Top 10 CEF and ETF Advances and Declines

Top 20 Absolute Dollar Flows

Top Weekly Dollar Flows

    Michael Panzner did an article today about whether the S&P's gains mean anything in real dollar value, and I decided to take a quick stab at a way of visualizing this.  Therefore, I've charted here the relative performance of the streetTracks gold ETF and the S&P tracker (GLD and SPY).  This is the cumulative sum of the daily difference in log-return over the past 100 days, and as you can see, despite the S&P's impressive summer, it has still lost value relative to gold.  As an example, yesterday's post-FOMC S&P gain led to a log-return of 0.029.  After adjusting for gold as numeraire, the return is nearly halved to 0.0188.

    After closing above 20 on the 26th of July, the CBOE Volatility Index has closed above this mark since.  Only on July 27th, July 31st, and August 8th has the VIX even touched below 20 intraday.  Since August 8th, the VIX has remained entirely above this mark, with option premiums and volatility bouncing between primarily between 20 and 30.  The Volatility Index hit its peak on August 16th, touching 37.5 on runaway fears. 

Top 30 5-Day Dollar Inflows

    These numbers are estimated simply by multiplying the dollar change in share price by the volume and summing over the desired interval.  Though obviously susceptible to intraday information loss, they give a reasonable idea as to where dollars are headed first. 

    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.