Here are the ten ETFs with the largest volume spikes for the week ending April 24, 2009. We calculate this by looking at the five-day average volume versus the 50-day average volume.
We exclude ETFs and ETNs that did not have an Average Daily Value Traded (ADVT) of at least $1 million for the past 21 market days. We look only at those products in the upper ETF Liquidity Tiers, which represents approximately 45% of the universe of US-listed ETFs and ETNs. This step eliminates many of the peculiarities associated with low volume securities.
Currently the list contains a large proportion of small cap and mid cap ETFs. Of the 389 ETFs and ETNs that passed the ADVT screen, 171 (44%) had a volume increase this week.
|DSG||SPDR DJ Wilshire Small Cap Growth||0.7%||436%|
|RFG||Rydex S&P Midcap 400 Pure Growth||-0.9%||361%|
|JKJ||iShares Morningstar Small Core||1.3%||336%|
|JKI||iShares Morningstar Mid Value||0.3%||321%|
|JKL||iShares Morningstar Small Value||0.4%||269%|
|TOK||iShares MSCI Kokusai Index Fund||0.0%||259%|
|FAZ||Direxion Daily Financial Bear 3x Shares||-7.0%||246%|
|NYC||iShares NYSE Composite Index Fund||-0.5%||223%|
|SEF||ProShares Short Financials||-0.5%||200%|
|PRFE||PowerShares FTSE RAFI Energy||1.2%||173%|
Disclosure: no positions