Buying protection in the market. What do you trade/own?

Careful. It's a note and based on CS' credit risk. It has had, and will likely have reverse splits. The NAV tends to get eaten up on these types of etn's. It is designed for day trading, and likely that is disclosed in its prospectus. It really holds nothing. I don't think it even holds the underlying VIX future's contracts. If I had to guess, it has swaps. Maybe.

In effect you are loaning Credit Suisse money with no guaranteed return.

Not to say it can't be used for downward portfolio protection, but if you bought the shares with the intent of holding long term, there might be some surprises along the way.

My take is most investors would be better off figuring out how much of their portfolio they would like to insure, and buying VIX (equity market side) calls. Another line of thinking promotes buying puts on broad indexes.

Now I do agree with you 100% that one should insure their portfolio. How exactly to do this is open to debate, and there is some really good educational material on this topic. I also maintain that anyone involved in financial planning that doesn't encourage some type of portfolio risk management is maleficent.