Using Twitter to Measure Sentiment on $VXX

I was chatting with a friend yesterday who is working on a project to scour the Twitter stream universe for data. I immediately started wondering what it might look like to use Twitter to measure conversations on trading of VIX-related products, so I started experimenting a bit.

The result of this work is now located on the Twitter Sentiment page. The graphs there provide a count of the public tweets about $VXX and $UVXY based on whether they have a positive or negative sentiment associated with them. 

Here is a screenshot:

With the downward bias of VXX I would normally expect sentiment on the this to be negative. But since VXX is experiencing a rare moment in the green today I suppose it makes sense that Twitter sentiment is positive.

While I was initially polling for tweets every minute I have scaled back to hourly intervals. I'll continue to keep an eye on this to gauge its usefulness.

As I continue to look through the data I thought it would be interesting to get a net value of positive tweets minus negative tweets.  After just this first day of data, it's interesting to see how net Twitter sentiment loosely matches direction of VXX during the day:

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