THE DATA IS THE NEWS

ETFs

  • ETFsS3 Research

    Don’t Expect a Market Wide Short Squeeze

    by Ihor Dusaniwsky

    The U.S. market has rallied over the last month with the S&P 500 up +5.6%, the Nasdaq up +9.8%  and the Russell 3000 up +6.7%. Total domestic equity short interest has fallen in response to this broad rally by -$10.27 billion. But has this been a short squeeze, or just the normal ebb and flow of short selling and reallocation that we normally see in the market?

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  • ETFsS3 Research

    S3 Analytics: ETF Short Selling Recap

    by Ihor Dusaniwsky

    Our Black App and Blacklight SaaS Platform follows almost three thousand domestically traded ETFs with short interest activity with a total short interest of $168.2 billion. The Average Short Interest % Float of these securities is 24.61% with an average stock borrow fee of 0.63%. While over the last 30 days we have seen a total of $6.80 billion in short covering, over the last week we have seen short sellers increasing their short ETF positions by $510 million.

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  • ETFsS3 Research

    ETF Short Selling Recap

    by Ihor Dusaniwsky

    Our Black App and Blacklight SaaS Platform follows almost three thousand domestically traded ETFs with short interest activity with a total short interest of $168.2 billion. The Average Short Interest % Float of these securities is 25.37% with an average stock borrow fee of 0.63%. While over the last 30 days we have seen a total of $18.01 billion in short covering, recently we have seen short sellers increasing their short ETF positions with $1.39 billion of new short selling.

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  • EnergyETFsS3 Research

    Buffett Crashes the U.S. Airline Sector

    by Ihor Dusaniwsky

    This weekend Berkshire Hathaway’s Warren Buffet sold his stake in his four airline holdings, United (UAL), American (AAL), Delta (DAL) and Southwest (LUV) that he initiated in 2016 at a loss. He stated that the industry “changed in a very major way” and “the future is much less clear to me.” The sector is down -4.75% for the day on the news.

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  • ETFsS3 Research

    Fed Buying Corp Bond ETFs Affects the Shorts

    by Ihor Dusaniwsky

    The Fed recently issued a press release stating that it would increase its Secondary Market Corporate Credit Facilities to not only purchase corporate debt  on the secondary markets, but also ETFs. Another important change to its original capabilities is that the SMCCF is now allowed to purchase corporate debt that has been downgraded to “junk status” after March 22nd (fallen angels) in addition to investment grade corporate bonds and ETFs with over 50% of its assets allocated to corporate debt.

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  • 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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