CBOE To Conduct Volatility Panel Discussion - Experts To Discuss "Portfolio Management And The Volatility Of Volatility Indexes"

Five financial experts will discuss the theme, "Portfolio Management and the Volatility of Volatility Indexes," at a panel discussion at a joint Chicago QWAFAFEW / PRMIA - sponsored meeting. The meeting, which is open to the public, will be held from 5:00 p.m. to 7:00 p.m. on Thursday, September 27 in the members lounge of the Chicago Board Options Exchange (CBOE), 400 South LaSalle Street, Chicago.

Some of the questions posed to the panelists will include:

In light of the fact that the volatility indexes already have experienced greater-than-ten-percent daily moves in more than thirty days in 2007, how can investors and traders benefit from these big moves?
How are the futures and options on the volatility indexes priced?
Have the volatility indexes seen explosive upside moves when stock prices recently declined?
Is volatility a powerful unique new asset class?
Is a high VIX level bullish and a low VIX bearish for stocks?
Can the volatility index products be used as tools for diversification, asset allocation, and/or market forecasting?

The five panelists will be:

Mr. David E. Kuenzi, Head of Risk Management and Quantitative Research at Glenwood Capital Investments, LLC, in Chicago. Mr. Kuenzi is the author of the recent 18-page working paper "Shedding Light on Alternative Beta: A Volatility and Fixed Income Asset Class Comparison."
Mr. Keith H. Black, CFA at Ennis Knupp & Associates, a consulting firm based in Chicago. Mr. Black is the author of "Improving Hedge Fund Risk Exposures by Hedging Equity Market Volatility, or How the VIX Ate My Kurtosis" in the 2006 Journal of Trading.
Mr. Kelly Haughton, Strategic Director at Russell Indexes in Tacoma, WA. Options on the CBOE Russell 2000 Volatility Index are scheduled to begin trading on September 27.
Mr. Dominic Salvino of Group One Trading in Chicago, a firm that serves as Designated Primary Market Maker (DPM) for options on volatility indexes.
Mr. Paul Kepes, Managing Director of Chicago Trading Company (CTC), a firm that serves as Designated Primary Market Maker (DPM) for futures contracts based on variance and volatility indexes.

Mr. Matthew Moran of the CBOE will serve as moderator for the meeting.

The September 27 panel discussion also coincides with CBOE's launch of two new volatility indexes: the CBOE Nasdaq-100 Volatility Index (ticker symbol VXN) and the CBOE Russell 2000 Volatility Index (ticker symbol RVX under licensing agreements with The Nasdaq Stock Market, Inc. and The Russell Investment Group. To learn more about CBOE's Volatility Indexes, including methodology, daily and historical data and charts, contract specifications, and other information, please visit www.cboe.com/volatility.

CBOE, the largest options marketplace in the U.S. and the creator of listed options, is regulated by the Securities and Exchange Commission (SEC). For additional information about the CBOE and its products, visit the CBOE website at: www.cboe.com/.