Category: Equity - Shore Capital Research LLC

Trading European Volatility with VSTOXX Futures & Options

1/13/2018

Mark Shore (Shore Capital Research) & Megan Morgan (Eurex Exchange) discuss details of the construction of the European VSTOXX® volatility index and the similarities and differences from the VIX, the growth of VSTOXX® futures and options and utilizing VSTOXX® derivatives for directional trading and spreading.

The webinar also dicusses the newly listed VSTOXX® Options on Futures, which are now available for US traders and investors since February 2017.

Follow Mark Shore on Twitter, Facebook and Linkedin

Mark Shore has more than 30 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. The opinions expressed are only for educational purposes. Please talk to your financial advisor before making any investment decisions.

The U.S. Unemployment Rate: Is the Bottom Near?

5/20/2017

Summary
The unemployment rate is a mean reverting indicator offering moments of oversold and overbought conditions.

The variance between the maximum and minimum rates of a given year, may indicate the stability of the unemployment rate.

Understanding the tendencies of the U-3 rate, may offer some clues toward future direction of the labor market.

In recent months, a growing debate has appeared asking if the U.S. unemployment rate (U-3, the official unemployment rate) is indicating the economy has reached or nearing full employment.

READ THE FULL ARTICLE

Follow Mark Shore on Twitter, Facebook and Linkedin

Copyright ©2017. Contact Mark Shore for permission for republication at info@shorecapmgmt.com 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. The opinions expressed are only for educational purposes. Please talk to your financial advisor before making any investment decisions.

Mark Shore on VSTOXX Derivatives 3-part series

3/9/2017

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 (see full biography on page 18).

Part 1: Utilizing a European volatility index for Pan-European volatility

Part 2: VSTOXX®/VIX volatility spread behavior during recent volatility events

Part 3: Introduction of CFTC-certified options on VSTOXX® Futures

To download the paper click here

Follow Mark Shore on Twitter, Facebook and Linkedin

Copyright ©2017 Mark Shore. Contact Mark Shore for permission for republication at info@shorecapmgmt.com 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.

Introduction of CFTC-certified Options on VSTOXX® Futures

1/18/2017

On February 1st 2017, Eurex Exchange will introduce a new CFTC-certified options on VSTOXX® Futures contract (OVS2). The VSTOXX® Futures volatility index will be the underlying market for the new options contract. OVS2 will have eight consecutive expiring months. The underlying equity market for VSTOXX® Futures is the EURO STOXX 50® Index.

This article discusses the following questions:

What are some recent salient moments of volatility events causing increased volume of VSTOXX® Futures?
Why replace VSTOXX® options with options on VSTOXX® Futures?
What are the key benefits of options on VSTOXX® Futures?
What are some potential ideas to think about regarding trading OVS2?

Click here to read the article

Follow Mark Shore on Twitter, Facebook and Linkedin

Copyright ©2016 Mark Shore. Contact Mark Shore for permission for republication at info@shorecapmgmt.com 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.

Mark Shore on Benzinga PreMarket Prep Broadcast Dec 28 2016

12/28/2016

Mark Shore, Chief Research Officer of Shore Capital Research LLC and Adjunct Professor at DePaul University in Chicago was a special guest on Benzinga's PreMarket Prep broadcast, (http://premarket.benzinga.com/pre-market-show/) the morning of December 28, 2016 with hosts Joel Elconin and Dennis Dick

The interview starts about 39 minutes into the broadcast on youtube (above) or 34 mins on soundcloud

Topics discussed include: hedge funds, managed futures, volatility, VIX, VSTOXX and VSTOXX / VIX spread

Follow Mark Shore on Twitter, Facebook and Linkedin

www.shorecapmgmt.com

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.

VSTOXX®/VIX volatility spread behavior during recent volatility events

12/16/2016

By Mark Shore
In past articles I’ve discussed the various behaviors of the VSTOXX®/VIX spread. This article follows my last article “Utilizing a European volatility index for Pan-European volatility” examining VSTOXX® behavior in recent volatility events relative to various European equity indexes.

The Brexit election and the U.S. election are now behind us. Several European elections are on the horizon in 2017. And there doesn’t seem to be a shortage of ideas being discussed for potential future macro volatility events. This article examines the behavior of the VSTOXX®/VIX spread during recent volatility events. Could the understanding of the spread’s behavior during past volatility events offer some insight for future events?

Liquidity is always READ MORE

Follow Mark Shore on Twitter, Facebook and Linkedin
Copyright ©2016 Mark Shore. Contact Mark Shore for permission for republication at info@shorecapmgmt.com 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.

Utilizing a European volatility index for Pan-European volatility

11/8/2016

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

Follow Mark Shore on Twitter, Facebook and Linkedin

Copyright ©2016 Mark Shore. Contact Mark Shore for permission for republication at info@shorecapmgmt.com 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.

What Does A Widening VSTOXX / VIX Spread Mean To The Underlying Equity Markets?

8/22/2016

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 info@shorecapmgmt.com 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.

Is The VIX Forward Curve Giving Clues Of An Overbought Equity Market?

8/18/2016

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
READ MORE

Follow Mark Shore on Twitter, Facebook and Linkedin

Copyright ©2016 Mark Shore. Contact Mark Shore for permission for republication at info@shorecapmgmt.com 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.

VSTOXX / VIX Spread May Imply An Equity Correction

8/11/2016

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).

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 info@shorecapmgmt.com 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.