Five Years of VIX and More

One week ago marked five years since my first post at VIX and More. Since this anniversary fell just after my Top Posts of 2011 entry, it seemed like another retrospective look at the blog might be one too many. After a week of reflection I am now convinced that The 1000^th Post is probably best left unchallenged (for now at least) as my definitive history of the ideas represented on this blog and a good reference for relatively new readers. Another link worth highlighting is the hopefully self-explanatory The Post of the Month: An Informal History of VIX and More. Last but not least, for those interested in the best of the archives, those few posts with the hall of fame label are among my personal favorites.

In order to mark the five-year anniversary, I have elected to highlight the ten most-read posts on the blog since its inception, with some commentary about each post.

1. Ten Things Everyone Should Know About the VIX – If there is one post on this blog that everyone could benefit from – and new readers might wish to start with – this is the one. I last updated the contents of this post in 2010 and I will be sure to revise it again in the near future.
   
2. How to Trade the VIX – This is a fairly basic explanation about how to trade the VIX that probably benefits from having a title that positions it well for Google searches. There are a number of related posts about how to trade the VIX (some of which are links in the original), but here is a case where I should also have an updated look at the subject, with some more comprehensive information.
   
3. VXX Calculations, VIX Futures and Time Decay – I find it interesting that a post which was unable to crack the top ten in the year it was written (2009) is now in the top three of all time. I believe this was the first explanation anywhere went into the details of the VIX futures roll yield and the math involved persistent contango and the resulting price decay in VXX. As so many traders have taken up the cause in trading VXX and related products, this post has become an invaluable educational resource and is frequently linked to almost three years later.
   
4. Why VXX Is Not a Good Short-Term or Long-Term Play – Written several months after the post above, this extended some of the ideas that I had fleshed out earlier in a manner that investors have found helpful regardless of the time frame in which they are trading.
   
5. Prediction: Direxion Triple ETFs Will Revolutionize Day Trading – One thing I tried to do when I started this blog was to focus on educational material instead about talking about my trades or what I was expecting from the markets. Every once in a while, however, there were some things that I saw as very likely to happen that cut against traditional thinking. This triple ETF call was one of those and also helped to attract attention to these new products.
   
6. Chart of the Week: Might Recent Volume Bottom Doom Stocks? – I was surprised to see this post on the last as the analysis is probably not among my best thinking. What I believed happened was that at the time this was written, investors had become concerned that stocks had rallied too sharply off of their March 2009 lows and were likely to run out of steam soon. As it turns out, stock sold off for about two weeks after this post, falling back to SPX 869, then resumed their bullish momentum.
   
7. What Is High Implied Volatility? – This post from 2008 helped to explain several different ways of evaluating implied volatility relative to various benchmarks, at a time when investors were becoming increasingly concerned about volatility. Questions about implied volatility continue to be big issues for new options traders.
   
8. SPX 15% Over 200 Day Moving Average for First Time in Ten Years – While I will probably never get a job writing headlines for the New York Post, every once in a while my research and analysis uncovers something that has widespread appeal and a catchy enough headline to attract a lot of attention. While this headline and the accompanying graphic sound ominous, stocks shook off the bearish warning and continued to rally.
   
9. Rule of 16 and VIX of 40 – When people try to explain to me why they like the blog, what usually comes out is some sort of variation of, “You make very technical material easy to understand.” This post is probably one of the better examples of this. Many people struggle with some of the math associated with the VIX and having read this, I know the lights have gone for a number of investors.
   
10. Lost in Translation: VXX and VXZ – This post preceded #3 and #4 on this list and  was probably the first piece published anywhere that talked about the beta of VIX, VXX and VXZ relative to SPX. Most investors had not figured out what to expect with VXX and VXZ in terms of VIX moves back in April 2009 – and quite a few still struggle with this issue to this day.

Finally, one recent development worth noting is the re-launch of EVALS (ETP Volatility Analysis Long-Short) in November. EVALS is now focusing on VIX-based ETPs and this has created some confusion from readers about what content is on the blog, what is in the newsletter and what is in EVALS. For this reason, I have created a content pyramid below which should help to differentiate between what can be found where. Of course the blog is free to all, while the newsletter and EVALS are available only to subscribers.

Related posts:

• The 1000^th Post
• The Post of the Month: An Informal History of VIX and More
• Top Posts of 2011
• Top Posts of 2010
• Top Posts of 2009
• Top Posts of 2008
• One Year Blogiversary! (includes top 25 posts of 2007)
  

Disclosure(s): short VXX at time of writing

Milestones Past, Present and Future

Several different milestones seem to be converging in time at the moment and I thought this would be a good opportunity to acknowledge them.

Last month the blog recorded hit number 2,000,000. While I wasn’t there to record the event as it happened, looking at Google Analytics, there is a pretty good chance it involved someone surfing in to get some information on VXX. Whoever it was, thanks for dropping by and I hope you found what you were looking for.

Some time earlier today I accumulated my 3000^th follower on Twitter. My enthusiasm for Twitter has spiked up and down over the years, but I have settled comfortably into using Twitter to flag posts of interest around the blogosphere; highlight breaking news of particular interest; comment on the VIX and VXX, as well as related options, futures and ETFs; make occasional intraday market calls; and indicate whenever I have something new posted on the blog. I try to keep my comments to only a couple per day so as not to create visual gridlock. Readers can follow me at http://twitter.com/VIXandMore.

Looking ahead, sometime in the next month or two I will have 500 posts up and 1000 followers on Seeking Alpha. I mention this because Seeking Alpha has recently expanded their functionality and I am now utilizing their private email to respond to reader questions and have also begun to respond to comments posted their on my articles. Looking ahead, Seeking Alpha in the process of adding some investing apps and I hope to review some of my favorite in the next few weeks. For those who are interested, my Seeking Alpha posts can be picked up at http://seekingalpha.com/author/bill-luby.

Thanks for all who have contributed to the dialogue here, both in public and behind the scenes.

Related posts:

• The 1000^th Post
• VIX and More 2009 Year in Review
• On Twitter
• Two Year Blogiversary
• Odometer Turns Over
• One Year Blogiversary!
• Converging Milestones

Disclosure(s): none

Bloomberg TV, TiVo and the SPX

I had an interesting sequence of events happen to me today. I’m not sure they mean anything, but I thought I’d pass them along for posterity and the remote possibility that it may be of service to someone else further on down the line.

While I am decidedly not a chat room person, in the heat of today’s trading boredom, I decided to drop in the Market Rewind chat room, which is hosted daily by Jeff Pietsch of Market Rewind.

I couldn’t have been in the chat room for more than a minute or two when someone blurted out that I was “just on Bloomberg.” I assumed he meant some sort of mention in an article on Bloomberg.com, but it turns out he was referring to Bloomberg TV. Now I know I had not been out of the house all morning and had not even been on the phone, so this made me fairly curious. When I was unable to pull up anything on the Bloomberg TV web site, it occurred to me that the previous night I might have flipped on Bloomberg Asia before going to sleep. While I don’t know all the nuances of TiVo, I do know that even if you turn of the television, the last half hour or so of programming for whatever station you were watching is stored in a buffer. Perhaps my wife had not turned on the TV and changed the channel today…

So, I dashed upstairs and sure enough, found that Brennan Lothery had mentioned VIX and More as well as the newsletter in a short segment about the possibility of a correction in stocks. Specifically, Lothery picked up on the theme of Monday’s post, SPX 15% Over 200 Day Moving Average for First Time in Ten Years and used a recent chart of the SPX and the 200 day simple moving average to highlight the widening gap between the two.

To the best of my knowledge, this is the first time any VIX and More analysis has been referenced on any of the major financial television stations.

Adam at Daily Options Report noted how the multiple attributions and very positive tone of the Bloomberg segment was in sharp contrast to the almost comically confrontational approach CNBC has taken to bloggers.

While I am pleased to receive the recognition, I find it surreal that I would never have happened upon this without the following very unlikely events falling into place:

1. I decided to wander into a stock chat room for probably the second time in my life
2. I just happened to have Bloomberg TV as the last station I watched out of the 900+ DirecTV channels
3. my wife was occupied all morning and unable to change the TV station
   

Finally, I am left with the thought that it is indeed possible to trap serendipity in today’s electronic fishing net, particularly if you have TiVo and can make a good guess at which channel might snare what you are looking for.

The 1000th Post

If Blogger’s math is to be believed, this is my millennial post. I had originally intended to roll this post out with limited fanfare, but a strange confluence of events has caused me to reconsider. First, over the weekend, the blog received substantial accolades from Barron’s options columnist Steven Sears in For the Markets, How Tweet It Is. Today, the Wall Street Journal’s MarketBeat columnist Matt Phillips referred to the “VIX-obsessed blog VIX and More” in his Ugly Start of Week for Stocks as Oil Drops, VIX Jumps.

So today I have decided to (briefly) discuss a little bit of the origins and evolution of the blog and to help point the many new readers to some of the highlights from the first 1000 posts.

A Non-Volatile Birth

The story begins in December 2006, with the VIX hovering around 10.00. At the time, I was looking for an online location to serve as a searchable repository for some of my research on the VIX. After sampling some online message boards and determining these were too unwieldy, I decided to try blogging. In the first week of January, I determined Blogger was the easiest way to take the plunge. The VIX handle had already been claimed by another blogger and I figured I didn’t want to box myself into such a narrow subject area anyway, so I settled on the “and More” escape hatch and plunged in with VIX and More: An Introduction. With the VIX barely out of single digits and left for dead by most, I did not expect to see much in the way of traffic, but after a couple of weeks, a few hearty souls started dropping in. To highlight the absurdity of devoting a blog entirely to the VIX, I added the tagline, “Your one-stop VIX-centric view of the universe…” and hoped that the ellipses would be a signal to readers that everything was tongue in cheek.

For some additional context and to underscore the absurdity of the venture, at the time I was trading almost 100% stocks – very few options – and did not include the VIX in my stable of indicators. I did, however, have a strong belief that most of what we learn comes from getting out of our comfort zones, so I embraced this electronic journey as a potential learning opportunity.

Toward the end of February, when some asked what I wanted for my birthday, I joked, “A 20% spike in the VIX, of course.” Well I got a record 64% spike for my birthday and quite a few curious souls who showed up wondering what it all meant. The joke, it turns out, was on me.

By the time Bear Stearns collapsed and the sub-prime meltdown had transformed into a full-blown financial crisis, I discovered that I was probably the only person who had been thinking about and writing about the VIX and volatility almost every day for two years. What started out as a lark has become a serious venture, quoted in such publications as the Wall Street Journal, Financial Times, Barron’s, Globe and Mail, etc.

Blog Highlights to Date…

My hope has always been that this blog can be both serious and fun. It seems like only yesterday that a reader asked for wine pairings with my VIX Weekly Sentiment Indicator and I was glad to oblige. Recently, I decided to tag a select group of posts with the “lighter side” label to demonstrate that the fear indicator can indeed coexist with an occasional attempt at humor.

For some of the most widely read posts, readers can check out the most read posts of 2007 as well as their 2008 counterparts. I will also have the first installment of the top posts of 2009 ready after the first half of the year and I have begun to flag a handful of posts for which I have received the most positive feedback with a hall of fame label.

Finally, those who are relatively new to the VIX and volatility are encouraged to check out posts I have tagged with the educational label or skip directly to the one post everyone should read, Ten Things Everyone Should Know About the VIX.

Innovations

I am particularly pleased by a number of ideas that were born on this blog. These include the VIX:VXV ratio, VIX macro cycles, the Global Volatility Index, fearograms, an options opportunity matrix, “event volatility” vs. “structural volatility”, a conceptual framework for volatility events, the ratio of the VIX to the yield on 3-month T-bills, and even some semi-serious ideas, such as the LEHVIX and the OHFdex (Overripe High Fliers Index).

More Education Than Market Calls

The intent of this blog has always been to stimulate new ideas and make better fishermen out of all of us, as I strongly believe that ultimately we are all self-coached. Occasionally, however, I have not been able to resist making some market calls – and I have had the good fortune to nail several of them. When I make calls, I usually do so to be provocative and because my thinking is clearly contrarian. When to Short China? is one of my most popular posts of all-time, as is Prediction: Direxion Triple ETFs Will Revolutionize Day Trading. In retrospect, these look like no brainers, but at the time, they cut sharply against the grain.

More often than not, I call things early, but close enough. A recent example was calling a bottom on March 5^th – one day early and 21 points too high.

Moving Forward

I am not sure what the future will bring in this space. Some 2 ½ years after diving in I now believe that my analysis of volatility and market sentiment provide me with the bulk of my edge and I find that most of my trades involve options on ETFs, yet I still intend to keep my trading and the blog largely separate. I have a passion for education, market sentiment and options and I think there is a lot of work to be done in terms of elevating the discussion in these areas.

I have also enjoyed seeing the chart of the week become a regular feature and clearly take pleasure in putting together some strange and unusual charts. I expect there will be more wacky charts in the future as well as more synthesis of charts, market sentiment and fundamentals.

The blog has already spawned a subscriber newsletter and a nearly complete manuscript for a book (Trading with the VIX, to be published by Wiley & Sons). I certainly would not have predicted either of these developments and I am keeping an open mind about the future.

Thanks to all who have helped to make this blog possible and have shared their ideas along the way. In the end, it is my firm belief that investing does not have to be a zero-sum game, particularly if the scorecard acknowledges some non-financial benefits.

Newsletter Celebrates One Year Anniversary, Joins Forces with Market Rewind and Quantifiable Edges

Just about this time a year ago, many of us were finally starting to exhale in the wake of the Bear Stearns debacle. Surveying the investment landscape, I thought it might be an interesting time to try my hand at a subscriber newsletter. Little did I know just how interesting this first year would turn out to be.

Looking back, I am quite pleased with how the newsletter has evolved. It incorporates a much broader range of subjects, including global and macroeconomic themes, than generally appear on the blog. It has also provided me with a forum to talk about several proprietary volatility and market sentiment indicators, give my outlook for a variety of asset classes and even share my thinking about specific trades.

The newsletter now has nine sections that appear each week and has been molded into a format that is well-suited to recapping and analyzing the previous week as well as planning and strategizing for the week ahead. Those who are interested in learning more or who wish to take advantage of the 14 day free trial offer can get all the details at the VIX and More Subscriber Newsletter Blog.

Also, in conjunction with the one year anniversary, I am pleased to announce that I have joined forces with esteemed bloggers Jeff Pietsch of Market Rewind and Rob Hanna of Quantifiable Edges to offer a Blogger Triple Play. This bundled offer includes subscriptions from Jeff’s ETF Rewind Pro, Rob’s Quantifiable Edges Silver Membership, and the VIX and More subscriber newsletter at an annual subscription rate of $725, which is $240 (25%) off of the combined monthly subscription prices of the three services if they had been purchased individually. For more details, try Announcing Blogger Triple Play.

Looking ahead, I do not expect that the second year of the newsletter will see the VIX up over 80 again or have multiple days in which the SPX moves 10%, but whatever events do unfold, I will be there to put them in context and attempt to determine what some of the implications are from a trading perspective.

Thanks again to all who have encouraged and supported my efforts on the blog and in the subscriber newsletter.

Two Year Blogiversary

With all the excitement of the trading day, the VIX back up to 42.55 as I type this, and my share of technical issues (MyBlogLog, if would be nice if you could go back to tracking more than 20% of my traffic), I forgot that today is the two year anniversary of VIX and More.

Thanks to Adam Warner, Jim Kingsland, Barry Ritholtz and a host of others who offered their early encouragement back when I could count my visitors on my hands and toes.

For those who may be interested, the first post, VIX and More: An Introduction, still has some nuggets that are relevant for today’s market. My favorite post from that first month, however, is undoubtedly What My Dog Can Tell Us About Volatility.

Thanks to all who have made contributions of one kind or another to this effort over the course of the past two years.

Odometer Turns Over

I never intended for VIX and More to cover more than a small niche of the blogging universe, so when I saw the unique visitor counter hit another small milestone yesterday, I thought it would be an appropriate time to acknowledge those blogs who have referred the most visitors to this site.

Ranked in order of the number of referrals, I offer a heartfelt thanks to the following:

1. Daily Options Report
   
   
2. Abnormal Returns
   
   
3. The Kirk Report
   
   
4. Headline Charts
   
   
5. Chris Perruna
   
   
6. The Buttonwood Speculator (formerly The Kingsland Report – and it is active again)
   
   
7. Trader Feed
   
   
8. Slope of Hope
   
   
9. The dk Report (currently on a blogging sabbatical)
   
   
10. Afraid to Trade
    
    
11. A Dash of Insight
    
    
12. Trading Goddess
    
    
13. Condor Options
    
    
14. The Big Picture
    
    
15. The Global Liquidity Blog
    
    
16. Quantifiable Edges
    
    
17. The Shark Report
    
    
18. 1Option
    
    
19. Option Pundit
    
    
20. Random Roger

Thanks also to all the readers – no matter how you found your way here from all 145 countries – for all you have contributed to the VIX and More dialogue.

One Year Blogiversary!

Today marks exactly one year since I decided to launch VIX and More as a place to archive some of my thinking on volatility and the markets.

There have been times when I would have been better served to spend additional time and energy to do more research, analysis, system development, etc., but on balance, having a blog has been more fun than work and the exchange of ideas via comments and e-mail has had a positive impact on my trading.

Thanks to all who have contributed to this site by reading, commenting, and linking to some of what I have had to say. Particular thanks to those blogs who have sent the most traffic my way:

• Daily Options Report
• Abnormal Returns
• The dk Report
• Headline Charts
• Trading Goddess
• Chris Perruna
• The Kirk Report
• The Global Liquidity Blog
• TraderFeed
• The Big Picture

What have readers found most compelling on this site over the course of the past year? Of the 422 posts that 117,000+ unique visitors have had a chance to review during my first year, here are the top 25 most read posts:

1. A Sentiment Primer (Long)
2. Correlation Ideation
3. How to Find the Spiker Before the Earnings Announcement
4. BuyWrite Index as a Timing Tool?
5. Commercials Get Long the VIX in a Big Way
6. High Positive Correlation Between VIX and SPX Often Signals Market Weakness
7. When to Short China?
8. A Baker’s Dozen of Favorite Indicators
9. Waiting for Godot
10. A Dozen Things My Trading Accounts Are Thankful For This Year
11. What My Dog Can Tell Us About Volatility
12. Implied Volatility and Earnings Spikers
13. Drilling Down on Sector Performance
14. Brian Overby on Trading VIX Options
15. First Annual VIX and More Blog Disclaimer Awards
16. The McClellan Summation Index
17. Thinking About the VXV
18. The Incredible Shrinking VIX
19. Using the VIX as a Timing Tool for the SPY
20. VIX Price Movement Around FOMC Meetings
21. A Challenge to Two Things You Think You Know About the VIX
22. VIX March OTM Calls
23. What’s in the FXI?
24. The Promethian Trader
25. Greenspan and the China Bubble

Converging Milestones

After a little mini-vacation of sorts, I landed back in San Francisco just in time to miss Barry Bonds hit #756.

Now that I am back in my regular cockpit, I see that a couple of my own milestones are on deck.

The first of these is that according to Technorati, 98 blogs have linked to VIX and More in the seven months it has been up and running. Technorati's Authority number only looks back at a rolling six month period, so it may take a little longer for their official number to register triple digits, but I'll be counting down in the background with my own pro forma numbers.

The second milestone is the number of 'unique' visitors to the blog. There are many ways to count this and Sitemeter, whose widget I have on the blog, tends to be one of the more conservative visitor counters. Depending upon who is doing the counting, VIX and More has either recently surpassed 50,000 unique visitors or is just about to do so.

Finally, it is always nice to receive some subjective affirmation for some of the work I have put in and yesterday I received notice that VIX and More was ranked as one of the 'Top 100 Day Trading Blogs' at CurrencyTrading.net. While I do not consider myself to be a day trader, any list on which I appear sandwiched between Adam Warner and Pete Stolcers is going to put a smile on my face.

Thanks to all who have supported this blog and contributed to it in one way or another.