- 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?
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Copyright ©2016 Mark Shore. Contact Mark Shore for permission for republication at email@example.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.
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