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 
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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.
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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 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.

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.

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.

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: info@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.

​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: info@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.




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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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Copyright ©2015 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.

National Introducing Brokers Association (NIBA) Presents:

2015 NIBA Chicago Annual Conference

Conference Schedule
-Registration & Continental Breakfast: 9:30AM
-NFA Rep Update: 10AM - 10:50AM
-The El Nino Effect: Grains, Livestock, & Financials - Sponsored by INTL FC Stone: 11AM - 12:00PM
-Box Lunches Available - Sponsored by CME Group: 12:00PM 
-Luncheon Speech - Blu Putnam, Chief Economist, CME Group - 12:30PM - 1:15PM
-One Thing I've Always Wanted to Ask- Sponsored by MidlandIRA: 1:30PM - 2:15PM
-Coffee Break: 2:15PM - 2:30PM
-Cybersecurity Before & After the Breach- Sponsored by Nadex: 2:30PM - 3:30PM
-Cybersecurity What Every IBs & CTAs Need to Know- Sponsored by RJ O'Brien: 3:45PM - 4:45PM
-Cocktails: 5PM

 
Date: Thursday September 24, 2015

Venue: CME Group Building 20 S. Wacker Drive, Chicago, IL

 For more information and registration click here

About the NIBA: was established as a not-for-profit association in 1991. Before NIBA existed, Introducing Brokers (IBs) and Commodity Trading Advisors (CTAs) had no central organization to ensure that they were represented within the industry. Now, through the efforts of dedicated members and volunteers, NIBA has continued to grow in both size and influence and is well respected throughout the markets.

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

The Professional Risk Managers' International Association (PRMIA) and CME Group Present

Innovations in Commodity Investing

The discussion will cover changing fundamentals for commodity investors such as backwardation and correlation; new ways to access commodity markets such as ETFs, swaps and futures and other emerging trends in the commodity markets.

This event is sponsored by the CME Group and PRMIA in association with CAIA.

Speakers include:  READ MORE

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 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.