Retirement of the Twitter Sentiment Analysis Tool

While I find the information from the Twitter Sentiment Analysis tool to be interesting, it doesn't lead to any actionable trading in its current format.  Because of this I've decided to remove it from the site.

I will continue to track the sentiment data to see how it correlates with the price of VXX over a longer period of time to see if there is a more usable format, but I tend to think that the tool is better suited for gauging interest in individual stocks rather than ETPs.

As a final chart, below is a view of the daily net Twitter sentiment of VXX compared to the daily percent change of VXX over the past month.

Looking at the New VIX Futures Months After March Expiration

Today is the last day of trading for March 2013 VIX futures.  As discussed would happen in my week ahead post, March futures closed within about 3% of VIX.

Closing term structure:

Looking forward to tomorrow April currently sits at 15.4 and May at 16.25 resulting in a smaller contango spread of -0.85, which applies to XIV, VXX, and UVXY. With VIX at 14.39, April VIX futures are just 7% higher.

For those looking at trading ZIV, the contango spread between month 4 and month 7 will start narrower at -1.5 tomorrow.

Implied volatility has popped up a bit off of realized volatility, but with a volatility risk premium of 26% VIX pretty well priced once more. Here is the current chart from the VIX Futures Data page:

There was not much room to play in the intraday SPY arbitrage model today as the model stuck closely to the SPY.

And in case you missed it I posted about a new tool today to measure Twitter sentiment on VXX which was positive earlier in the day but is unsurprisingly heading toward 50/50 as VXX ended the day flat.

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.


UPDATE: 

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: