Monday, January 16, 2012

Navigating VIX and More by the Labels

Saturday’s Five Years of VIX and More received enough broad-based interest that apparently attracted quite a few new readers. Several of these new arrivals have asked me for some assistance in finding their way around the blog; and rather than continuing to respond individually, I thought making some of my thoughts public might provide assistance to a wider audience, both new and old.

First things first, if you arrived on the blog looking for information on a specific topic, the best place to start is with the Google custom search feature, which is in the right hand column of the blog, a box under which carries the label “Search the VIX and More blog” and lies just above the orange RSS feed icon.

According to Blogger, this is post #1483. If Google turns out to be too cumbersome of a way to find what you are looking for, labels may be a better and more targeted way to go. It turns out that I have applied 1065 different labels to these posts. The list of labels which I have associated with each post can be found at the very bottom of each post and serve as hyperlink filters that automatically pull up all posts which have been tagged with the same label. The labels include almost every ticker that has ever appeared on the blog, keywords, phrases and some general reference labels, such as hall of fame , archival, educational, lighter side, etc. I do my best to capture some of the recurring themes that run through the blog, but the labels are somewhat arbitrarily assigned by me and I must confess that there are times when I probably forget to use important labels or retroactively tag posts that are ideally suited for new labels.

Today I took the opportunity to examine the frequency of all the labels I have ever used on the blog. Topping the list was Chart of the Week, which refers to a feature I rolled out in November 2008 to help make sense of all the chaos of the times. This was a weekly feature through the end of 2010 and was phased out in the beginning of 2011. Now that I am increasing the frequency of my posting, I suspect I will bring back the Chart of the Week in short order.

Second on the list of most frequently used labels is VIX futures. This should come as no surprise to regular readers of the blog, as VIX futures are the foundation for understanding the entire VIX product space, including VIX options and VIX exchange-traded products.

In the third spot is VXX, which is the top ticker on the blog. Quite a few readers of this blog are VXX and volatility specialists and I take a great deal of pride in being the first destination site for that product and arguably still the best reference available for the broader list of VIX ETPs.

Scrolling down the list of labels, #4 is VIX spikes, one of my favorite subjects when it comes to trading the VIX. At #5 is VWSI, also known as the VIX Weekly Sentiment Indicator, which is the precursor to the Aggregated Market Sentiment Index (AMSI) that is featured exclusively in the VIX and More newsletter.

Looking farther down the list implied volatility comes in at #6 and historical volatility comes in at #10. This is not a big surprise, but it leads me to believe that I probably pay more attention to HV than most other traders – or at least than those who blog about the subject.

Just outside the top ten, the top index in the labels is the ISEE, a call to put ratio that is published by the ISE. The ISEE is also a component of the AMSI. It is something have not blogged about in a while – and I will be sure to remedy this soon.

Of the many ratios I track, the one with the most mentions on the blog is VIX:VXV, which was nearly flawless as a market indicator during its first 18 months following the launch of VXV, then struggled with some of the volatility idiosyncrasies that crept into the markets following the March 2009 bottom.

Also worth nothing is the top country, China, and the top options position, the strangle. China comes as no surprise, but the strangle does, as I consider myself more of a straddle guy than a strangle guy. My guess is that the ranking of options trades is somewhat distorted by that fact that when I translate some of my trading ideas for the benefit of others, I often make the trade idea a more simple or conservative one, such as substituting a strangle for a straddle.

Finally, there were three particular ‘blast from the past’ labels that remain among the all-time most used labels. These harken back to earlier incarnations and attitudes here, as well as a wider-ranging sense of subject matter:

  1. links – before Tadas Viskanta at Abnormal Returns and Charles Kirk at The Kirk Report created a near monopoly on link collections, many bloggers had their own link fests. Mine were heavy on volatility, ran from 2007-2009 and provide for an interesting historical perspective on what people were thinking about with respect to volatility and risk before, during and after the 2008 crisis
  2. wine pairing – imagine my surprise when I discovered that more posts were tagged with the ‘wine pairing’ label than with China, European sovereign debt crisis, VXV, VXN, etc. There was a time when a reader wondered aloud, mostly in jest, I’m sure, about how I might pair wines with the various VIX Weekly Sentiment Indicator readings. Never one to back away from a creative challenge, I jumped right in…
  3. CNBC Million Dollar Portfolio Challenge – I have no idea how many times CNBC has tried this contest, but I’m fairly sure the March-May 2007 version I participated in was the first one. I was new to blogging when I started posting about this, but I was surprised by how many people took some vicarious pleasure in my plight and also wanted more details about my approach in order to help them find the most volatile stocks and increase their chances of landing at the top of the charts. My rise was meteoric, but I risked it all in going for the win and fell back to earth just like Icarus.

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Disclosure(s): short VXX at time of writing

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