Top 30 Optionable ETFs By Volume

This post was originally published on May 21st, 2007.  It was imported from a previous version of the site.
As optionable securities, ETFs are providing traders with a dramatically safer means of profiting from sector momentum.  Though the AMEX and Philadelphia Exchange have listed index options for a number of years, the liquidity and rate of expansion of these derivatives was relatively varied.  Thus, many traders continued to rely on options for individual stocks within a sector as a proxy for the sector as a whole.

With the rapid expansion of ETFs and the competition between issuers and exchanges that has ensued, the number of sector and specialized index options has grown dramatically.  The following is a list of the top 30 ETFs on which options can be traded, ranked by volume.

ETF Name Symbol
SPDR TR UNIT SER 1 SPY
POWERSHARES QQQ TRUST UNIT SER 1 QQQQ
ISHARES TR RUSSELL 2000 IWM
SELECT SECTOR SPDR TR SBI INT-FINL XLF
SELECT SECTOR SPDR TR SBI INT-ENERGY XLE
ISHARES INC MSCI JAPAN EWJ
ISHARES INC MSCI MALAYSIA EWM
SEMICONDUCTOR HLDRS TR DEP RCPT SMH
OIL SVC HOLDRS TR DEPOSTRY RCPT OIH
ISHARES INC MSCI SINGAPORE EWS
ISHARES INC MSCI BRAZIL EWZ
DIAMONDS TR UNIT SER 1 DIA
ISHARES TR FTSE XNHUA IDX FXI
ISHARES TR MSCI EAFE IDX EFA
ISHARES INC MSCI AUSTRALIA EWA
ISHARES TR DJ US REAL EST IYR
POWERSHARES ETF TRUST AERSPC DEF PTF PPA
ISHARES INC MSCI GERMAN EWG
ISHARES INC MSCI HONG KONG EWH
ISHARES TR MSCI EMERG MKT EEM
ISHARES TR RUSL 2000 VALU IWN
SELECT SECTOR SPDR TR SBI INT-UTILS XLU
ISHARES TR RUSL 2000 GROW IWO
STREETTRACKS SER TR SPDR S&P RTL XRT
SELECT SECTOR SPDR TR SBI INT-INDS XLI
MIDCAP SPDR TR UNIT SER 1 MDY
RETAIL HOLDRS TR DEP RCPT RTH
ISHARES INC MSCI TAIWAN EWT
ISHARES TR S&P GSTI SEMIC IGW
VANGUARD INTL EQUITY INDEX FD EMR MKT ETF VWO


May 21, 2007 | | Tags: , | No Comments »

Most Dollar Liquid ETFs and CEFs YTD

This post was originally published on May 16th, 2007. It has been slightly modified from a previous version of the site.

Dollar liquidity is simply the number of dollars traded on an asset (i.e. execution price times order size).  This property is an important measure of liquidity for asset managers who must determine where best to invest a fixed amount of capital.  Though many funds may represent attractive trends or  impressive returns, there simply are too few shares available at a given price at a given time to fully purchase your desired allocation.  This constraint can be mitigated by well-timed purchases or purchases in staggered lots, but this ignores the other end of the transaction – the sale.

Given the current anxiety level, this dollar liquidity is more important than ever.  Though stop loss orders are a great safety net, it would be dangerous to forget that market makers cannot always guarantee execution at the specified limit in all market conditions, especially given large order sizes.  The best way to reduce this risk is to invest in assets that have much higher levels of dollar liquidities.

The following is a list of all ETFs and CEFs that have traded at least 1 billion USD so far this year based on actual close and volume data.  All dollar figures are quoted in millions.

Symbol Day Week Month YTD Day $ Week $ Month $ YTD $ MA 20 Price MA YTD Price Week SPY Corr
SPY 0.03% -0.12% 2.37% 6.93% 27204 111129 332858 1257923 0.79% 4.60% 100.00%
QQQQ -0.77% -1.35% 2.08% 6.69% 8272 36484 102550 487329 -0.07% 3.71% 73.80%
IWM -0.80% -1.60% -1.53% 3.79% 9332 37811 108001 417929 -1.31% 1.49% 56.18%
OIH 0.17% 1.49% 5.60% 22.53% 1550 9742 32231 136593 3.15% 13.73% 68.39%
XLE 0.34% 0.96% 3.79% 16.07% 1051 7276 24952 128974 2.25% 10.24% 70.11%
DIA 0.30% 0.75% 5.08% 8.35% 2883 10188 30492 109297 2.13% 6.54% 64.87%
EEM 0.12% 0.76% 0.99% 8.43% 1140 6776 19461 97198 0.96% 7.09% 86.51%
QID 1.75% 2.46% -3.18% -9.85% 1190 4931 14153 47180 0.49% -5.70% -72.34%
EFA 0.18% 0.02% 0.65% 8.86% 513 3276 12239 45820 0.38% 5.37% 99.10%
XLF -0.24% -0.56% 2.52% 1.93% 616 3427 10244 42275 0.43% 2.55% 91.43%
MDY -0.37% -0.28% 1.34% 10.29% 686 3236 10931 42228 0.35% 4.76% 73.68%
SMH -1.26% 0.81% 8.77% 12.49% 602 2907 10705 41832 1.67% 8.20% 44.32%
GLD 0.39% -1.97% -2.15% 6.84% 171 1451 5385 31316 -1.31% 1.77% 65.50%
RTH -0.73% -1.36% -1.69% 2.49% 579 3042 8471 30825 -1.64% -0.11% 32.22%
EWZ 1.47% 2.17% 5.20% 19.96% 571 3016 7959 29952 3.53% 14.31% 73.20%
IYR -1.35% -1.14% -3.43% 1.18% 315 1536 5155 28462 -2.33% -3.23% 37.45%
EWJ -0.83% -0.62% -1.71% 1.27% 193 1988 5671 25135 -0.68% -0.83% 64.96%
FXI -0.34% 3.51% 1.89% -1.98% 297 2630 5575 21805 3.56% 8.14% 49.74%
USO 0.89% 0.72% -2.59% -0.83% 103 742 2878 17733 -1.38% -0.33% 10.57%
IVV -0.06% -0.15% 2.35% 6.43% 162 983 3289 17092 0.74% 4.26% 99.69%
IWO -0.78% -1.77% -1.37% 5.22% 146 887 3147 15665 -1.34% 2.06% 63.77%
XLB 0.63% 0.15% 2.51% 15.74% 143 1139 2865 15384 1.82% 6.75% 91.31%
EWW 0.15% 0.87% 2.51% 12.77% 169 1083 3394 15061 1.91% 8.56% 71.23%
XLU 0.54% 0.47% 3.52% 16.33% 217 846 2738 12869 1.38% 9.33% 64.34%
IWN -0.94% -1.77% -1.80% 2.41% 189 805 2538 12548 -1.34% 0.89% 56.79%
IMB -0.32% -0.25% 6.79% -28.70% 64 334 1358 9435 1.72% -6.54% 13.15%
XLI 0.26% 0.16% 4.87% 8.45% 114 567 1922 8507 1.74% 5.67% 89.77%
IBB -0.74% -3.55% -1.22% 2.42% 159 623 1801 8376 -2.83% 0.71% 64.06%
XHB -0.59% -1.63% 0.06% -7.17% 99 472 2095 8308 -2.06% -4.53% 62.56%
SDS 0.30% 0.94% -3.47% -8.92% 241 876 2567 8274 -0.84% -6.72% -95.79%
TLT -0.03% -0.80% 0.18% 0.25% 34 316 1229 7632 -0.31% 0.17% -20.81%
IWD 0.17% 0.14% 2.60% 7.31% 103 395 1381 7619 1.08% 4.92% 97.26%
QLD -1.44% -2.35% 3.67% 10.28% 125 639 1785 7408 -0.41% 5.94% 70.96%
IWF -0.36% -0.73% 1.59% 6.80% 67 422 1572 7355 0.22% 3.88% 86.99%
RKH 0.20% -0.75% 1.07% 0.69% 120 572 1851 7278 -0.21% 0.92% 70.92%
IJR -0.48% -1.24% -0.07% 6.45% 110 443 1768 6986 -0.56% 3.05% 59.78%
OEF -0.07% -0.23% 1.89% 4.66% 104 398 1801 6046 0.78% 3.95% 94.13%
EWT -0.28% -1.88% 0.00% -4.14% 45 389 1238 5966 -0.41% -0.39% 63.93%
XLV -0.11% -1.28% 0.81% 8.36% 83 356 1331 5942 -0.33% 4.63% 69.32%
IYT 0.09% -1.81% 1.01% 10.32% 41 416 1380 5756 -0.39% 3.86% 52.63%
SLV 0.56% -2.07% -5.17% 4.50% 30 267 1153 5518 -2.32% -1.58% 76.54%
XLY -0.36% -0.43% -0.74% 1.85% 128 420 1489 5342 -0.55% 0.63% 77.89%
PPH 0.05% -0.81% 1.08% 10.07% 30 358 1563 5195 0.28% 6.38% 85.58%
EWY -0.54% 0.36% 3.85% 14.00% 54 340 1062 5060 1.98% 9.60% 79.12%
ILF 0.51% 1.43% 3.31% 16.66% 58 350 1160 4847 2.15% 11.24% 63.57%
EWH -0.23% 0.77% 1.61% 5.26% 83 664 1133 4659 1.37% 3.62% 77.02%
EWS -0.81% 0.60% 1.67% 17.46% 68 268 992 4622 1.76% 9.19% 67.98%
XLK -0.16% -0.20% 3.69% 7.29% 86 416 979 4530 1.55% 5.31% 74.16%
ICF -1.48% -1.05% -4.39% -0.09% 45 205 610 4524 -2.85% -4.89% 49.95%
BBH -1.69% -4.84% -2.74% -2.45% 59 271 774 4504 -4.31% -3.64% 47.83%
SHY 0.02% -0.07% 0.24% 1.51% 76 302 1015 3985 0.02% 0.70% -47.42%
XLP 0.66% 0.07% -0.44% 4.28% 52 217 817 3820 -0.37% 2.33% 64.30%
EWM -0.41% 0.93% 2.21% 29.03% 56 265 819 3716 1.88% 12.45% 69.84%
KRE -0.63% -1.75% -1.36% -6.26% 9 310 1120 3390 -0.87% -2.74% 68.29%
AGG -0.04% -0.17% 0.19% 1.55% 27 151 628 3226 -0.04% 0.65% -64.75%
VWO 0.05% 0.68% 1.80% 9.50% 28 154 561 3060 1.30% 7.84% 90.38%
VTI -0.27% -0.55% 1.73% 6.89% 33 181 630 3036 0.39% 4.12% 93.20%
EPP -0.32% 0.77% 0.47% 15.21% 116 232 647 2909 1.09% 8.59% 67.42%
IWS -0.22% -0.19% 1.71% 9.22% 24 128 576 2754 0.46% 4.39% 88.27%
DXD -0.49% -1.27% -8.69% -11.13% 134 423 1170 2713 -3.74% -10.24% -68.88%
GDX -0.23% -4.12% -7.61% 1.67% 16 154 556 2626 -3.52% -1.36% 50.17%
DVY -0.01% -0.09% 2.03% 5.88% 54 164 543 2604 0.74% 4.23% 97.41%
IWV -0.16% -0.25% 1.91% 6.37% 43 169 475 2530 0.55% 3.97% 97.91%
IWB -0.16% -0.47% 2.10% 6.92% 16 83 352 2508 0.52% 4.26% 95.04%
XRT -0.64% -1.36% -4.29% 3.51% 37 333 691 2491 -2.86% -1.16% 31.50%
IVW -0.41% -0.74% 1.41% 5.33% 24 193 599 2467 0.20% 3.54% 88.35%
IEV 0.26% -0.04% 1.31% 9.61% 35 182 627 2383 0.44% 6.72% 96.95%
IWR -0.46% -0.59% 1.49% 9.08% 21 127 450 2379 0.15% 4.13% 82.44%
EWA -0.14% 1.01% 0.75% 19.20% 30 249 675 2308 1.29% 10.32% 66.88%
IVE 0.12% 0.21% 3.08% 7.00% 19 148 561 2274 1.15% 4.80% 95.88%
IJH -0.37% -0.29% 1.31% 9.62% 22 108 429 2212 0.31% 4.42% 68.44%
UTH 0.33% 0.78% 3.72% 19.10% 9 55 267 2200 1.61% 10.49% 68.13%
IFN -0.56% -0.39% -2.52% -10.30% 14 96 337 1885 -0.84% -2.14% 86.43%
IEF -0.01% -0.43% 0.27% 1.50% 14 83 432 1864 -0.12% 0.70% -36.23%
EZU 1.65% 0.61% 2.16% 12.53% 36 214 565 1852 1.12% 8.50% 82.06%
EWG 0.61% -0.03% 1.03% 15.62% 17 164 590 1824 0.28% 9.42% 97.07%
TIP -0.27% -0.70% -0.26% 1.12% 17 84 354 1751 -0.64% 0.18% -21.25%
SSO -0.27% -0.72% 4.01% 11.01% 32 162 477 1731 1.06% 7.66% 96.38%
VGK 0.24% -0.32% 1.02% 10.07% 19 127 404 1682 0.19% 6.49% 98.16%
KCE -1.25% -1.77% -1.69% 0.89% 115 204 524 1650 -1.44% -0.56% 49.16%
RSP -0.14% -0.47% 1.93% 8.56% 78 201 419 1647 0.36% 4.52% 90.81%
IWP -0.72% -0.90% 1.35% 9.12% 13 131 556 1591 -0.20% 3.89% 61.01%
KBE 0.02% -0.70% 1.18% -0.26% 12 65 381 1553 -0.22% 0.61% 71.56%
EZA -0.74% -2.33% -1.24% 16.55% 21 181 444 1530 -1.68% 8.65% 88.62%
LQD -0.22% -0.54% 0.25% 2.07% 19 75 326 1467 -0.20% 0.59% -5.06%
EWP 1.18% 1.53% -1.02% 7.88% 9 83 380 1380 0.91% 4.74% 71.23%
MZZ 0.91% 0.89% -1.78% -14.71% 18 86 251 1311 -0.31% -7.55% -83.60%
VNQ -1.52% -1.02% -4.01% 1.20% 33 65 194 1244 -2.47% -3.51% 53.74%
EWO 0.20% -0.08% -0.45% 9.10% 10 114 288 1211 -0.89% 5.54% 85.08%
IAI -1.24% -1.95% -1.75% 0.06% 5 71 229 1147 -1.56% -1.01% 65.67%
IYM 0.58% 0.61% 3.10% 18.25% 5 35 130 1126 2.15% 8.34% 91.00%
VUG -0.37% -0.82% 1.23% 6.57% 8 46 143 1102 0.05% 3.46% 88.15%
HHH -1.58% -3.17% 1.53% 13.86% 11 86 375 1095 0.84% 6.16% 49.61%
EWU 0.12% -0.55% -0.04% 6.75% 5 47 165 1062 0.27% 4.85% 97.86%
FXE 0.32% 0.36% 0.10% 3.74% 6 70 270 1034 -0.04% 2.62% 60.18%

May 16, 2007 | | Tags: | No Comments »
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