Cboe Announces Winners Of The Options Institute S&P Dow Jones Indices Dispersion Research Grant

• Grants awarded to Dr. Lorenzo Schoenleber, Assistant Professor in Finance at the Collegio Carlo Alberto and the University of Turin, and Dr. Grigory Vilkov, Professor of Finance at Frankfurt School of Finance and Management
• Sponsored by S&P Dow Jones Indices, the grant will fund research to explore dispersion as an asset class
• Research expected to complement planned launch of the Cboe S&P 500 Dispersion Index

Cboe Global Markets, Inc. (Cboe: CBOE), the world's leading derivatives and securities exchange network, today announced  Dr. Lorenzo Schoenleber, Assistant Professor in Finance at the Collegio Carlo Alberto and the University of Turin, and Dr. Grigory Vilkov, Professor of Finance at Frankfurt School of Finance and Management, as the winners of the Options Institute S&P Dow Jones Indices (S&P DJI) Dispersion Research Grant, which is focused on exploring dispersion as an asset class.

The Options Institute Research Grant Program aims to support research that helps catalyze the advancement of derivatives usage and financial exchange marketplace structures. The program, which welcomed its first class of research grant recipients this year, is part of Cboe's goal to operate an inclusive global marketplace that helps all market participants better understand financial products, market data and trading strategies.

As the winners of this grant, sponsored by S&P DJI, Dr. Schoenleber and Dr. Vilkov will study the economics behind option-implied factor dispersion. Specifically, this research will investigate how dispersion differentiates from variables like the Cboe Volatility (VIX) Index, the variance risk premium which are typically considered fear and tail risk proxies, and option-implied correlations which measure the average diversification benefits in the market. The study will ultimately seek to connect dispersion measures to macroeconomic risk, financial risk, return predictability, and the cross-section of stock returns. In support of this objective, Dr. Schoenleber and Dr. Vilkov may claim Cboe data sets valued up to $35,000 as the grant recipients1.

Dr. Schoenleber is an Assistant Professor in Finance at the Collegio Carlo Alberto and the University of Turin. His primary research interest is asset pricing, particularly within the areas of option-implied information, asset management and decentralized finance. He obtained his Ph.D. in Finance at the Frankfurt School of Finance and Management in 2020 and earned his B.Sc. and M.Sc. at the University of Mannheim, where he studied Business Mathematics. Outside of academia, he has done consulting work for fintechs, asset managers and hedge funds around the world.

Dr. Vilkov is Professor of Finance at Frankfurt School of Finance and Management. He earned an MBA from the University of Rochester, M.Sc. and Ph.D. in Management from INSEAD, and then habilitation from Goethe University Frankfurt. Previously, he was an assistant professor at Goethe University and visiting professor at the University of Mannheim. His areas of interest include the use of derivative instruments and option-implied information in asset pricing and portfolio management and general equilibrium modeling with frictions. Dr. Vilkov's work has been published in top finance and economics journals such as the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, and Journal of Monetary Economics.

"With the increased volatility in today's markets, the research by Dr. Schoenleber and Dr. Vilkov will aim to provide investors with valuable insight on tactical, strategic asset allocation and dynamic risk management," said Gina DeRaimo, Head of The Options Institute at Cboe. "Academic research is crucial to ideas and innovation that may lead to new investment and risk management opportunities for market participants, and we couldn't be more excited to work with S&P Dow Jones Indices to drive greater investor education around the strategies and factors influencing the options market."

"S&P Dow Jones Indices is pleased to collaborate with The Options Institute at Cboe to help support academic research that deepens market participants knowledge and understanding of dispersion trends, utilizing data from the world's most historic, liquid and widely referenced U.S. large-cap equity benchmark," said Tim Brennan, Managing Director and Head of Capital Markets at S&P Dow Jones Indices. "This research, in tandem with the development of the Cboe S&P 500 Dispersion Index, will help advance further innovations in the capital markets and drive the next generation of sophisticated risk management tools."

Significantly, this research is expected to complement the planned launch of the Cboe S&P 500 Dispersion Index, a new volatility-related index jointly created by Cboe and S&P DJI. This index is the first concept developed by Cboe Labs, Cboe's innovation arm focused on new tradable products and services.

Cboe has been providing best-in-class investor education through the Options Institute, teaching the responsible use of options and trading strategies for more than 35 years. To learn more, visit www.cboe.com/optionsinstitute.