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Updated: Spreading European and U.S. volatility index futures

5/27/2016

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By Mark Shore

It has been three years and twelve articles since I began writing the VSTOXX® newsletter. Timing seemed right (and perhaps 3 is a Fibonacci series inspired moment) to update the data of some of my past articles. Upcoming newsletters will include updated articles as well as new articles. This article updates Spreading European and U.S. Volatility Index Futures I wrote in August 2013.

Liquidity is always important to an investor or trader. Table 1 gives readers an overview of the VSTOXX® Futures liquidity over the last years.
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Copyright ©2016 Mark Shore. Contact Mark Shore for permission for republication at [email protected] 

Mark Shore has more than 25 years of experience in the futures markets and managed futures, publishes research, consults on alternative investments & conducts educational workshops.

www.shorecapmgmt.com email: [email protected]


Mark Shore is also an Adjunct Professor at DePaul University’s Kellstadt Graduate School of Business, where he teaches the only known accredited managed futures course in the country. He is also a Board Member of the Arditti Center for Risk Management at DePaul University.

Past performance is not necessarily indicative of future results. There is risk of loss when investing in futures and options. Futures and options can be a volatile and risky investment; only use appropriate risk capital; this investment is not for everyone. The opinions expressed are solely those of the author and are only for educational purposes. Please talk to your financial advisor before making any investment decisions.



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Could a bond portfolio benefit from allocating to a volatility index?

5/27/2016

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By Mark Shore
​
My last article discussed the advantages of a traditional portfolio allocating to a volatility index. The article concluded that the allocation to VSTOXX® Futures may offer advantages for a traditional portfolio of 60 percent stocks and 40 percent bonds. This article asks a similar question, what if the portfolio was only European bonds; would the allocation to a volatility index such as the VSTOXX® Index offer added value to a bond portfolio?

Investors will often perceive each component of their portfolio as standalone investments. However, the components should be viewed for how well they complement the portfolio. Think of it is a holistic approach to portfolio management. My prior analysis of a 60/40 portfolio allocating to the VSTOXX® Index was more direct as the EURO STOXX 50® Index is the underlying market for the VSTOXX® volatility index. However this analysis of bonds to VSTOXX® is a little more intricate because the relationship of the two markets is not necessarily direct, but they are connected.

Liquidity is always important to an investor or trader. Table 1 gives readers an 
READ MORE

Follow Mark Shore on Twitter, Facebook and Linkedin
​

Copyright ©2015 Mark Shore. Contact Mark Shore for permission for republication at [email protected] 

Mark Shore has more than 25 years of experience in the futures markets and managed futures, publishes research, consults on alternative investments & conducts educational workshops.

www.shorecapmgmt.com email: [email protected]

Mark Shore is also an Adjunct Professor at DePaul University’s Kellstadt Graduate School of Business, where he teaches the only known accredited managed futures course in the country. He is also a Board Member of the Arditti Center for Risk Management at DePaul University.

Past performance is not necessarily indicative of future results. There is risk of loss when investing in futures and options. Futures and options can be a volatile and risky investment; only use appropriate risk capital; this investment is not for everyone. The opinions expressed are solely those of the author and are only for educational purposes. Please talk to your financial advisor before making any investment decisions.



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Managing Volatility - The New Normal Chicago CFA / OIC event 

5/26/2016

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CFA Chicago & the Options Industry Council (OIC) Present:

Managing Volatility – The New Normal



This event will feature two panel discussions by industry experts:
Panel 1: The use of options by institutions
Moderator: Joseph F. Burguyne III: OIC
Speakers:
Xerxes K. Bhote: MKM Partners
Stacey Gilbert: Susquehanna Financial Group
April Heitz: DRW Holdings LLC
 
Panel 2: The emergence of volatility as a tradable asset
Moderator: Russell Rhoads: Options Institute at CBOE
Speakers:
Mark Sebastian
Mark Shore: Shore Capital Research LLC & DePaul University
Mike Thompson, CFA: Typhon Capital Management
 
Date:  Wed June 8th
Time: 5pm to 8pm
Venue: Chicago Board of Options Exchange, 400 S. LaSalle Street, Chicago, IL 60605
Reception immediately following
 
For more information and registration click here


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    The postings on this site are not recommendations for trades and should not be perceived as such. Losses may occur from trading futures and options. Please talk to your financial advisor before trading futures or options. Past performance is no guarantee of future results.

    Proposals for consulting projects may be sent to [email protected]

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