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.

Chicago Chapter of QWAFAFEW Presents:
Commodity Trading Risk Management

Chicago QWAFAFEW and William Blair will host an early evening event featuring two perspectives on commodity trading risk management.

The speakers will be Hilary Till, Co-Founder of Premia Research LLC and Research Associate at the EDHEC-Risk Institute, and Mark Shore, Founder and Chief Research Officer of Shore Capital Research LLC

The event will be held at the new offices of William Blair in the William Blair Building at 150 North Riverside Plaza.

Topics:
Hilary Till’s talk is titled “Commodity Trading Strategies, Common Mistakes, and Catastrophic Blowups.” She will provide her current perspectives on the always dynamic and frequently opaque commodity markets, including (1) commodity trading strategies, (2) common mistakes, and (3) catastrophic blowups. The specific commodity trading strategies to be discussed are trend-following and calendar spreads. The common mistakes are (1) targeting returns rather than risk metrics, (2) establishing inappropriate trade sizing, and (3) failing to fully appreciate the psychological discipline required for trading. The presentation also includes case studies on the catastrophic derivatives blowups at Amaranth and MF Global.

Mark Shore’s talk is titled “Risk Management of a CTA, Looking Behind the Curtain.” Mark will discuss his experience as the former COO of VK Capital ($300 million AUM) responsible for the risk management and due diligence of the CTA's strategies.

Hilary Till is the Solich Scholar at the J.P. Morgan Center for Commodities (JPMCC), University of Colorado Denver Business School; and the Contributing Editor of the JPMCC’s Global Commodities Applied Research Digest. She is also a principal of Premia Research LLC, which designs custom investment indices that are calculated by S&P Dow Jones Indices. Prior to Premia, Hilary was the Chief of Derivatives Strategies at Putnam Investments, and a Quantitative Analyst at the Harvard Management Company. Her additional academic affiliations include her membership in the North American Advisory Board of the London School of Economics and Political Science and her position as a Research Associate at the EDHEC-Risk Institute in Nice, France. In Chicago, she is a member of the Federal Reserve Bank of Chicago’s Working Group on Financial Markets. Hilary was a founding member of the Chicago QWAFAFEW and served on its Steering Committee.

Mark Shore is an expert on alternative investments with more than 25 years of experience in the capital markets including his stints as COO of VK Capital, ($300 million AUM), a wholly-owned Morgan Stanley commodity trading advisor business unit, and as Head of Risk at Octane Research, ($1.1 billion AUM), a Swiss-based alternative investment firm. Mark is the Founder and Chief Research Officer of Shore Capital Research LLC. His research and market notes can be found here and Seeking Alpha and several other locations.

He publishes research, consults on alternative investments, conducts educational workshops and frequently speaks at investment conferences. He is also an Adjunct Professor at DePaul University where he teaches the only known accredited course on managed futures. Mark received his MBA from the University of Chicago and recently became a doctoral candidate. Mark is a current member of the Chicago QWAFAFEW Steering Committee.

​Date: October 4th, 2017
Time: Doors will open at 5:00 pm for conversation, light food and drinks. The event will start at 5:30 pm and officially end at 7:00 pm.
​Venue:  William Blair in the William Blair Building at 150 North Riverside Plaza, Chicago, IL

For more information and registration click here

QWAFAFEW is an informal organization for discussions of quantitative investment topics. QWAFAFEW has active chapters in Chicago, Boston, Hartford, New York, Denver, Princeton, and San Francisco.

DePaul University Presents:
When Black Swans Aren’t:
Geopolitical Risk Management in the Age of “Extreme” Events

The past year has seen many seemingly unexpected events come to pass, from Brexit to the United States Presidential Election. The upheaval has continued into 2017: the rise of the National Front and Marine Le Pen in the French Election; the growing fractures in long-standing international alliances like NATO, NAFTA, and the European Union; and the wave of autocracy, nationalism, and populist retrenchment in the face of globalization.

However, are we witnessing a series of "black swan" events? Could we see any of this coming? What types of models and practices can be used to identify and absorb the myriad financial, strategic, political, and operational risks associated with the current global upheaval and the realities of the twin, competing forces of populism and globalization?
 
We'll begin with a keynote dialogue between two recognized experts in the field: Professor Guntram Werther of Temple University and Professor Tom Mockaitis of DePaul University.
 
Following the keynote discussion will be two panels of experts from the financial, insurance, political science, and macro-global fields that explore the current geopolitical risk climate. We'll discuss the effects and ramifications of globalization, the global wave of retrenchment and nationalism, and the changing nature of borders and failed states. How can companies properly manage geopolitical risk—whether through mitigation, avoidance, or transference—present in the world today?

Date: Thursday, June 22nd, 2017
Time: 11:30 am to 4:30 pm; (boxed lunch and reception included)
Venue: DePaul University Loop Campus, Chicago, IL

For more information and a 50% discount on ticket prices,
please click here
Tickets are $150, with the above link the price is discounted to $75.

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.

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.

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 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 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.

DePaul University Driehaus College of Business Arditti Center for Risk Management Presents:

A New Manhattan Project: Forging a Public-Private Collaboration in Cyber Security


“… We've got to get people that are at the C-suite boardroom level [and the] same position in the federal government, who understand enough about cyber security and enough about business so they can make the tough business tradeoffs that have to be made in order to make us more secure.”  
—Brett Williams, Major General USAF (Retired), On Meet the Press, July 12, 2015
 
 Keynote Speech: Brett Williams, Major General USAF (Retired) 
Former Director of Operations, US Cyber-Command and current President of Operations and Training Division of IronNet Cybersecurity, Inc.—a private cyber-security firm.

Panel Topics Include:
-Catching Up to the Curve: What is the current cyber-security landscape?  

-Public-Private Collaboration—How Is It Working Now? How are public and private institutions collaborating today?  

-Moving Forward—From Compliance to Protection In an ideal world, what would a large-scale collaboration between public institutions and private companies look like?
 
Date: Tuesday December 1st, 2015
Venue: DePaul Center, 1 E Jackson Blvd, Chicago, IL
Time: 8:30am to 3:45pm

Cocktail reception immediately following the conference

For more information and registration go to http://bit.ly/1QoTXxD

About the Arditti Center: 
The Department of Finance at DePaul University has established The Arditti Center for Risk Management to honor the lifetime achievements of Fred Arditti. The center commemorates his outstanding contributions to the theory and practice of risk management by coordinating activities that celebrate his life’s work.

The Arditti Center's mission is to promote excellence in the Education, Research and Practice of risk management.