Presentation: Gontran de Quillacq will speak to us about The Defense of a Loss on SVXY Options.

Abstract: After successfully selling naked option for 15 months, a retail trader met an overnight loss of $6m – he was short small puts on leveraged VIX ETFs on that fateful day of February 5th, 2018. Unable to meet his margin call, his broker-dealer immediately liquidated his position, and soon after brought him to a FINRA arbitration to recover the losses.

After reviewing the trader’s losses, his contractual obligations and his legal standing, we will introduce the technical arguments brought forward for his legal defense. The statistical analysis of the S&P, VIX and VIX leveraged ETFs show a strong non-normality of returns, high volatilities, high gap risks and high exoticity. These mathematical facts are brought against the broker-dealer’s responsibilities, statements, risk management models and systems, as well as FINRA margin regulations.


Speaker: Gontran de Quillacq has over 20 years of quantitative investment experience. A leading arbitrager and proprietary trader, he spearheaded the distribution of quantitative investment research through access derivatives and structured notes, opening the domain of portable alphas. His career in research and portfolio management gave him an experience, ranging from cash equities & deltaone to exotic options, at top-tier firms like Societe Generale, Lehman Brothers, Tykhe Capital, Nomura and HSBC, both in London and on Wall Street. He joined Clinton in 2017, after consulting for the world’s leading hedge funds on due diligence of investment strategies and portfolio managers. He is an expert witness and legal consultant. Mr. de Quillacq is an alumnus of the Ecole Normale Supérieure de Lyon in theoretical physics, obtained his doctoral degree in electrical engineering at Sup’Elec and became in 1995 an alumnus of HEC Paris (MBA, Finance). He was an international fellow in atomic physics at the Stanford Research Institute and a visiting scholar in differential algebra at UC Berkeley. Mr. de Quillacq served as an army officer during The First Gulf War.


Great opportunity to connect with FENG Members in other industries.

Welcome & Introduction of Chairs from: Banking - Insurance

- 90 Second Elevator Pitches

- Various SIGs break out to a separate group in the meeting room.
- Open discussion on possible assistance provided from other S.I.G. members.
- Hot topics in the Media/Banking


ALUMNI VERY WELCOMED AND ENCOURAGED TO ATTEND.

Please bring a name badge, your resume, business cards and be prepared with your elevator speech to the meeting.