**AMSI**– Aggregate Market Sentiment Indicator: a

*VIX and More*proprietary sentiment indicator that incorporates components of volatility, put to call data, market breadth, volume and other factors

Aggressive Trader Model Portfolio – a a mechanical, long-only, aggressive growth portfolio of 5 stocks that was launched on 3/30/08 and is evaluated for rebalancing every weekend. The portfolio is typically 100% invested in U.S. equities and ADRs. It is non-diversified and has extremely high turnover, generally >1000% per year.

**backwardation**– a downward sloping term structure curve in a futures product (e.g., VXX, VXZ) in which front month futures are priced higher than back month futures

**contango**– an upward sloping term structure curve in a futures product (e.g., VIX, crude oil, natural gas, etc.) in which front month futures are priced lower than back month futures

**Contango Index**– a

*VIX and More*proprietary index that evaluates the degree of

*negative*roll yield across all outstanding VIX futures contracts on a scale of 0-100. A high number means a high degree of negative roll yield across the full term structure and a low number means a positive roll yield across the full term structure. A value of 50 is a considered the median reading and actually indicates some small amount of negative roll yield, as the full VIX term structure is typically in contango.

**CVOL**– ticker for the C-Tracks ETN on CVOL, which targets VIX futures with three to four months of maturity, utilizes 2x leverage, and also includes a dynamic short position in the S&P 500 index

**DJIA**– ticker/abbreviation for the Dow Jones Industrial Average: the U.S. equity index that is most widely tracked by the media and the general public

**EAFE**– the MSCI EAFE Index of developed countries from

**E**urope

**A**ustralasia and the

**F**ar

**E**ast (excludes the U.S. and Canada) and basis for the popular

**EFA**ETF

**EEM**– ticker for an ETF that tracks the MSCI Emerging Markets Index

**EFA**– ticker for an ETF that tracks the MSCI EAFE Index of developed countries from

**E**urope

**A**ustralasia and the

**F**ar

**E**ast, which excludes stocks from the U.S. and Canada

**EMA**– exponential moving average: applies an exponential weighting so that most recent data points in a series are given greater weight in the calculation of a moving average

**ETF**– exchange-traded fund: a group of stocks that often resemble a mutual fund in composition, but can be traded much like a stock during the trading day

**ETN**– exchange-traded note: similar in most respects to an ETF, except that ETNs are technically a debt security of the issuer

**ETP**– exchange-traded product: in an effort to simplify nomenclature and gloss over the distinctions between ETFs and ETNs, I am using the ETP name to describe a superset of exchange-traded products consisting of both ETFs and ETNs

**FOMC**– Federal Open Market Committee: plays a lead role in establishing U.S. monetary policy by setting target Fed Funds rates

Focus Foreign Growth Model Portfolio – a mechanical, long-only, aggressive growth portfolio of 5 stocks that was launched on 3/30/08 and is evaluated for rebalancing every weekend. The portfolio is typically 100% invested in ADRs. It is non-diversified and has high turnover, generally >1000% per year.

Focus Growth 2 Model Portfolio – a mechanical, long-only, aggressive growth portfolio of 5 stocks that was launched on 8/31/08 and is evaluated for rebalancing every weekend. The portfolio is typically 100% invested in U.S. equities and ADRs. It is non-diversified and has high turnover, generally >500% per year.

**GVIX**– Global Volatility Index: a

*VIX and More*proprietary index which is derived from a weighted average of the implied volatility in options for equities in the 15 largest global economies

**HV**– historical volatility: a measure of actual volatility in the price of security over a specified period of time, typically calculated in terms of standard deviations from the mean of a data series

**IV**– implied volatility: a measure of estimated future volatility in the price of a security as derived from options prices

**LW**– last week

**McClellan Summation Index**– A running total of the difference between the 19-day and 39-day exponential moving averages of the net difference between the NYSE advancing issues minus declining issues (more)

**Mean Reversion Index**– a

*VIX and More*proprietary index that Evaluates the likelihood that the VIX will

*decline*due to the effect of mean reversion on a scale of 0-100. The calculations in this index incorporate short-term, medium-term and long-term VIX moving averages in order to handicap the likelihood that the current level of the VIX will return to a prior trading range. A high number means that the VIX is above most or all of its moving averages and is expected to decline going forward; a low number means that the VIX is below most or all of its moving averages and is likely to rise going forward.

**NDX**– ticker/abbreviation for the NASDAQ-100 Index: an index of the largest domestic and international non-financial securities listed on The NASDAQ based on market capitalization

Retro VIX – calculates a backward-looking "VIX" based on realized volatility in the SPX over the course of the last 21 trading sessions

**Roll Yield Index -**a

*VIX and More*proprietary index that Evaluates the degree of

*negative*roll yield between the front month VIX futures and the second month VIX futures on a scale of 0-100. A high number means a high degree of negative roll yield (second month much higher than front month) and a low number means a positive roll yield (second month lower than front month.) A value of 50 is a considered the median reading and actually indicates some small amount of negative roll yield, as these two months are typically in contango.

**RUT**– ticker/abbreviation for the Russell 2000 Index: measures the performance of the small-cap segment of the U.S. equity universe

**SMA**– simple moving average: unweighted mean of a data series

**SOTW**– stock of the week

**SPX**– ticker/abbreviation for the Standard and Poor’s (S&P) 500 Index: de facto standard of U.S. equity indices for investors

**SPX hv20**– the 20-day historical (aka statistical, realized or actual) volatility for the SPX

**USO**– ticker for the U.S. Oil Fund, an ETF that tracks the movements of light, sweet crude oil, a.k.a. West Texas Intermediate

**VIX Futures Contango Index**

*[often shortened to*– a

**Contango Index**]*VIX and More*proprietary index that evaluates the degree of

*negative*roll yield across all outstanding VIX futures contracts on a scale of 0-100. A high number means a high degree of negative roll yield across the full term structure and a low number means a positive roll yield across the full term structure. A value of 50 is a considered the median reading and actually indicates some small amount of negative roll yield, as the full VIX term structure is typically in contango.

**VIX sma10**– a 10-day simple moving average for the VIX (CBOE Volatility Index), which measures the expected 30 day volatility that is implied by options in the SPX

**volatility crush**– a dramatic decrease in implied volatility, often associated with the passing of a major news events such as earnings or an FDA decision on a drug application

**vs. 10d/20d/50d/200d**– current price relative to 10/20/50/200 day simple moving average

**vs. LW**– percentage change since last week (for non-holiday weeks, this is equal to current price relative to the 5 day simple moving average)

**VXV**– ticker for the CBOE S&P 500 3-Month Volatility Index, which measures the expected 93 day volatility that is implied by options in the SPX

**VXX**– ticker for the iPath S&P 500 VIX Short-Term Futures ETN, which targets VIX futures with one month to maturity

**VXX roll yield**– net differential between VIX front month futures and VIX second month futures

**VXZ**– ticker for the iPath S&P 500 VIX Mid-Term Futures ETN, which targets VIX futures with five months to maturity

**XHB**– ticker for the homebuilders sector SPDR, an ETF

+XIV Index

+XIV Index

**– a**

*VIX and More*proprietary index that is a composite index which incorporates a dynamic weighted average of the

*Roll Yield Index*, the

*Contango Index*and the

*Mean Reversion Index*in an effort to determine the attractiveness of a long XIV and/or short VXX position from a risk-reward perspective. The weights change each week, but generally the

*Roll Yield Index*has the highest weighting, followed by the

*Mean Reversion Index*and the

*Contango Index*. While the index has theoretical values of 0-100, most readings cluster around the 40-60 range. Additionally, while 50 is considered a median reading, note that this should be interpreted as a long XIV and/or short VXX position as having ‘median attractiveness.’

**XLF**– ticker for the financial sector SPDR, an ETF

**XLY**– ticker for the consumer discretionary sector SPDR, an ETF

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