Symposium on Alpha Index Options


Since the development of the Capital Asset Pricing Model, generations of investment managers have been evaluated on their performance relative to the market. Yet, while a wide array of stock index futures and options have been developed to hedge market "beta" risk exposure, managing the "alpha" outperformance component of an asset's return has not been easy. This has changed recently with the introduction of options on the excess return of an underlying security relative to a benchmark. These new Alpha Index contracts, that are now being traded on the NASDAQ OMX PHLX, allow investors and investment managers to participate in either overperformance or underperformance of a security relative to the benchmark.

The Symposium will begin with an introduction to Alpha Index options by one of their designers, Robert Whaley. This will be followed by two panels of experts, who will explore the role of this new investment and risk management product from the perspective of practitioners on the "Street" and from the viewpoint of academics in the "Ivory Tower."

January 27, 2012

NYU Stern School of Business
Kaufman Management Center
44 West 4th Street
New York, NY





Welcome and Introduction
Stephen Figlewski, Director, The NASDAQ OMX Derivatives Research Project [Video]



An Overview of Alpha Index Options
Robert Whaley, Vanderbilt University [Video]



Panel One:  Views from the "Street" [Video]
Chairman: Fari Hamzei, Hamzei Analytics
Michael Khouw, CNBC
Scott Fullman, Director, Derivatives Strategist, Oppenheimer & Co. Inc.
Jill Malandrino, TheStreet's OptionsProfits
Cindy A Capone, HSBC Private Bank



Refreshment Break



Panel Two:  Views from the "Ivory Tower" [Video]
Chairman: Martin Gruber, NYU Stern
Aswath Damodaran, NYU Stern
Kent Daniel, Columbia University
Todd Petzel, Offit Capital Advisers



Cocktail Reception

Sponsored by

Nasdaq OMX

About the Speakers


Aswath Damodaran holds the Kerschner Family Chair in Finance Education and is Professor of Finance at New York University Stern School of Business. Before coming to Stern, he also lectured in Finance at the University of California, Berkeley.

Professor Damodaran received a B.A. in Accounting from Madras University and a M.S. in Management from the Indian Institute of Management. He earned an M.B.A. (1981) and then Ph.D. (1985), both in Finance, from the University of California, Los Angeles.

Professor Damodaran's contributions to the field of Finance have been recognized many times over. He has been the recipient of Giblin, Glucksman, and Heyman Fellowships, a David Margolis Teaching Excellence Fellowship, and the Richard L. Rosenthal Award for Innovation in Investment Management and Corporate Finance.

His skill and enthusiasm in the classroom garnered him the Schools of Business Excellence in Teaching Award in 1988, and the Distinguished Teaching award from NYU in 1990. His student accolades are no less impressive: he has been voted "Professor of the Year" by the graduating M.B.A. class five times during his career at NYU.

In addition to myriad publications in academic journals, Professor Damodaran is the author of several highly-regarded and widely-used academic texts on Valuation, Corporate Finance, and Investment Management.

Professor Damodaran currently teaches Corporate Finance and Equity Instruments & Markets. His research interests include Information and Prices, Real Estate, and Valuation.


Kent Daniel is a Professor in the Finance and Economics Division at the Graduate School of Business at Columbia University. From 1996 to 2006, Kent was at the at the Kellogg School of Management at Northwestern University, where he was the John and Helen Kellogg Distinguished Professor of Finance (on leave from 2004-2006). Previously, he served on the faculties of the University of Chicago and the University of British Columbia.

Between 2004 and 2010, Kent was with the Quantitative Investment Strategies group at Goldman Sachs Asset Management. In 2005, he became a managing director and head of the QIS equity research effort. He became a co-chief investment officer in 2009.

Kent’s academic research, both theoretical and empirical, has been primarily in the areas of behavioral finance and asset pricing. In addition to other awards, his academic papers received the 1997 and 1999 Smith-Breeden awards for the best paper in the Journal of Finance. His papers have been reprinted in several books. He also received the Sidney J. Levy Teaching Award for 1996-1997 and 2000-2001 at the Kellogg School.

Kent has served as a research associate and a faculty research fellow at the National Bureau of Economic Research, as an associate editor for the Journal of Finance, as a director of the American Finance Association, and as a director of the Western Finance Association.

Kent received a B.S. with honors in Physics from the California Institute of Technology in 1981 and an M.B.A. from UCLA in 1987. He received his Ph.D. in Finance from UCLA in 1992.


Stephen Figlewski is a professor of finance at New York University's Stern School of Business, where he teaches courses in Futures and Options at the Undergraduate, M.B.A., and Ph.D. levels.
Professor Figlewski has been a member of the NYU Stern faculty since 1976. He is the director of the NYU Stern Derivatives Research Project. His primary research interests include Derivatives, Risk Management, and Financial Markets.

Professor Figlewski has published several books, including Risk Management: The State of the Art, Financial Options: From Theory to Practice, and Hedging with Financial Futures for Institutional Investors: From Theory to Practice. He is the founding editor of Journal of Derivatives, and has been published in many others, including the Journal of Finance and the Journal of Financial Economics.

In addition to working at NYU Stern, Professor Figlewski was a Vice President at the First Boston Corporation, responsible for research on equity derivatives products, and has been a market maker in stock index options at the New York Stock Exchange. He was also a Visiting Associate Professor at the University of California at Berkley.

Professor Figlewski received his Bachelor of Arts in Economics, summa cum laude, from Princeton University and his Doctor of Philosophy in Economics from the Massachusetts Institute of Technology.


For more than 30 years Mr. Fullman has been advising professionals on the use options strategies for increasing returns, risk control, and improving the probability for successful results over a wide range of prices and movements. He has been employed by several well known financial services firms and has taught/lectured at Seton Hall University, the New York Institute of Finance, the Market Technicians Association, and at other venues. In 2010 Scott published his second book, “Increasing Alpha with Options,” which is based on the platform he has built over the past three decades.

By combining technical analysis, options intelligence and strategy formations Mr. Fullman has helped institutional portfolio managers and investors and their brokers to achieve more favorable outcomes.

Mr. Fullman also has advised exchanges and other groups on products, platforms, and other items that have been crucial to the expansion of the industry. This includes the creation of new index, option, and ETF products as well as the use of technology. Serving on various industry committees as well as direct input to management at broker/dealers and the exchanges, Scott has driven new ideas and growth of the options and equities market place.


Martin J. Gruber is Professor Emeritus and Scholar in Residence at New York University Leonard N. Stern School of Business, where he previously served as Professor of Finance for 45 years.

Professor Gruber is a director, a member of the executive committee and a member of the investment committee of the National Bureau of Economic Research. He is a fellow of the American Finance Association, the Financial Management Association and the Institute for Quantitative Research in Finance. He is past president of the American Finance Association and served as Finance Department Chairman at NYU for nine years.

The eighth edition of his book, Modern Portfolio Theory and Investment Analysis, is one of the leading texts in graduate schools of business. In addition, he has published six other books in investment analysis and portfolio management. Professor Gruber has written more than 100 articles, which have appeared in the Journal of Finance, Review of Economics and Statistics, Journal of Financial Economics, Journal of Business, Management Science, Journal of Financial and Quantitative Analysis, Operations Research, Oxford Economic Papers and the Journal of Portfolio Management. A collection of his articles has been published as a two-volume anthology by The MIT Press entitled, "Investments," while an anthology of his latter articles has been published in a volume entitled, "Investments and Portfolio Performance," by World Scientific Publishing. He was formerly co-managing editor of the Journal of Finance, Department editor for Finance of Management Science, a member of the Advisory Board of the European Finance Review and an Associate Editor of the Journal of Banking and Finance. He has been a director of both the Computer Applications Committee, and the Investment Technology Symposium of the New York Society of Security Analysts, and an Associate Editor of the Financial Analysts Journal. He has also been a director of the European Finance Association and a founding member of the Asian Finance Association.

Professor Gruber was named a distinguished scholar by the Eastern Finance Association, received the Graham and Dodd Award for research in investments and in 2004 was awarded the prestigious James R. Vertin Award by AIMR in recognition of his research; notable for its relevance and enduring quality to investment professionals. He has served as a consultant in the areas of investment analysis and portfolio management with many major financial institutions in the United States, Asia, and Europe. Professor Gruber is a Director of the Japan Equity fund, Inc., the Singapore Equity Fund Inc., and the Thai Equity Fund, Inc. He has been Chairman of the Equity Committee and a member of the DWS Mutual Funds New York Board. He has served as a member of the board of trustees of TIAA, a member of the board of CREF, and chairman of the board of CREF, and a member of the board of the S.G. Cowen Funds.

Professor Gruber holds an S.B. degree in Chemical Engineering from MIT and both an M.B.A. in Production Management and a Ph.D. in Finance and Economics from Columbia University. He also was awarded the degree of Docteur "honoris causa" by the University of Liege, Belgium.


Michael C. Khouw is a senior Equity Derivatives trader at Cantor Fitzgerald, LP and manager of the US Listed Equity Derivatives Desk. Cantor Fitzgerald is a recognized leader in the specialized areas of equity and fixed income capital markets, offering an array of products and services to more than 5000 institutional clients around the world.

Before joining Cantor, Mike was an analyst/consultant for Ivory Capital, LLC. Prior to Ivory Mike was a floor-based options trader for Bluefin Energy, LLC, a subsidiary of Bluefin Trading, a proprietary trading firm based in White Plains, NY where he co-founded the energy options trading group and was responsible for teaching options trading to the firm’s new hires. Prior to Bluefin Mike was an options trader for Gateway Partners, LLC a proprietary trading firm specializing in volatility arbitrage with operations on all US options exchanges.

Mike is a former member of the New York Mercantile Exchange, The American Stock Exchange, and the Philadelphia Stock Exchange. He has a BA from Tufts University.


Jill Malandrino is the Editor and Curator for TheStreet’s OptionsProfits. In addition to managing the product and content for the site, she reports from the floor of the CME with MrTopStep, co-hosts the Morning Call with T3Live for the flagship site and the All-in-One video for Options TV. Her work is featured regularly on Yahoo! Finance, Fidelity, NASDAQ, CBOE and various financial blogs.

Prior to OptionsProfits, Ms. Malandrino was the Market Intelligence Manager for The Fly on the Wall and headed the Institutional Product Marketing effort for the Prudential Equity Group.

Over her 15 year career on Wall Street, she has held various positions in institutional sales and marketing after starting out in retail branch compliance.


Todd E. Petzel is Chief Investment Officer of Offit Capital Advisors and a member of the firm's Investment Committee.

Prior to joining Offit Capital, Mr. Petzel was a founding partner and Chief Investment Officer of Azimuth Asset Management, a New York based fund of hedge funds. Previously, he served as Chief Investment Officer of Commonfund, an asset manager and fund of funds focused primarily on investing on behalf of endowments and foundations. During his seven-year tenure at Commonfund. Mr. Petzel served as Chair of the internal investment group responsible for the structure and strategy of assets under management equal to approximately $30 billion at of the time of his departure, up from $16 billion at the beginning of his term.

Prior to his work at Commonfund, Mr. Petzel served as Chief Economist at the Chicago Mercantile Exchange and Chief Economist at the Coffee, Sugar and Cocoa Exchange in New York.

Mr. Petzel began his career as an economics professor at Macalester College and Stanford University, and later served as a lecturer in finance at the University of Chicago from 1989-1996. He has written extensively on finance and markets as editor-in-chief of Derivatives Quarterly (1994-2001) and as author of Financial Futures and Options: A Guide to Markets, Applications, and Strategies (1989).

Mr. Petzel has served as a trustee of Lebanese American University and is a member of the Investment Committee of Albuquerque Academy. He is a Public Director of both the National Futures Association (NFA) and the Futures Industry Association (FIA), and is a Trustee for the Committee on Economic Development (CED).

Mr. Petzel holds a Ph.D., M.A. and B.A., with honors, in Economics from the University of Chicago.


Robert E. Whaley is the Valere Blair Potter Professor of Management at the Owen Graduate School of Management, Vanderbilt University. He received his bachelors of commerce degree from the University of Alberta, and his masters of business administration and doctorate degrees from the University of Toronto. His past teaching positions include Duke University, the University of Chicago, and the University of Alberta.

Professor Whaley’s current research interests are in the areas of market microstructure, valuation of exotic options, stock splits, and executive stock option valuation. Much of his past work focused on investigations of the effects of program trading on stock prices, the expiration day effects of index futures and options, and the valuation of option and futures option contracts and the efficiency of the markets in which they trade. His research has been published in the top academic and practitioner journals, and he is a frequent presenter at major conferences and seminars. He has also published seven books including the recent Derivatives: Markets, Valuation, and Risk Management by John Wiley & Sons, Inc.

Professor Whaley holds a number of editorial positions including Associate Editor of Journal of Futures Markets, Journal of Derivatives, Pacific-Basin Journal of Finance, and Advances in Futures and Options Research. His past editorial positions included Review of Futures Markets, Journal of Finance, Journal of Financial Economics, Journal of Risk, Management Science, China Accounting and Finance Review, and Canadian Journal of Administrative Science. He also has served as a referee for more than fifty journals and granting agencies and is a former member of the Board of Directors of the Western Finance Association and the American Finance Association. He is currently a member of the International Advisory Board of the University Centre for Financial Engineering at the National University of Singapore.

Professor Whaley is an established expert in derivative contract valuation and risk management, and market operation. He has been a consultant for many major investment houses, security (futures, option and stock) exchanges, governmental agencies, and accounting and law firms. Whaley developed the CBOE Market Volatility Index (i.e., the “VIX”) for the Chicago Board Options Exchange in 1993, the NASDAQ Market Volatility Index (i.e., the “VXN”) in 2000, and the BuyWrite Monthly Index (i.e., the “BXM”) in 2001.

During his career, Professor Whaley received a number of grants and awards including the 1989 Richard and Hinda Rosenthal Foundation Award for innovation in finance research, the 1991 NCNB Faculty Award for contributions in research, teaching and service at the Fuqua School of Business, and the 1993 Earl M. Combs, Jr. Award for contributions to the futures industry. Many of his research papers have received awards, including Graham and Dodd Scrolls for Excellence in Financial Writing from the Financial Analysts Journal in 1986 and 1987, the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in Journal of Portfolio Management during the volume year 1999-2000, the E. Yetton Award for Best Paper in Australian Journal of Management, 1997 for his work on program trading and futures option valuation, the CBOT Award for Best Paper on Futures at the Western Finance Association meetings in 1993 for his work on dual trading, the Canadian Securities Institute Award for Best Paper in Investments at the Northern Finance Association meetings in 1989 for his work on market volatility prediction, and an EOE Prize from the Institute for Quantitative Investment Research—Europe in 1995 for his work on deterministic volatility functions.