I’m back into USO after selling my shares and buying back my 24-September S33 calls last Friday for a net credit of $32.97 per share. Bought USO this morning at 33.01, sold-to-open S33 calls at $0.44. Breakeven is 32.57, maximum profit is $0.43 per share. Best case this is a 1.3% return for a 5 day investment.
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Can a short squeeze on an ETF result in its collapse?
Thursday, February 23rd, 2012 | Vance Harwood
Some people have been hyperventilating about the high short interest many ETFs are showing. XRT for example recently had 95 million shares in short interest with only 17 million shares in shares outstanding. If you want a detailed response to these fearmongers I found this article to be very helpful.
If all of the people that were short XRT decided that they wanted to cover their position simultaneously that would create an interesting situation. The cool thing about ETFs is that if the value of XRT started to significantly diverge from the value of the S&P retail stocks that compose the index (the net asset value or NAV) then arbitragers would step in to provide liquidity.
In a short squeeze on XRT, where there aren’t a lot of shares around for sale, its value would start rising above its NAV. Once that gap becomes significant arbitragers would start buying the basket of stocks represented by the XRT and creating XRT shares to sell priced at a premium–for a guaranteed profit. This share creating process is spelled out in the SPDR prospectus of the ETF in the “Summary information about purchases, sales, and taxes” section.
There is a lot of capital available when guaranteed profits are up for grabs.
Because XRT’s price in this case goes up the shorts get hurt, but no one ever feels sorry for the short sellers. A short squeeze on an ETF, rather than being a cause for concern, should result in a nice little bump in its volume and value.
Popular ETF ex-dividend and distribution dates
Thursday, September 23rd, 2010 | Vance Harwood
I’m trying out a new WordPress plugin for displaying ex-dividend and distribution date information.
| SYMBOL | DESCRIPTION | Next Ex-dividend | Next Distribution | Last Ex-dividend | Last Distribution |
|---|---|---|---|---|---|
| AGG | AGG iShares Barclays Aggregate Bond Fund | 1-Nov-10 | 5-Nov-10 | 1-Oct-10 | 7-Oct-10 |
| CSJ | CSJ iShares Barclays 1-3 Year Credit Bond Fund | 1-Nov-10 | 5-Nov-10 | 1-Oct-10 | 7-Oct-10 |
| DIA | DIA SPDR Dow Diamond | 19-Nov-10 | 15-Nov-10 | 15-Oct-10 | 12-Oct-10 |
| DVY | DVY iShares Dow Jones Select Dividend | 22-Dec-10 | 29-Dec-10 | 23-Sep-10 | 29-Sep-10 |
| HYG | HYG iShares High Yield Corporate Bond Fund | 1-Nov-10 | 5-Nov-10 | 1-Oct-10 | 7-Oct-10 |
| IEF | IEF iShares Barclays 7-10 Year Treasury Bond Fund | 1-Nov-10 | 5-Nov-10 | 1-Oct-10 | 7-Oct-10 |
| INY | INY SPDR Barclays Capital New York Municipal Bond | 1-Nov-10 | 9-Nov-10 | 1-Oct-10 | 12-Oct-10 |
| IVE | IVE S&P 500Value Index Fund | 23-Dec-10 | 30-Dec-10 | 24-Sep-10 | 30-Sep-10 |
| IVV | iShare S&P 500 Index Fund | 23-Dec-10 | 30-Dec-10 | 24-Sep-10 | 30-Sep-10 |
| JNK | SPDR Barclays Capital High Yield Bond | 1-Nov-10 | 9-Nov-10 | 1-Oct-10 | 12-Oct-10 |
| LAG | LAG SPDR Barclays Capital Aggregate Bond | 1-Nov-10 | 9-Nov-10 | 1-Oct-10 | 12-Oct-10 |
| LQD | iShares iBoxx $ Investment Grade Corporate Bond | 1-Nov-10 | 5-Nov-10 | 1-Oct-10 | 7-Oct-10 |
| MUB | iShares S&P National AMT-Free Municipal Bond Fund | 1-Nov-10 | 5-Nov-10 | 1-Oct-10 | 7-Oct-10 |
| OEF | OEF iShare S&P 100 Index Fund | 23-Dec-10 | 30-Dec-10 | 23-Jun-10 | 29-Jun-10 |
| PFF | PFF iShares S&P U.S. Preferred Stock Index | 1-Nov-10 | 5-Nov-10 | 1-Oct-10 | 7-Oct-10 |
| SPY | SPY SPDR Trust S&P 500 Index | 17-Dec-10 | 29-Oct-10 | 17-Sep-10 | 30-Jun-10 |
| TIP | iShares Barclays TIPS Bond | 1-Nov-10 | 5-Nov-10 | 1-Oct-10 | 7-Oct-10 |
| TLT | iShares Barclays 20+ Year Treasury Bond | 1-Nov-10 | 5-Nov-10 | 1-Oct-10 | 7-Oct-10 |
| XLE | Energy Select Sector SPDR Fund | 17-Dec-10 | 29-Dec-10 | 17-Sep-10 | 29-Sep-10 |
| XLF | Financial Select Sector SPDR Fund | 17-Dec-10 | 29-Dec-10 | 17-Sep-10 | 29-Sep-10 |
| XLI | Industrial Select Sector SPDR Fund | 17-Dec-10 | 29-Dec-10 | 17-Sep-10 | 29-Sep-10 |
| XLP | Consumer Staples Select Sector SPDR Fund | 17-Dec-10 | 29-Dec-10 | 17-Sep-10 | 29-Sep-10 |
| XLU | Utilities Select Sector SPDR Fund | 17-Dec-10 | 29-Dec-10 | 17-Sep-10 | 29-Sep-10 |
If you don’t see the symbol you want here, you should try this page.
iShares dividends: IWM, IVV, OEF and more
Tuesday, September 6th, 2011 | Vance Harwood
Six years and a point apart
Tuesday, September 21st, 2010 | Vance Harwood
The surprising day-to-day correlation between SPY in 2004 and SPY in 2010 continues. The 21-September closing values were 112.96 (2004), and 113.98 (2010)—not exactly a rousing endorsement of buy-and-hold strategies.
This year’s SPY has traded below the old SPY line since mid August, but it just crossed over, challenging the top 2004 trendline (see below). It appears that the scary months of September and October were pretty boring six years ago, with SPY trading in a tight range. SPY’s volatility in 2010 has been quite a bit higher, a trend I expect to continue.
While in general I don’t believe that the past reliably predicts the future, I think we are in similar economic times and the investor psychology is comparable (remember the tech bust?). I expect this correlation to continue.
SPY 2004 vs SPY 2010, click to enlarge
VXX prospectus
Monday, February 13th, 2012 | Vance Harwood
You can find Barclays’ VXX prospectus here. The prospectus covers both the short term VXX, and the medium term VXZ.
This post discusses going long on VXX.
This post discusses some choices if you think VXX is going to go down.
For a full list of volatility ETN/ETFs see Volatility Tickers.
The chart below shows the performance of a hypothetical $1000 investment in VXX vs VIX since its inception in early 2009—it’s not a pretty sight. The VXX investment would be worth $66 today… VXX should not be a buy-and-hold investment.
Click to enlarge
SPY’s September 2010 dividend—and a few others…
Friday, September 17th, 2010 | Vance Harwood
SPY went ex-dividend today 17-Sept-2010, with a dividend this quarter of $0.60 per share. Its payout will be on 29-Oct-2010.
……….Div Payout
JNK 0.3 9/10/2010
SPY 0.6 10/10/2010
XLB 0.67 9/29/2010
XLE 0.25 9/29/2010
XLF 0.03 9/29/2010
For SPDR’s full September update on their ETF distributions see here.
XXV behavior—it’s a pretty good VXX short
Monday, March 12th, 2012 | Vance Harwood
Update: I do not believe XXV is a good way to short VXX, or volatility in general. It has very little upside remaining (maximum value will be $40/share), see this post for more details.
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With the recent action in the VIX and VXX I thought it would be good time to go back and check the performance of Barclays’ new ETN product XXV to see how it is performing.
XVV -- VXX short or percentage move, click to enlarge
Clearly XXV is intended to perform like a short of VXX. With a little imagination you can foresee that on-going charges will prevent a perfect match, but after nearly two months my hypothetical true short of VXX vs XXV is tracking with only about a 1% lag—impressive.
With VXX fighting a big contango headwind XXV is looking like a pretty attractive investment.
Dealing with the dividend when you have a short position
Wednesday, December 7th, 2011 | Vance Harwood
What if I’m short a security when it goes ex-dividend?
You are on the hook for the dividend if you are short the stock/ETF when it goes ex-dividend. It will be subtracted from your brokerage account on the distribution date. You borrowed the stock, you are responsible for paying the owner of the security the dividend.
More questions on dividends? See Top 10 questions about dividends.
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