ProShares Ultra ETFs Benefit From Market Volatility

Tags: Leveraged
3 Feb 12:55pm
Posted by mjbommar
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As volatility has increased over the past months, the ProShares Ultra ETFs have seen a dramatic increase in average dollar liquidity.  There are exactly 50 of these leveraged instruments at the moment, and they are listed below, sorted by age.

ETF Age (sessions)
ProShares Ultra Dow30 407
ProShares Ultra MidCap400 407
ProShares Ultra S&P500 407
ProShares Ultra QQQ 406
ProShares UltraShort Dow30 392
ProShares UltraShort MidCap400 392
ProShares UltraShort QQQ 392
ProShares UltraShort S&P500 392
ProShares Ultra SmallCap600 258
ProShares UltraShort SmallCap600 258
ProShares UltraShort Russell2000 258
ProShares Ultra Russell2000 258
ProShares Ultra Oil & Gas 253
ProShares UltraShort Oil & Gas 253
ProShares Ultra Technology 253
ProShares UltraShort Health Care 253
ProShares Ultra Health Care 253
ProShares UltraShort Industrials 253
ProShares UltraShort Financials 253
ProShares UltraShort Real Estate 253
ProShares UltraShort Semiconductors 253
ProShares UltraShort Consumer Goods 253
ProShares Ultra Consumer Goods 253
ProShares Ultra Utilities 253
ProShares Ultra Semiconductors 253
ProShares Ultra Financials 253
ProShares UltraShort Technology 252
ProShares UltraShort Consumer Services 252
ProShares UltraShort Basic Materials 252
ProShares Ultra Consumer Services 252
ProShares Ultra Real Estate 252
ProShares Ultra Industrials 252
ProShares Ultra Russell1000 Growth 239
ProShares Ultra Russell2000 Growth 239
ProShares Ultra Russell MidCap Growth 239
ProShares UltraShort Utilities 225
ProShares UltraShort Russell1000 Value 208
ProShares UltraShort Russell MidCap Growth 201
ProShares UltraShort Russell2000 Value 201
ProShares UltraShort Russell MidCap Value 201
ProShares UltraShort Russell2000 Growth 201
ProShares Ultra Russell1000 Value 201
ProShares Ultra Russell2000 Value 201
ProShares Ultra Russell MidCap Value 201
ProShares Ultra Basic Materials 201
ProShares UltraShort Russell1000 Growth 198
ProShares UltraShort MSCI EAFE 68
ProShares UltraShort MSCI Emerging Market 63
ProShares UltraShort MSCI Japan 58
ProShares UltraShort FTSE/Xinhua China 58

I've taken the product of the close and the volume for the 46 funds that have traded at least 150 sessions and averaged their daily cross-section.  The following is a chart of this average dollar liquidity over the past  150 sessions in blue, with a 20-session moving average in red.  The trend quite clearly indicates that not all market volatility is bad for ETFs.

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About

mjbommar

Michael J Bommarito II is a third-year undergraduate at the University of Michigan majoring in math with a focus on finance. He intends to complete his bachelors and obtain a masters in a financial engineering program, thereafter seeking employment in the applied financial community. Until free from school, he enjoys being a part of the investment community by freely publishing quantitatively-oriented analysis and commentary on his site, ETF Central.

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