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.

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

Mark Shore presenting his new paper on CBOE Russell 2000 options-based indexes. This presentation occurred at the Chicago Board of Options Exchange on Feb., 4th 2016

For the full paper click here

Follow Mark Shore on Twitter, Facebook and Linkedin
​

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.

​A new paper by Mark Shore "Analyzing Russell 2000 Options-Based Benchmark Indexes Designed to Provide Enhanced Yields and Risk-Adjusted Returns" was released in Feb, 2015.

This study compared the performances of six options-based strategy indexes to traditional investment indexes. The six options-based strategies, which all write options on the Russell 2000® (RUT) Index, are as follows:
1) BXR – CBOE Russell 2000 BuyWrite Index;
2) CLLR - CBOE Russell 2000 Zero-Cost Put Spread Collar Index;
3) BXRC - CBOE Russell 2000 Conditional BuyWrite Index;
4) BXRD - CBOE Russell 2000 30-Delta BuyWrite Index;
5) PUTR - CBOE Russell 2000 PutWrite Index;
6) WPTR - CBOE Russell 2000 One-Week PutWrite Index.

The following items highlight key results of the study (all analyses were done through the end of 2015):
1) Growth of Options Volume: The average daily contract volume of the Russell 2000® index options traded at the CBOE grew more than 2000% from 2004 to 2015. (Exhibit 1)

2)Risk-adjusted Returns: Since 2001 the CBOE Russell 2000 PutWrite Index (PUTR) had higher returns, lower volatility and higher Sharpe Ratio than both the Russell 2000 Index and Citigroup 30-Year Treasury Bond Index. (Exhibits 5, 6, 7, and  13)

3) Options Premium Income: In 2015 the aggregate gross premium (as a percentage of the underlying) was 41.4% for the CBOE Russell 2000 One-Week PutWrite Index (WPTR), 22.2% for the CBOE Russell 2000 PutWrite Index (PUTR), 19.5% for the CBOE Russell 2000 BuyWrite Index (BXR), and 9.2% for the CBOE Russell 2000 30-Delta BuyWrite Index (BXRD). (Exhibit 19)

4) Lower Volatility: Since 2001 the PUTR, BXR, CLLR & BXRD indexes had a lower annualized standard deviation than the Russell 2000 Index. The reduction ranged from 14% to 28% lower. The options-based indexes also had lower betas (ranging from 0.59 to 0.82) than the Russell 2000 Index. (Exhibits 7 & 13)

5) Less Maximum Drawdown: Since 2001 the maximum drawdowns for the PUTR, BXR, CLLR & BXRD indexes averaged 21% less than the Russell 2000 Index. (Exhibit 8)

6) Faster Average Recovery (in months): Since 2001 the PUTR Index average recovery time was 21% faster from the drawdown troughs than the Russell 2000 Index. (Exhibit 10)

7) Richly Priced Index Options: Since 2004 the implied volatility for the Russell 2000 has averaged about 2.88 volatility points higher than its realized volatility, and the rich pricing for index options may have facilitated higher returns for option-selling indexes such as PUTR and BXRD (when compared with the CBOE Russell 2000 Zero-Cost Spread Collar Index (CLLR)). (Exhibits 6 and 18)

8) Tail Risk: During the five years when the Russell 2000 return was negative, the PUTR and CLLR indexes had higher returns than the Russell 2000 Index. (Exhibit 26)

Click here for the entire paper

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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Planet Microcap Ep. 7 - Commodity Futures Market Roundtable with host  Robert Kraft and guests Mark Shore (Shore Capital Research) and Shelly Kraft (StockNewsNow.com).



Click here to listen to the episode

In this episode, the guests cover the following topics:

• What are the Commodity Futures Markets?
• How do you buy and sell futures?
• Is there a correlation between the Commodity Futures Markets and MicroCaps?
• What is the intrinsic relationship between the Commodity Futures Markets and MicroCaps?
• How can understanding the Commodity Futures Markets help you when analyzing MicroCap stocks?
• How the Commodity Futures Markets work
• Examples, experiences trading on the Commodity Futures Markets
• History of the Chicago Board of Trade
• Where to find more information about Commodity Futures Markets
• For more information about Mark Shore and Shore Capital Research, go to: www.ShoreCapMgmt.com
• Follow Mark on Twitter @Shorecap

Follow the Planet MicroCap Podcast on Twitter @BobbyKKraft.

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

For decades, investors frequently perceived a traditional portfolio allocation in the range of 60 percent equities and 40 percent bonds for proper diversification. Since 2000 investors, both large and small, have experienced several moments of negative returns to their portfolios. This experience has enlightened many investors to seek wider portfolio diversification in attempts to reduce their correlation risk, tail risk and negative volatility.

As investors search for greater diversification, it begs the question, is there an added value to allocate some portion of a traditional portfolio to a volatility index, such as VSTOXX® Futures? Investors often view each component of their portfolio as a standalone investment. Ultimately asset allocation is about how each portfolio component compliments the entire portfolio. Asset allocation should be viewed as a holistic approach to portfolio management.

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Follow Mark Shore: 
https://twitter.com/shorecap


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 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

Summary

• The focus should not be on Greece, but on the eurozone's ability to solve problems.
• The eurozone has reached a fork in the road for more robust infrastructure for long-term success or risk increased uncertainty of the eurozone.
• If Greece or any nation leaves the eurozone a precedent is set for other member states to do the same, thus increasing the uncertainty of the euro.

Life is filled with uncertainty. Market decisions are frequently made in moments of uncertainty. Europe has experienced its share of uncertainty and volatility in the past decade. This leads to the current situation of Greece that has grabbed a lot of the recent discussions and headlines.   READ MORE

John Lothian News Presents:
3rd Annual MarketsWiki Education 2015 New York World of Opportunity Summer Intern Education Series

The series will feature speakers from around the financial industry who will present short 10 to 15 minute talks covering the entire scope of the markets, from exchanges to trading firms, indexes, regulation and technology. Interns and new employees will get personal stories as well as valuable information about trends in the markets and what it takes to succeed in this industry.

This is a great opportunity to introduce young talent to the financial space, give them some ideas on how and where they can get started, and help expand the industry in the years to come.

The event will be a one-day, two session event on July 15 in New York, hosted at the New York Stock Exchange. Each session is 90 minutes.

In addition, 20 lucky attendees will be given a tour of the trading floor between the sessions. Also, the IFM has contributed six Series 3 exam courses, which we will distribute to attendees in New York via a drawing at the event.

Speakers:

• Chris White (formerly Goldman Sachs)
• Chris Ferreri (formerly ICAP)
• Peter Borish - Quad Advisors
• Boris Ilyevsky - ISE
• Haim Bodek, HFT whistleblower and electronic trader

More speakers to be announced shortly

Date: July 15th, 2015

Time: 1 p.m. and 3:30 p.m. (Please arrive at the NYSE by 12:30 p.m. or 3 p.m. to be processed through security)

Venue: New York Stock Exchange 11 Wall Street, NYC, NY

For more information and registration click here