S3 Analytics: Bearish Long/Short October VIX ETF Activity

With the S&P 500 index down 8.76% in October we would expect the CBOE Volatility Index (VIX) to increase dramatically, and it didnā€™t disappoint, rising 75.17%.

Trading in the ā€œFear Index,ā€ which measures the implied volatility of near term S&P 500 option premiums, can be done via futures, options or ETPs. The most popular VIX ETP being the iPath S&P 500 VIX Short Term Futures ETN (VXX) with a market cap of $929 million and short interest of $1.62 billion.

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S3 Analytics: Most Shorted ETFs had $21 Billion of October Short Selling

As markets and sectors declined, the use of ETFs as hedges increased substantially in October with ETF short interest increasing by $11.7 billion, to $176.5 billion, a 7.1% increase in size. There is a large concentration of short interest in a handful of ETFs, with the top twenty-five most shorted ETFs making up 75% of total short interest or $131.8 billion. Total short interest in these top twenty-five ETFs grew by $12.1 billion over the last month.

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