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
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Copyright ©2016 Mark Shore. Contact Mark Shore for permission for republication at firstname.lastname@example.org 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.