forecasting realized volatility: An automatic system using many features and machine learning algorithms
Sophia Zhengzi Li, Rutgers University | Yushan Tang, Rutgers University
Presenter: Sophia Zhengzi Li
Discussant: Aurelio Vasquez, ITAM
The shape of the pricing kernel and expected option returns
Tobias Sichert, Stockholm School of Economics and
Swedish House of Finance | Christian Schlag, Goethe University – Frankfurt
Presenter: Tobias Sichert
Discussant: Fousseni Chabi-Yo, University of Massachusetts - Amherst (Slides)
Realised volatility forecasting: Machine learning via financial world embedding
Eghbal Rahimikia, University of Manchester | Stefan Zohren,
University of Oxford |Ser-Huang Poon, University of Manchester
Presenter: Eghbal Rahimikia (Slides)
Discussant: Dacheng Xiu, University of Chicago
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Paper Submission Guidelines and Best Paper Awards
Click to view the Call for Papers
The paper submission fee is $25 USD for members and $35 USD for non-members. The submission deadline is Friday, 27 August 2021.
The paper submission deadline was Friday, 27 August 2021; we are no longer able to accept submissions.
Paper Acceptance Guidelines
Acceptance letters for the 2021 Conference on Derivatives and Volatility will be sent (electronically) to each paper’s presenting author in late September 2021. The presenting author will be required to register within one (1) week to confirm his/her attendance. The conference registration fee will be waived for the paper’s presenter.
Best Paper Award
Papers accepted for presentation will be eligible for a $1,000 USD award. The award winning paper will be determined after the conclusion of the Conference. The best paper will be selected based on the quality of the research and the presentation at the conference.
Keynote Speaker
Steve Heston
Professor of Finance, University of Maryland
Steve Heston graduated with a BS double major in Mathematics and Economics from the University of Maryland, College Park in 1983. He attended the Graduate School of Industrial Administration and earned an MBA in 1985 followed by a PhD in Finance in 1990. He has held previous faculty positions at Yale, Columbia, Washington University, and the University of Auckland in New Zealand. He has worked in the private sector with Goldman Sachs in Fixed Income Arbitrage and in Asset Management Quantitative Equities. He is known for analyzing options with stochastic volatility and international stock risk.
#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).
About the Cboe Global Markets
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.
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