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Mark Shore on VSTOXX Derivatives 3-part series

3/9/2017

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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

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

8/22/2016

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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.

​


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

8/18/2016

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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.



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VSTOXX / VIX Spread May Imply An Equity Correction

8/11/2016

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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.

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Greece is the Word (Again), But is it a Greek Tragedy? 

8/24/2015

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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


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P2P Lending for Institutional Investors and Wealth Managers: An Overview

4/18/2014

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By Mark Shore

P2P lending (or peer-to-peer lending) is a fast growing space in which any individual or organization can lend money directly to another individual through an online p2p lending platform such as Prosper or Lending Club. The transparency, ease-of-use, and ability to quickly make a loan request or fund a loan at competitive interest rates make P2P lending attractive for both borrowers and lenders. The passing of the Jumpstart Our Business Startups or JOBS Act in 2012 created additional interest by formalizing rules around crowd funding—an off shoot of peer-to-peer lending. This growth has attracted institutional and investment advisors to P2P lending to invest in this fast growing space typically through a P2P lending fund. What follows is a look at P2P lending for professional investors.

P2P Lending Industry Overview
In 2013 two of the largest platforms in the United States, Lending Club and Prosper issued READ MORE

Follow Mark Shore on Twitter, Facebook and Linkedin

Copyright ©2014 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. 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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Do You Know Beans About (Soy) Beans?

10/12/2013

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By Mark Shore

In our previous article we introduced the commodity markets. Moving forward we will discuss more specific educational topics about commodities and futures. This article discusses some of the fundamentals of the soybean market.

According to the USDA, processed soybeans are the largest source of animal protein feed in the world and the second largest source in the world for vegetable oil.[i]  An estimated 90% of oilseeds produced in the U.S. are soybeans. The remaining 10% include cottonseed, sunflowerseed, canola, rapeseed and peanuts.

Soybeans are only second to corn as the most planted field crop in the U.S. As Midwest farmers tend to produce a higher soybean yield and lower cash cost than Southern or Eastern farmers, over 80% of soybean production occurs in the upper Midwest of the United States.

Soybean futures contracts are one of the most liquid of the commodity futures markets. Soybean futures were introduced in 1936. The soybean complex (soybean meal and soybean oil) was introduced as futures contracts in the 1950s.[ii] There are seven standard expiration months for soybean futures; January, March, May, July, August, September, November. Soybean meal and soybean oil futures contracts also include the months of October and December.

The full size contracts are 5,000 bushels per contract. The CME Group also trades mini-sized contracts of 1,000 bushels per contract. Soybeans are priced at cents per bushel. Soybean meal is priced at dollars per short ton. Soybean oil is quoted at cents per pound.

READ MORE

[i] http://www.ers.usda.gov/topics/crops/soybeans-oil-crops.aspx#.UZ-j7NjfKSo

[ii] Self Study Guide to Hedging with Grain and Oilseed Futures and Options. CME Group P.4

Follow Mark Shore on Twitter, Facebook and Linkedin

Copyright ©2013 Mark Shore. Contact the author 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 and Board Member of Arditti Center of Risk Management at DePaul University's Kellstadt Graduate School of Business in Chicago where he teaches a managed futures / global macro course and an Adjunct at the New York Institute of Finance. Mark is a contributing writer to Eurex Exchange, Reuters HedgeWorld, CBOE Future Exchange (CFE) and Micro-Cap Review.

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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Review of 2012 VIX Futures Trading Strategies

1/3/2013

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By Mark Shore

In 2012 we discussed methods of trading the CBOE Volatility Index (VIX) futures contract at CBOE Futures Exchange, LLC (CFE). In this article, we will review the previously discussed trading methods and how to apply them to the current market environment.

Liquidity is an important factor for trading. Several times during 2012 VIX futures volume reached record levels including a record high of 2,734,248 contracts in November, Which was a 233% increase from November 2011's 822,017 contracts and which broke the prior trading volume record set in October by 12%. In November the Average Daily Volume for VIX futures was 130,202, an increase of 233% from November 2011. To date, the November VIX futures total volume is 86% higher than it was in 2011 and year-to-date trading volume is 21,344,285 contracts versus 11,455,871 in 2011.i

In past articles we discussed the use of four VIX futures trading strategies: 1) utilizing support and resistance to seek contrarian changes at range bound extremes; 2) crossing of moving averages; 3) utilizing the Aroon Oscillator; and 4) using the True Range to trade VIX futures. In this article the parameters have been set to the same level as they were set in previous articles.

We begin discussing the support and resistance methodology. We originally discussed this in the September 2012 article "VIX Trading Strategies". The VIX futures contract historically tends to find major price support between 10 and 15 and it finds major price resistance around 40 (with the exception of the financial crisis). As you will notice in the monthly chart below VIX futures tend to rally after forming a floor at or near a price of 15. This most recently occurred in 2010 and 2011. During the last several months, the VIX contract has once again found the price of 15 to be major price support area. Could this be the foundation of a floor for a rally in 2013?

Chart 1: Monthly Nearest VIX Futures Chart with Support and Resistance
READ MORE

Copyright ©2012 Mark Shore. Contact the author for permission for republication at info@shorecapmgmt.com Mark Shore has more than 20 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 in Chicago where he teaches a managed futures / global macro course and an Adjunct at the New York Institute of Finance. Mark is a contributing writer to Reuters HedgeWorld.

Past performance is not necessarily indicative of future results.  There is risk of loss when investing in futures and options.  Always review a complete CTA disclosure document before investing in any Managed Futures program.  Managed futures 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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S&P e-mini Comments for March 28 2012

3/27/2012

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By Mark Shore
3/27/12

In our last S&P comments from March 13, 2012, we talked about the S&P e-mini futures basis June had found resistance in the 1370 area and if it should break above it, the next short-term resistance would be 1370 to 1405 range.

On March 13, the market did break above the 1370 area and reached 1408 on March 16 and consolidated to 1380 by March 23. On March 27, the market hit a high of 1419.75 and backed down to 1406 on the close. The market is currently fighting short-term resistance.

On a long-term basis, the market is starting to near our initial long-term target of 1425 to 1440.

On a short-term basis we have been long since March 9. Currently the market would need to break below 1386 for us go neutral. Short-term support is found at 1400 to 1375.

Currently, on a long-term basis the market would need to break below 1347 to go short as our long-term signals went long in October. There is support in the 1360 to 1300 range.

Both long-term and short-term indicators have entered into overbought territory. The market could still move higher, but it could become a bit more volatile as it climbs. It may be headed for a near-term consolidation.

If the market should move higher, our next short-term resistance is 1422 to 1440. Our next long-term resistance is 1470 to 1488.

Stay tuned and you may want to put on your seat belt.

Copyright ©2012 Mark Shore. Contact the author for permission for republication at info@shorecapmgmt.com www.shorecapmgmt.com Mark Shore publishes research, consults on alternative investments and conducts educational workshops. Mark Shore is also an Adjunct Professor at DePaul University's Kellstadt Graduate School of Business in Chicago where he teaches a managed futures/ global macro course.

Past performance is not necessarily indicative of future results.  There is risk of loss when investing in futures and options.  Always review a complete CTA disclosure document before investing in any Managed Futures program. Managed futures and futures trading 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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S&P E-mini Futures Comments for March 13, 2012

3/12/2012

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By Mark Shore
3/12/2012

After 2011's volatile movements in the S&P 500 index, we received a long-term buy signal in mid October basis the June 2012 E-mini S&P 500 contract.

However, the market keeps bumping up against the 1365 to 1370 area and then sells off.

Currently on a long-term basis, the market would need to close below 1321 for a new short signal to occur. There is strong support in the 1337 area.

Our indicators are showing the market entering into an overbought region, but our long-term indicators can remain overbought or oversold for a while before the market finally begins to turn. However, we need to be aware of the area it has entered.

On a long-term basis the market has been holding above our initial targets of 1254 and 1347. If the market continues the rally, the next long-term targets are 1425 to 1440.

On a short-term basis, we received a buy signal on Feb 3th that held until March 5th. On March 9th we received a new short-term buy signal. Currently, if 1334 is taken out, the short-term signal could turn neutral.

The market has held above our initial short-term level of 1339. The next resistance area is 1370 to 1405.

The market is at a turning point of either moving forward or having some consolidation. The next support level of consolidation would be about 1325.


Copyright ©2012 Mark Shore. Contact the author for permission for republication at info@shorecapmgmt.com www.shorecapmgmt.com Mark Shore publishes research, consults on alternative investments and conducts educational workshops. Mark Shore is also an Adjunct Professor at DePaul University's Kellstadt Graduate School of Business in Chicago where he teaches a managed futures/ global macro course.

Past performance is not necessarily indicative of future results.  There is risk of loss when investing in futures and options.  Always review a complete CTA disclosure document before investing in any Managed Futures program. Managed futures and futures trading 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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    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 mshore@shorecapmgmt.com

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