Accessing the Volatility Risk Premium with Cash-Secured Put Writing
Please join the CFA-SF and the CBOE for a full discussion on the topic of Accessing the Volatility Risk Premium with Cash-Secured Put Writing. As investors have struggled to cope with volatility and low interest rates, there is increased interest in tools that can be used to achieve the goals of managing portfolio risk, increasing income, and enhancing long-term risk-adjusted returns.
The following questions will be addressed:
·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?
Additional issues to be discussed include:
·A key source of return for options writers has been a persistence of "overpricing" for index options.
·Increased use of option-writing strategies by pension funds and mutual funds.
·Benefits and disadvantages of other key options strategies.
About our Speakers:
Matt Moran, JD., VP of Business Development at CBOE. Matt Moran is vice president of business development for Chicago Board Options Exchange (CBOE), where he communicates with pension funds, mutual funds, and financial advisors. He has delivered more than 200 presentations worldwide on the topics of managing volatility and adding income with option-writing strategies. Previously, he served trust counsel at Harris Bank and vice president at Chicago Mercantile Exchange. He is an associate editor of two Institutional Investor publications — The Journal of Trading and The Journal of Index Investing. Mr. Moran holds JD and MBA degrees from the University of Illinois.
Jonathan Masse, CFA founded “Masse Capital Markets Consulting”, (MC)^2, in the summer of 2015. He has consulted with three firms associated with “The 15 Most Influential Important ETFs”, and most recently collaborated with WisdomTree to bring the first ETF associated with the CBOE/S&P 500 Put-Write Index to market. Previously, Jonathan teamed with Burton Malkiel of Random Walk fame from 2007 to 2015 to develop, implement, and manage the product strategy for a suite of products outlined in his “From Wall Street to the Great Wall” book. They worked in partnership at AlphaShares (launching China Indexes sponsored by Guggenheim’s ETF family) and BaoChaun/WaveFront (creating hedge funds on EM and China). At the latter, Jonathan served as CIO, and owned the investment process of a strategy combining three uncorrelated sources of alpha: (1) Portfolio Construction, (2) Options Overlay, and (3) Event-Driven Trading – to give the strategy an IR of greater than 0.71 versus its select benchmarks of MSCI China and MSCI EM. Jonathan has been quoted in the Wall Street Journal, Bloomberg, and the InvestmentNews, and has been interviewed on CNBC World and Bloomberg TV. Previously, he served as an Institutional Portfolio Manager and Strategist for Barclays Global Investors where his team managed over $300 billion of assets. He has managed equity portfolios benchmarked to nearly all emerging markets including over $8.9 billion in Chinese equities. Prior to joining Barclays Global Investors, he was an options trader and market maker on the PSE, CBOE, and CBOT. He earned his CFA charter in 2005, has an MBA degree from the University of Santa Clara, and received a BS in Finance from Boston College.
Date, Time + Location
Thursday, April 7th
6:00 pm - 7:15 pm
San Mateo Library
55 West Third Avenue
San Mateo, 94402
After the event, join us for great pizza and drinks at Windy City Pizza & BBQ, about one half mile away from the San Mateo Library.
35 Bovet Rd, San Mateo, CA 94402
This event is free of charge
*The San Mateo Public Library facilities are being rented for this event. The viewpoints and materials presented at this event are not necessarily endorsed by the City of San Mateo Public Library