Top ETF Dollar Volumes Over the Past 50 Days

As we continue to hear of decreasing liquidity, especially in certain overstated concerns over ETF bid/ask spreads, I have calculated the top 50 funds for dollar liquidity. These figures are the average of the closing price times the volume over the past 50 days, and should represent those funds which provide the best liquidity for larger trading positions in the current market.

Symbol	Name	Mean M$/Day
SPY	SPDR S&P 500	32898.16
IWM	iShares Russell 2000	9430.28
QQQQ	PowerShares QQQ Trust	7009.31
DIA	DIAMONDS	2571.23
EEM	iShares MSCI Emerging Index Fund	2115.84
XLF	SPDR Select Sector Fund - Financial	2053.89
XLE	SPDR Select Sector Fund - Energy Select Sector	1736.51
OIH	HOLDRS Merrill Lynch Market Oil Service	1718.11
QID	ProShares UltraShort QQQ	1181.95
MDY	SPDR MidCap Trust Series I	1081.11
EWZ	iShares MSCI Brazil Index Fund	832.32
SDS	ProShares UltraShort S&P500	767.57
EFA	iShares MSCI EAFE Index Fund	605.76
IYR	iShares Dow Jones U.S. Real Estate Index Fund	592.99
RTH	HOLDRS Merrill Lynch Retail	532.52
SMH	HOLDRS Merrill Lynch Semiconductor	491.9
IVV	iShares S&P 500 Index Fund	473.68
FXI	iShares FTSE/Xinhua China 25 Index Fund	433.18
XLU	SPDR Select Sector Fund - Utilities	380.55
GLD	streetTRACKS Gold Trust	357.31
IWO	iShares Russell 2000 Growth	344.7
XLB	SPDR Select Sector Fund - Basic Industries	324.22
EWJ	iShares MSCI Japan Index Fund	323.35
EWW	iShares MSCI Mexico Index Fund	235.05
XLI	SPDR Select Sector Fund - Industrial	214.13
IWN	iShares Russell 2000 Value	201.02
QLD	ProShares Ultra QQQ	198.49
DXD	ProShares UltraShort Dow30	187.31
TWM	ProShares UltraShort Russell2000	184.75
EWY	iShares MSCI South Korea Index Fund	171.83
TLT	iShares Lehman 20 Year Treasury Bond Fund	171.59
RKH	HOLDRS Merrill Lynch Regional Bank	156.52
EWT	iShares MSCI Taiwan Index Fund	155.76
IWD	iShares Russell 1000 Value	154.21
USO	Claymore MACROshares Oil Up	140.58
XHB	SPDR Homebuilders ETF	136.31
XLY	SPDR Select Sector Fund - Consumer Discretionary	134.67
IJR	iShares S&P SmallCap 600 Index Fund	132.75
IBB	iShares Nasdaq Biotechnology	131.91
OEF	iShares S&P 100 Index Fund	131.25
IWF	iShares Russell 1000 Growth	128.89
IAI	iShares Dow Jones U.S. Broker-Dealers Index Fund	125.4
SSO	ProShares Ultra S&P500	116.67
ILF	iShares Latin America 40 Index Fund	105.35
SHY	iShares Lehman 1-3 Year Treasury Bond Fund	78.4
EWH	iShares MSCI Hong Kong Index Fund	77.14
XLV	SPDR Select Sector Fund - Health Care	75.26
PPH	HOLDRS Merrill Lynch Pharmaceutical	74.93
KCE	StreetTRACKS KBW Capital Markets ETF	73.84
ICF	iShares Cohen & Steers Realty Major	72.68

Comments

[flstearns:]

Your computations for the first 24 ETFs were blotted out by 2 frames on the right. If you took XLI (for example) and identified your multipliers, t'would be useful.

2007 Sep 09 10:21 PM

[Michael Bom...:]

Hello flstearns,
Unfortunately I'm not really in control of the page layout here, and it seems as if my table won't fit into their layout. You can always follow the links in an article to the original source, where you should be able to read the tables: www.etf-central.com/to...

As far as the example, there are 50 multipliers, as each day's close and volume need to be multiplied. If you're confused about the units, as they're probably blocked by the frame as well, they're in millions of dollars averaged per day.

2007 Sep 09 10:31 PM

[SA Editor J...:]

Michael,

Your charts do indeed fit into our layout, albeit in slightly altered form (which I had unfortunately overlooked in this case - sorry). Going forward, your charts should fit in better.

Best,
Jonathan Liss,
Seeking Alpha Editorial Team

2007 Sep 11 03:09 AM