Market Volatility Benefiting ProShares Ultra ETFs

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.

click to enlarge

Comments

[kkin365:]

The theme of this post escapes me completely.

2008 Feb 04 11:22 AM