10:30 Co-Chair’s Welcome And Opening Remarks

10:45 The Past, Present And Future Of Volatility: Pricing Techniques And Hedging Strategies

• Connecting the dots: how volatility benefits or obstructs the recovery of the global markets
• Measuring and managing volatility exposures
• Mitigating risk exposure by cross asset hedging of volatility
• Constructing, implementing and profiting: the latest advances in volatility modeling and forecasting
• Predicting the future with a unique history: a new paradigm of non-historical based investing
• Correlating volatility dynamics to other financial assets

11:45 Exploring Equity Risk Factor Models

• Risk model categories
• Deriving statistical factors
• Short-term trading risk
• Testing the model & simulations
• Fat tails and extreme events – revisiting Q4 2009

Robert Kissell
Executive Director, Head of Quantitative Trading Strategy
JP Morgan

1:35 Tackling Risk Management And Regulatory Concerns

• Implementing compliance procedures and regulatory reporting
• Executing risk management strategies in a challenging environment
• Measuring and pricing the risks in option models and volatility
• Breaking down model risk, FAS 157 and the principles of reserves
• Comparing valuation and risk management models to program/algorithmic trading models

2:20 Returns, Timing And Volatility: A Relative Value Approach

• Picking the right product for a given strategy
• Learning new asset classes and new investment tools for volatility trading
• Maximizing profits using correlation and dispersion trading
• Grasping how option replication and static- dynamics replication are used
• Researching, exploiting and modeling: can your system sustain the unique market environment

3:35 How The Variables Interact With The Market: Breaking Down The Greeks

• Determining the best term structures and option strategies for you
• Modeling stochastic skew and leverage: A quantitative approach
• Arbitraging the dynamics of the implied volatility surface
• When to use volatility and higher moment bets

4:20 High Frequency Trading: Turning Up The Volume

• Missing the mark: Why latency management can make a difference in your pocket
• How to level the playing field by establishing requirements for HFTs
• Hunting for temporary inefficiencies in the market
• Effectively managing risk of flash orders whether buy or sell

5:00 Volatility Trading Summit Roundtable Idea Xchange

Discuss best practices to optimize your trading strategies and gain new perspectives on critical issues at the inaugural Volatility Trading Idea Xchange. Be sure to take advantage of the focused group discussions that offer different applications and strategies to broaden your portfolio within volatility.

Table 1: Momentum, Reversals & Optionality – Hosted by Joel Morse, Professor of Finance, University of Baltimore

Table 2: Exploring Commodity Volatility Trading – Hosted by Krzysztof Wolyniec, Managing Director Front Office Electronic Trading Group, RBS Sempra Commodities

Table 3: Next Generation Listed Volatility Products – Hosted by Paul Stephens, Director, CBOE, and Jay Caauwe, Director, CBOE

Table 4: Maintaining Daily Operations Using Market Data Management and Solutions

*For more information on Roundtable Hosts please be sure to visit www.VolatilityTradingSummit.com

6:00 Conclusion Of Day One