THE DATA IS THE NEWS

ETFs

  • ETFsS3 Research

    Weekly ETF Activity as of 3-25-20

    by Ihor Dusaniwsky

    ETF short trading activity can provide insight into regional, index, sector and product-type hedging and Alpha based investing behavior. We follow over 3,500 domestic ETFs with a total short interest of $164 billion in our Black App and Blacklight SaaS platform.

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  • ETFsS3 Research

    Post Feb 19 Short Activity

    by Ihor Dusaniwsky

    Overall domestic equity and ADR short interest has declined significantly, along with the markets, since February 19th. Total short interest has declined from $958.8 billion to $656.1 billion in just a month. Short interest has decreased by -32% as the S&P 500 and Nasdaq have declined by -29%.

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  • ETFsS3 Research

    ETF Borrow Costs Rising

    by Ihor Dusaniwsky

    Investors and portfolio managers who turned to derivative products, such as options and swaps, to try and hedge their long exposure have been shocked to see premiums explode as delta and gamma volatility surged. Many of these investors and portfolio managers turned to the ETF market in order to create hedges and Alpha plays in this volatile market. Unfortunately, as we were able to see in our S3 Black App screening tool, the cost to short ETFs has also increased significantly.

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  • Barclay’s iPath S&P 500 VIX Short Term ETN (VXX) and iPath S&P 500 VIX Medium Term ETN (VXZ) are scheduled to mature after a volatile 10 year run with a final redemption date of January 30, 2019. ETN’s differ from ETFs as they are basically debt instruments with set maturity dates when the instrument expires and its “principal” or NAV is redistributed back to the long note holders versus an ETF which is a portfolio of assets with no defined maturity date.

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  • ETFsSectors

    S3 Analytics: Bearish Long/Short October VIX ETF Activity

    by S3 Partners

    With the S&P 500 index down 8.76% in October we would expect the CBOE Volatility Index (VIX) to increase dramatically, and it didn’t disappoint, rising 75.17%.

    Trading in the “Fear Index,” which measures the implied volatility of near term S&P 500 option premiums, can be done via futures, options or ETPs. The most popular VIX ETP being the iPath S&P 500 VIX Short Term Futures ETN (VXX) with a market cap of $929 million and short interest of $1.62 billion.

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  • ETFsSectors

    S3 Analytics: Most Shorted ETFs had $21 Billion of October Short Selling

    by S3 Partners

    As markets and sectors declined, the use of ETFs as hedges increased substantially in October with ETF short interest increasing by $11.7 billion, to $176.5 billion, a 7.1% increase in size. There is a large concentration of short interest in a handful of ETFs, with the top twenty-five most shorted ETFs making up 75% of total short interest or $131.8 billion. Total short interest in these top twenty-five ETFs grew by $12.1 billion over the last month.

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