In past articles, I’ve discussed the negative correlation between the VSTOXX® Volatility index and the EURO STOXX 50® Index and how the volatility index tends to rally when equities decline (downside volatility).

The recent passing of the Brexit vote on 23 June 2016 introduced immediate uncertainty and downside volatility to the global capital markets. The results of several upcoming European elections could introduce more uncertainty and volatility into the capital markets. According to Bloomberg News, 40 percent of the EU economy will be voting in 2017.[i]

Market reactions to the Brexit vote are still being READ MORE


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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 and conducts educational workshops. www.shorecapmgmt.com 

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.

Summary

• Over the past week the VSTOXX / VIX spread narrowed and then widened as the EURO STOXX 50 Index declined.
• A one and two standard deviation move would price the spread between 8.8 and 12.5.
• As a sentiment indicator could an overbought VSTOXX / VIX spread imply at least short-term support in the EURO STOXX 50 Index & the S&P 500?

My recent article " VSTOXX / VIX Spread May Imply An Equity Correction" discussed some of the basics of the spread and potential signals it may offer about the underlying EURO STOXX 50 index and the S&P 500 index. I received a lot of positive feedback and demand for this analysis, so I will be updating the spread data and analysis on a regular basis. Think of the spread as  
​READ MORE
 
Follow Mark Shore on Twitter, Facebook and Linkedin

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 and conducts educational workshops.www.shorecapmgmt.com 

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.
​

Summary

• The pricing of the $VIX futures back months have remained relatively stable as the front months recently declined.
• The longer the spot and front month remain at the lows, the higher the probability for a correction in $SPX.
• The current state of the forward curve may be giving clues to the "shape of things to come".

Recently the market has discounted equity declines with the focus
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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 and conducts educational workshops.www.shorecapmgmt.com 

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.

NIBA (The Forum for Derivatives Professionals) Presents:

NIBA 25th Anniversary Chicago Conference

This One-day program for Derivatives Professionals will focus on business growth, and include the annual NFA IB and CTA Representatives Report to the Membership.

The annual NIBA Chicago conference is the pinnacle event of the year for our association. This year we come together not only for another great conference but also in celebration of our 25th anniversary. This year promises to be better than ever. Speakers range from industry professionals, TV personalities, subject matter experts, and regulators.

Members in attendance will be eligible to participate in this year's iPad Raffle. In addition, Exchange Analytics will be providing complimentary AML and Cybersecurity Training to attendees (limited supply).

There is no cost for NIBA Members to attend the forum which includes an Exhibit Hall, Lunch and a Networking Reception.
 
Topics Include
Compliance Panel
Managed Futures Panel
Compliance Debate
Lunch Speaker: CME Economist
CME GCC Presentation
NFA Rep Panel
FINTECH Panel 
Business Development Panel

Date: Wed Sept 14th
Time: 8am to 5pm
Venue: CME Group World Headquarters
 
Cocktail reception immediately following the event
 
For more information and registration click here
 
About the NIBA
Established in 1991- the National Introducing Brokers Association (NIBA) is one of the foremost, national recognized organizations representing professionals in the future and options industry. Our members include Introducing Brokers, Commodity Traders Advisors, Futures & Options Exchanges, Futures Commissions Merchants and resource providers to the industry.

Summary

• The VSTOXX / VIX spread tends to widen when the volatility indexes rally and equity markets decline.
• The longer the volatility indexes sit at their lows and the spread sits near its average (low), the greater the probability for the equity markets to experience a correction.
• Currently the VSTOXX / VIX spread is narrowing from an overbought range.

As I'm sure many of you are familiar with the VIX ($VIX) volatility index that measures the market's perspective of implied volatility 30 days into the future. The index is found at the CBOE. It is also known as the "fear index" as it tends to rally when the S&P 500 declines (downside volatility).
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There is another lesser known, but growing volatility index called VSTOXX found at the Eurex Exchange.  READ MORE

​Follow Mark Shore on Twitter, Facebook and Linkedin

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 and conducts educational workshops.www.shorecapmgmt.com 

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.

CTAEXPO LLC Presents:
​CTA Expo 2016 Chicago

CTA Expo is designed to provide CTA’s and FX Traders the foundation of knowledge they need from both an operational and marketing perspective to raise AUM, and the opportunity to network with Family Offices, Professional Capital Raisers, Individual Investors, Allocators and IRA’s looking to identify trading talent as a source of Alpha. 

CTA Expo also offers speakers on how managers can grow their business, gain access to capital sources, and how allocators can more effectively manage their portfolios. 

The Agenda and Speakers Include: 
​CONFERENCE CHAIRMAN 
Ian Morley Wentworth Hall Consultancy
Welcoming Remarks
Bucky Isaacson and Frank Pusateri (CTA Expo LLC)
 
EMERGING MANAGER SELECTION... WHAT INVESTORS LOOK FOR
Different types of investors look for different characteristics in the managers they invest in.
MODERATOR:
Tim Pickering (CEO - Auspice Capital Management)
PANELIST:
Ernest Jaffarian (CEO - Efficient Capital Management, LLC.)
Ole Rollag (Managing Principal - Murano)
Dimitri Sogoloff (CEO - Horton Point, LLC.)
 
MEDIA… DOES IT WORK? & HOW TO USE IT TO BUILD AUM
Emerging managers often overlook the importance of using the media as an effective marketing tool.
Matthias Knab (FOUNDER - Opalesque Ltd)
 
Cyber Security and its Effect on Investors, Managers and Global Markets
Paul Caiazzo (CEO - TruShield Security Solutions, Inc)
 
GROWING YOUR AUM… HOW BROKERS CAN HELP
Before a manager selects a broker they should consider more than commission rates. MODERATOR:
Buck Haworth (CEO - Born Technology)
PANELIST:
Eric Eiers (ADM Investor Services, Inc)
John Hyde (Wells Fargo)
Robert Cihlar (Dorman Trading LLC)
 
KEYNOTE CONVERSATION
Phupinder Gill and Bucky Isaacson will discuss the state of the Managed Futures Industry, the CME Groups efforts to help that segment of the Alternative Financial Community continue to grow and an overview of where the CME is at and what they expect in the future
PHUPINDER GILL (CEO - CME Group)
Bucky Isaacson (Partner - CTAExpo LLC)
 
BUILDING YOUR PERSONAL BRAND AND ITS IMPORTANCE IN DIFFERENTIATING YOURSELF IN A COMPETITIVE ENVIRONMENT
In their marketing efforts managers give little consideration to branding and how it can be used to help build AUM in a crowded field.
Teresa Alpert (Crimea River Ltd)
 
OPERATIONAL CONSIDERATIONS, SERVICE PROVIDERS AND THEIR IMPACT ON THE INVESTMENT DECISION
Before deciding to invest potential clients will look at the Service Providers a manager uses and the manager’s internal operations before committing assets
MODERATOR:
Annette Cazenave (A Cazenave LLC)
PANELIST:
Robert DeMuria (Founder – Compliances Supervisors International Inc)
Brad Janitz (Midland IRA)
Eddie Lund (SVP Business Development – Gemini Fund Services, LLC)
John Hynes (CEO – HedgeFacts International Ltd)
 
REGULATORY CHALLENGES… 2016 AND BEYOND

As the regulatory environment continues to evolve and become more complex compliance becomes more expensive and a bigger factor when evaluating emerging managers.
MODERATOR:
Norma Richmond (Manager, Audit & Assurance - Arthur Bell CPAs)
PANELISTS:
Daniel G. Viola (Partner – Sadis and Goldberg LLP)
Michael Sefton (Baker & McKenzie, LLP)
 
Date: Sept 15th, 2016. 
Venue: UBS Tower, One North Wacker Drive, Chicago, IL
Time: All day (1/2 day event the day before. See CTA site for more information)

Cocktail reception immediately following event

For more information and registration click here
 
​

Summary

• Commodities are often quoted in U.S. dollars, making commodities cheaper or more expensive to the rest of the world based on the direction of the dollar.
• The 12-month and 36-month rolling correlations of $DXY to S&P GSCI note an increasing negative correlation.
• Longer-term directional moves of the U.S. dollar may imply the general direction of commodities as a sector.

I recently spoke at an ETF conference about commodities. During the panel discussion I mentioned that commodities includes a lesser known 
READ MORE

Follow Mark Shore on Twitter, Facebook and Linkedin

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 and conducts educational workshops.www.shorecapmgmt.com 

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.

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.
READ MORE

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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.

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.

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