2022 Conference on Derivatives and Volatility

11 - 12 November 2022 | Chicago, IL

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

Financial Management Association International (FMA) is pleased to announce the 2022 Conference on Derivatives and Volatility at Cboe Global Markets in Chicago, ILIn its sixth 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. 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. 

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

Conference registration is now closed.


Click here to view the PDF program

Friday, 11 November

9:00 AM - 9:45 AM

9:45 AM - 11:45 AM
Session 1 - Pricing Kernel

Volatility and the Pricing Kernel 
David Schreindorfer (Arizona State University), Tobias Sichert (Stockholm School of Economics)
Presenter: David Schreindorfer
Discussant: Mete Kilic (University of Southern California)

Exploring Risk Premia, Pricing Kernels, and No-Arbitrage Restrictions in Option Pricing Models 
Steven Heston (University of Maryland), Kris Jacobs (University of Houston), Hyung Joo Kim (University of Houston)
Presenter: Steven Heston
Discussant: Jeroen Dalderop (University of Notre Dame)

Uncertainty, Risk, and Capital Growth 
Gill Segal (University of North Carolina), Ivan Shaliastovich (University of Wisconsin)
Gill Segal
Francois Gourio (Chicago Federal Reserve)

11:45 AM - 1:45 PM
Lunch and Keynote Presentation

David S. Bates
C. Woody Thompson Professor of Finance, University of Iowa 

David S. Bates is the C. Woody Thompson Professor of Finance at the Tippie College of Business of the University of Iowa.  He builds, estimates, and tests option pricing models that include jump risks and stochastic volatility, with applications to currency and stock index options.  His early research stressed the importance of including asymmetric jumps to capture the risk-neutral skewness implicit in currency and stock index option prices, including in index options prior to the 1987 stock market crash (J.Finance, 1991).  Later research included testing whether models are consistent with how option prices evolve (including finding early evidence of volatility jumps) and the degree of consistency with the observed evolution of exchange rates and the stock market.  He expanded the Fourier inversion approach of Heston (RFS, 1993) to include affine processes with constant-intensity and stochastic-intensity price jumps.  His more recent research has focused on using Fourier inversion for time series analysis, including estimation of latent state variables such as stochastic volatility and jump intensities.  His 2019 J.Finance paper examines how stock market crashes develop intradaily, and finds self-exciting volatility spikes.  He is currently exploring models of longer-term stock market risk. 

1:45 PM - 3:45 PM
Session 2 - Retail Traders and Order Flow

Retail Option Traders and the Implied Volatility Surface
Gregory Eaton (Oklahoma State University), T. Clifton Green (Emory University), Brian Roseman (Oklahoma State University), Yanbin Wu (University of Florida)
Presenter: Gregory Eaton
Discussant: Christian Dorion (HEC Montreal)

Payment for Order Flow and Asset Choice 
Thomas Ernst (University of Maryland), Chester Spatt (Carnegie Mellon University)
Presenter: Thomas Ernst
Discussant: Saad Ali Khan (HEC Montreal)

Factor and stock-specific disagreement and trading flows 
Fotis Grigoris (Indiana University), Christian Heyerdahl-Larsen (Indiana University), Preetesh Kantak (Indiana University)
Preetesh Kantak
Vincent Bogousslavsky (Boston College)

3:45 PM - 4:30 PM
Coffee Break

4:30 PM - 5:50 PM
Session 3 - Informational Content of Option Prices

Pricing Event Risk: Evidence from Concave Implied Volatility Curves
Lykourgos Alexiou (University of Liverpool Management School), Amit Goyal (University of Lausanne), Alexandros Kostakis (University of Liverpool Management School), Leonidas Rompolis (Athens University of Economics and Business)
Presenter: Amit Goyal
Discussant: Paola Pederzoli (University of Houston)

How Common is Insider Trading?  Evidence from the Options Market 
Oleg Bondarenko (University of Illinois at Chicago), Dmitriy Muravyev (Michigan State University)
Oleg Bondarenko
Clifton Green (Emory University)

5:50 PM
Dinner and Practitioner Keynote Presentation

Vance Harwood
Six Figure Investing

After graduating from the University of Colorado with a BS in Electrical Engineering, Vance embarked on a 35-year career working for Hewlett Packard and other high-tech companies in technical and managerial roles in R&D, Marketing, and Finance. His career in high-tech included two international assignments, 5 patents, and managing engineering teams in Colorado, California, Germany, and Shanghai. Vance changed careers in 2011, developing a financial blogging/consulting business. His blog, Six Figure Investing has logged over 5 million page views, and he has been quoted in Barron’s, Reuters, and the Wall Street Journal. Vance blogs and tweets @6_figure_invest, on investor psychology, Exchange Traded Funds (ETF), volatility topics such as the VIX® index, and volatility ETFs with VIX® futures as their underlying securities. Vance is on the advisory board and is a Senior Consultant for Invest in Vol. Vance and his wife Heidi live in Erie, CO.

Saturday, 12 November

9:15 AM - 9:45 AM

9:45 AM - 11:45 AM
Session 4 - Option Returns

Common Factors in Equity Option Returns 
Alex Horenstein (University of Miami), Aurelio Vasquez (ITAM), Xiao Xiao (University of London)
Presenter: Alex Horenstein
Discussant: Piotr Orlowsky (HEC Montreal)

Risk Preferences Implied by Synthetic Options
Ian Dew-Becker (Northwestern University), Stefano Giglio (Yale University)
Presenter: Ian Dew-Becker
Discussant: Bjorn Eraker (University of Wisconsin - Madison)

Why Does Options Market Information Predict Stock Returns? 
Dmitriy Muravyev (Michigan State University), Neil Pearson (University of Illinois, Urbana-Champaign), Joshua Pollet (University of Illinois, Urbana-Champaign)
Neil Pearson (University of Illinois, Urbana-Champaign)
Sang Seo (University of Wisconsin - Madison)

11:45 AM - 1:40 PM
Lunch & Cboe Product Innovation Team Presentation

1:40 PM - 3:00 PM
Session 5 - Jumps and Volatility

Jumps, Leverage and Risk Premiums 
Tim Bollerslev (Duke University), Viktor Todorov (Northwestern University)
Presenter: Viktor Todorov
Discussant: Ilze Kalnina (North Carolina State University)

The Information Content of The Implied Volatility Surface: How to More Efficiently Use Option Information to Predict Stock Returns? 
Yufeng Han (University of North Carolina - Charlotte), Fang Liu (Cornell University), Xiaoxiao Tang (University of Texas - Dallas)
Yufeng Han
Dmitriy Muravyev (Michigan State University)


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.

#FMAatCBOE - Follow the Conversation

During the conference, use the hashtag #FMAatCBOE to follow the conversation on Twitter (@finmgmtassoc) and Facebook

Paper Submission Guidelines

Click to view the Call for Papers

The paper submission fee is $25 USD for members and $35 USD for non-members. 

The deadline to submit a paper was Friday, 15 July 2022. We are unable to accept additional submissions.

Paper Acceptance Guidelines

Acceptance letters for the 2022 Conference on Derivatives and Volatility will be sent (electronically) to each paper’s presenting author at the end of August. 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.

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.