Approximately five months ago I conducted a survey of newsletter subscribers and based on that feedback, implemented a number of changes. Specifically, since July I have been placing a much greater emphasis on VIX ETPs and volatility in general in the newsletter. I have also moved the publication date to Wednesdays from Sundays.
To set the context and provide some explanation for those changes, let me offer a brief bit of history.
Background
When I launched the newsletter, in March 2008, it was based on feedback from some readers who were interested in more details about my proprietary research and analysis on volatility and market sentiment. At the same time, another group of readers were more interested in hearing my general market commentary on a regular basis, as well as how I translated my views on the financial markets into specific trading opportunities. Initially I published two newsletters (research and analysis on Wednesdays and general market commentary and specific stock trading ideas on Sunday) and offered both newsletters bundled together as one subscription. While there was a peaceful coexistence of sorts, I felt a little as if I were making gelato on Wednesdays and cannoli on Sundays and while I liked idea of being an ice cream maker and a pastry chef at the same time, things occasionally got a little schizophrenic. As a result, I merged the two newsletters into one newsletter at the end of 2008.
Content Drift Due to New VIX Exchange-Traded Products
With the launch of the first VIX-based exchange-traded products in January 2009, I made a conscious decision to feature the new VIX products prominently. Initially the likes of VXX and VXZ had a mixed reception, but later these found a broad audience and spawned what is now a whole new asset class consisting of 31 volatility ETPs traded in the U.S. As the months have passed and trading volume in the VIX ETPs has risen, the newsletter focus has evolved from approximately 5% of the content related to VIX ETPs to close to 50%.
Reader Survey Results
A large part of the reason for an increased emphasis on VIX ETPs is due to reader feedback. At the beginning of the summer, I elected to survey subscribers to determine what their primary reasons were for subscribing to the newsletter, what content they enjoyed most and what changes they would like to see. The responses clustered around three main points. First and foremost, readers wanted more analysis of VIX ETPs, including trading ideas. Second, readers were interested in my analysis of volatility and more broadly in how that translated into trading opportunities. Third, quite a few readers expressed a desire to return to the Wednesday or “mid-week” publication schedule.
Changes to the Newsletter Implemented in July
As a result of the reader feedback, I made a number of changes in July. First, I changed the publication from Sundays to Wednesdays. Second, I added two new sections to the newsletter:
1) VIX Futures Term Structure – Includes a term structure graph for the current week and previous week, as well as some commentary about any unusual aspects of the term structure or recent changes in the term structure.
2) Trading Volatility – In this section I translate the VIX futures term structure into the relative attractiveness of various positions due to roll yield and the overall shape of the term structure. I also incorporate some analysis of VIX mean reversion and ultimate single out which VIX ETPs I believe are attractive longs and shorts in the current market environment, often incorporating ideas on how these might be traded with options and futures.
I also enhanced third volatility section, formerly known as Volatility Corner and now known as Volatility Overview. This section includes a table of 17 different volatility measures; my discussion and analysis of these volatility measures provides a lead in to the discussion of the VIX futures term structure and various VIX trading opportunities.
As the table below shows, the only section I dropped from the newsletter was the VIX and More Focus Model Portfolios. I also used this opportunity to fold The Week in Review and The Week Ahead into one larger Market Commentary section.
| Old VIX and More Newsletter | VIX and More Newsletter Since July |
| The Week in Review: What Moved the Markets | Market Commentary (includes a look back and a look ahead) |
| Market Commentary | |
| The Week Ahead: What to Look For | |
| Aggregate Market Sentiment Indicator (AMSI) | Aggregate Market Sentiment Indicator (AMSI) |
| Volatility Corner | Volatility Overview |
|
| VIX Futures Term Structure |
|
| Trading Volatility |
| Asset Class Outlook | Asset Class Outlook |
| Current Investment Thesis | Current Investment Thesis |
|
|
|
| The Stock of the Week | The Stock of the Week |
EVALS Relaunched, Now Focusing on VIX ETPs
The final change that came from the reader survey was a relaunch of EVALS (ETP Volatility Analysis Long/Short) two weeks ago. Whereas the prior incarnations of the newsletter and EVALS were completely independent of each other, now EVALS, which is a model portfolio consisting almost entirely of VIX ETPs, is a tightly linked complement to the newsletter and specifically extends the analysis of Volatility Overview, VIX Futures Term Structure and Trading Volatility to an actively-traded model portfolio.
Conclusion
For those who find my summary of the changes less than crystal clear, the good news is that I continue to offer a 14-day free trial (see top of right column) to the subscriber newsletter for all new subscribers.
Disclosure(s): long XIV and short VXX at time of writing
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