U.S. ETF Short Selling Recap November 2022

Author:

Ihor Dusaniwsky

Managing Director of Predictive Analytics, S3 Partners

Matthew Unterman

Director of Predictive Analytics, S3 Partners

November 18, 2022

We cover 3,350 ETFs and Funds with active shares shorted with $214 billion of short interest. Average Short Interest % of Float is 16.44% and S3 SI % Float (which includes synthetic longs created by every short sale in the Float number) is 12.88%, while the average stock borrow fee is 1.02%. As a comparison, U.S. equities have an average SI % Float of 4.86%, S3 SI % Float of 4.38% and average stock borrow fee of 0.65%.

ETF Short Interest (as of 11.18.22)

US ETF\Fund

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

SPDR S&P 500 ETF

SPY

14.28%

12.49%

0.30%

$53,709,928,837

INVESCO QQQ TRUST ETF

QQQ

12.47%

11.09%

0.30%

$20,158,478,693

ISHS RUSSELL 2000 ETF

IWM

33.22%

24.94%

0.94%

$18,353,665,954

ISHS IBOXX $ HIGH YIELD CORP BOND ETF

HYG

38.80%

27.95%

2.82%

$6,753,233,405

ISHS MSCI EMERGING MARKETS ETF

EEM

22.96%

18.67%

0.30%

$5,067,748,994

SPDR ENERGY SELECT SECTOR ETF

XLE

9.82%

8.94%

0.30%

$4,385,394,985

ISHS MSCI EAFE ETF

EFA

8.22%

7.60%

0.30%

$3,718,462,387

ISHS IBOXX $ INV GRD CORP BOND ETF

LQD

8.88%

8.16%

0.30%

$3,360,435,072

SPDR FINANCIAL SELECT SECTOR ETF

XLF

8.85%

8.13%

0.30%

$2,908,413,331

SPDR S&P BIOTECH ETF

XBI

34.86%

25.85%

0.94%

$2,840,715,405

SPDR SP OIL\GAS EXPLOR\PROD ETF

XOP

52.90%

34.60%

1.07%

$2,834,252,216

SPDR CONS STAPLES SELECT SECTOR ETF

XLP

16.28%

14.00%

0.30%

$2,700,383,594

VANECK SEMICONDUCTOR ETF

SMH

35.31%

26.10%

1.19%

$2,442,977,633

SPDR INDUSTRIAL SELECT SECTOR ETF

XLI

16.27%

13.99%

0.57%

$2,301,327,187

SPDR UTILITIES SELECT SECTOR ETF

XLU

16.71%

14.31%

0.57%

$2,274,448,808

SPDR DJIA ETF

DIA

6.84%

6.40%

0.30%

$2,085,674,281

SPDR BBERG HIGH YIELD BOND ETF

JNK

23.86%

19.26%

2.07%

$2,060,570,429

ISHS 20+ YR TREAS BOND ETF

TLT

7.97%

7.38%

0.30%

$2,047,195,324

INVESCO S&P 500 EQUAL WEIGHT ETF

RSP

5.42%

5.15%

0.30%

$1,798,320,713

SPDR HEALTH CARE SELECT SECTOR ETF

XLV

4.39%

4.20%

0.30%

$1,778,560,005

VNGRD S&P 500 ETF

VOO

0.59%

0.59%

0.30%

$1,621,705,624

SPDR GOLD TR ETF

GLD

3.12%

3.02%

0.57%

$1,611,474,440

ISHS MSCI ACWI INDEX ETF

ACWI

9.03%

8.28%

0.30%

$1,512,246,196

ISHS S&P 500 ETF

IVV

0.50%

0.49%

0.30%

$1,493,171,533

ISHS JPM $ EMERGING MARKETS BOND ETF

EMB

10.35%

9.38%

0.30%

$1,427,655,213

Average / Total

-

16.44%

12.88%

1.02%

$214,257,447,533

Overall ETF short exposure decreased from $215.0 billion to $214.3 billion, a decrease of $775 million, or -0.4%, over the last thirty days. Change in short interest is comprised of mark-to-market price changes of existing shorts coupled with new short selling and covering. We saw a $15.8 billion increase in the market-to-market value of existing short positions which was more than offset by $16.6 billion new net short covering.

As the value of their assets appreciated, ETF short sellers decreased their exposure into market strength either by decreasing their outstanding portfolio hedges or decreasing their short-side risk (Alpha generating) positions. The increased short covering offset the mark-to-market increase in the price of the EETFs they were shorting. This indicates that ETF short sellers were looking to keep their short-side bet exposure relatively unchanged, even as prices rose, and mark-to-market losses mounted.

The $16.6 billion of new net ETF short covering over the last thirty days saw a relatively equal number of ETFs with increased short selling versus short covering (1,755 ETFs with increases short selling, 1,499 ETFs with increased short covering & 100 with no change) but the short covering was mainly executed in the most widely held ETFs. Increased short selling occurred in ETFs with $59.8 billion of short interest while the increased short covering occurred in ETFs with $154.4 billion of short interest. Short sellers were increasing exposure ion the more niche ETFs while trimming exposure in the more broadly held ETFs. It appears that hedges were reduced while the search for Alpha increased.

We saw the largest increase of new short selling in fixed income ETFs HYG, AGG, TIP and HYLB as well as the semiconductor sector (SMH). On a regional basis we saw increased short selling in the S. Korean (EWY) and Brazilian (EWZ) ETFs.

ETFs with Largest Increase in Short Selling (as of 11.18.22)

US ETF\Fund

Ticker

SI % Float

S3 SI % Float

Short Interest

30D Change Shares Shorted

ISHS IBOXX $ HIGH YIELD CORP BOND ETF

HYG

38.80%

27.95%

$6,753,233,405

$994,821,227

VANECK SEMICONDUCTOR ETF

SMH

35.31%

26.10%

$2,442,977,633

$461,978,584

ISHS CORE MSCI INTL STOCK ETF

IXUS

3.12%

3.03%

$890,223,429

$379,801,505

SPDR DJIA ETF

DIA

6.84%

6.40%

$2,085,674,281

$378,860,079

ISHS CORE US AGGREGATE BOND ETF

AGG

1.37%

1.36%

$1,089,700,907

$284,513,637

ISHS MSCI S KOREA ETF

EWY

22.72%

18.51%

$713,164,778

$229,523,091

ISHS TIPS FUND ETF

TIP

3.79%

3.66%

$942,620,080

$225,808,418

ISHS MSCI BRAZIL ETF

EWZ

25.35%

20.22%

$1,317,725,317

$225,525,082

XTRACKERS $ HIGH YIELD CORP BOND ETF

HYLB

7.44%

6.93%

$300,633,503

$224,175,728

SPDR UTILITIES SELECT SECTOR ETF

XLU

16.71%

14.31%

$2,274,448,808

$201,212,134

We saw the largest increase of new short covering in the largest “hedging” ETFs SPY, IVV, IWM, VOO and VGK as well as fixed income ETFs LQD, VCSH, BKLN and VMBS. The interest rate sensitive financial sector also saw short covering in the XLF ETF.

ETFs with Largest Increase in Short Covering (as of 11.18.22)

US ETF\Fund

Ticker

SI % Float

S3 SI % Float

Short Interest

30D Change Shares Shorted

SPDR S&P 500 ETF

SPY

14.28%

12.49%

$53,709,928,837

($8,677,883,717)

ISHS IBOXX $ INV GRD CORP BOND ETF

LQD

8.88%

8.16%

$3,360,435,072

($1,108,791,452)

VNGRD ST CORP BOND ETF

VCSH

0.97%

0.96%

$388,941,554

($1,047,940,008)

ISHS S&P 500 ETF

IVV

0.50%

0.49%

$1,493,171,533

($995,805,204)

ISHS RUSSELL 2000 ETF

IWM

33.22%

24.94%

$18,353,665,954

($801,274,654)

SPDR FINANCIAL SELECT SECTOR ETF

XLF

8.85%

8.13%

$2,908,413,331

($768,831,250)

INVESCO SENIOR LOAN ETF

BKLN

8.70%

8.01%

$359,701,037

($558,446,544)

VNGRD S&P 500 ETF

VOO

0.59%

0.59%

$1,621,705,624

($489,565,310)

VNGRD MORTGAGE-BACKED SECURITIES ETF

VMBS

0.06%

0.06%

$7,974,866

($445,069,940)

VNGRD EUROPEAN ETF

VGK

1.17%

1.16%

$172,660,935

($442,475,238)

Sometimes it is valuable to see not just the absolute change in the numbers surrounding shorted ETFs, but which specific ETFs rose or fell out of the top twenty-five most shorted ETFs to see the tone of the short-side of the market. There are two ETFs that fell out of the 10/14 top twenty-five league table and two ETFs that jumped into the 11/16 top twenty-five league table.

The Vanguard Short Term Corporate Bond ETF (VCSH) and the iShares Nasdaq Biotech ETF (IBB) fell out of the top twenty-five with the VCSH falling from 24 to 67 and IBB dropping slightly from 25 to 30.

On the other side of the ledger, the Spider Gold Trust ETF (GLD) rose from 28 to 22 and the iShares JPM $ Emerging Markets ETF (EMB) rose from 27 to 25.

US ETF\Fund Short Interest 11/16/22

Ticker

US ETF\Fund Short Interest 10/14/22

Ticker

SPDR S&P 500 ETF

SPY

SPDR S&P 500 ETF

SPY

INVESCO QQQ TRUST ETF

QQQ

INVESCO QQQ TRUST ETF

QQQ

ISHS RUSSELL 2000 ETF

IWM

ISHS RUSSELL 2000 ETF

IWM

ISHS IBOXX $ HIGH YIELD CORP BOND ETF

HYG

ISHS IBOXX $ HIGH YIELD CORP BOND ETF

HYG

ISHS MSCI EMERGING MARKETS ETF

EEM

ISHS MSCI EMERGING MARKETS ETF

EEM

SPDR ENERGY SELECT SECTOR ETF

XLE

ISHS IBOXX $ INV GRD CORP BOND ETF

LQD

ISHS MSCI EAFE ETF

EFA

SPDR ENERGY SELECT SECTOR ETF

XLE

ISHS IBOXX $ INV GRD CORP BOND ETF

LQD

SPDR FINANCIAL SELECT SECTOR ETF

XLF

SPDR FINANCIAL SELECT SECTOR ETF

XLF

ISHS MSCI EAFE ETF

EFA

SPDR S&P BIOTECH ETF

XBI

SPDR SP OIL\GAS EXPLOR\PROD ETF

XOP

SPDR SP OIL\GAS EXPLOR\PROD ETF

XOP

SPDR S&P BIOTECH ETF

XBI

SPDR CONS STAPLES SELECT SECTOR ETF

XLP

SPDR CONS STAPLES SELECT SECTOR ETF

XLP

VANECK SEMICONDUCTOR ETF

SMH

ISHS S&P 500 ETF

IVV

SPDR INDUSTRIAL SELECT SECTOR ETF

XLI

SPDR INDUSTRIAL SELECT SECTOR ETF

XLI

SPDR UTILITIES SELECT SECTOR ETF

XLU

SPDR BBERG HIGH YIELD BOND ETF

JNK

SPDR DJIA ETF

DIA

VNGRD S&P 500 ETF

VOO

SPDR BBERG HIGH YIELD BOND ETF

JNK

ISHS 20+ YR TREAS BOND ETF

TLT

ISHS 20+ YR TREAS BOND ETF

TLT

SPDR UTILITIES SELECT SECTOR ETF

XLU

INVESCO S&P 500 EQUAL WEIGHT ETF

RSP

SPDR HEALTH CARE SELECT SECTOR ETF

XLV

SPDR HEALTH CARE SELECT SECTOR ETF

XLV

ISHS MSCI ACWI INDEX ETF

ACWI

VNGRD S&P 500 ETF

VOO

VANECK SEMICONDUCTOR ETF

SMH

SPDR GOLD TR ETF

GLD

INVESCO S&P 500 EQUAL WEIGHT ETF

RSP

ISHS MSCI ACWI INDEX ETF

ACWI

SPDR DJIA ETF

DIA

ISHS S&P 500 ETF

IVV

VNGRD ST CORP BOND ETF

VCSH

ISHS JPM $ EMERGING MARKETS BOND ETF

EMB

ISHS NASDAQ BIOTECH ETF

IBB

ETF short interest as a % of Float is a much more fluid metric than it is for equities and ADRs as ETFs are constantly created and\or redeemed which changes their shares outstanding\float numbers sometimes daily. The following are ETFs with the highest SI % Float with overall short interest greater than $50 million. The Spider S&P Retail ETF (XRT) continues to lead the pack with the only SI % Float over 100% and S3 SI % Float over 50%.

Traditional Short Interest % of Float vs S3 Short Interest % of Float

US ETF\Fund

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

SPDR S&P RETAIL ETF

XRT

193.88%

65.97%

3.07%

$1,153,262,184

SPDR S&P HOMEBUILDERS ETF

XHB

57.75%

36.61%

1.94%

$610,419,351

SPDR SP OIL\GAS EXPLOR\PROD ETF

XOP

52.90%

34.60%

1.07%

$2,834,252,216

ISHS U.S. HOME CONSTRUCTION ETF

ITB

46.39%

31.69%

1.44%

$557,529,389

ISHS IBOXX $ HIGH YIELD CORP BOND ETF

HYG

38.80%

27.95%

2.82%

$6,753,233,405

SPDR S&P REGIONAL BANKING ETF

KRE

37.73%

27.39%

1.32%

$1,342,583,285

IPATH SERIES B SP 500 VIX ST FUT ETN

VXX

36.18%

26.57%

3.57%

$143,376,366

ISHS MSCI MEXICO ETF

EWW

35.69%

26.30%

3.07%

$350,464,729

VANECK SEMICONDUCTOR ETF

SMH

35.31%

26.10%

1.19%

$2,442,977,633

SPDR S&P BIOTECH ETF

XBI

34.86%

25.85%

0.94%

$2,840,715,405

ISHS RUSSELL 2000 ETF

IWM

33.22%

24.94%

0.94%

$18,353,665,954

ISHS DJ US R.E. ETF

IYR

32.46%

24.51%

0.30%

$1,071,953,602

PROSHS BITCOIN STRATEGY ETF

BITO

31.47%

23.94%

7.57%

$170,050,280

VANECK OIL SERVICES ETF

OIH

29.28%

22.65%

1.82%

$809,383,855

ISHS CHINA LARGE CAP ETF

FXI

28.61%

22.25%

0.69%

$1,330,266,562

ISHS MSCI BRAZIL ETF

EWZ

25.35%

20.22%

1.19%

$1,317,725,317

ISHS MSCI SAUDI ARABIA ETF

KSA

24.01%

19.36%

0.30%

$233,981,631

SPDR BBERG HIGH YIELD BOND ETF

JNK

23.86%

19.26%

2.07%

$2,060,570,429

SPDR METALS & MINING ETF

XME

22.99%

18.69%

0.94%

$468,083,753

ISHS MSCI EMERGING MARKETS ETF

EEM

22.96%

18.67%

0.30%

$5,067,748,994

ISHS MSCI S KOREA ETF

EWY

22.72%

18.51%

0.94%

$713,164,778

ISHS MSCI TAIWAN CAPPED ETF

EWT

21.70%

17.83%

0.69%

$798,416,016

VANECK PHARMACEUTICAL ETF

PPH

20.80%

17.22%

4.82%

$114,886,039

PROSHS ULTRA 1.5X VIX S.T. FUTURES ETF

UVXY

19.35%

16.21%

6.57%

$146,563,434

ISHS DJ US TRANSPORT AVG ETF

IYT

18.36%

15.52%

3.32%

$140,839,664

ETF stock borrow fees rarely get very expensive (over 5% fee) as brokers will usually create ETF shares in order to meet stock borrow demand as rates make the share creation and hedging profitable. Rates in certain ETFs tend to climb for two main reasons, there is very little marginable or rehypothicatable stock in the market which limits the stock lending availability pool or the process of creating and hedging the ETF is difficult or very expensive (active ETFs or ETF with illiquid constituents). The following are ETFs with the highest stock borrow fees with short interest over $50 million:

ETFs with Highest Borrow Fees

US ETF\Fund

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

VANECK HIGHYIELD MUNI INDEX ETF

HYD

2.69%

2.62%

24.07%

$83,413,235

DRXN DAILY SP OIL\GAS EXPLOR\PROD BULL 2X ETF

GUSH

6.11%

5.76%

17.32%

$50,111,047

ISHS MSCI TURKEY ETF

TUR

16.78%

14.37%

16.07%

$57,012,848

DRXN NASDAQ-100 EQUAL WEIGHTED ETF

QQQE

9.67%

8.82%

15.32%

$78,058,888

INVESCO SOLAR ETF

TAN

8.63%

7.94%

12.32%

$226,256,784

VANECK RUSSIA ETF

RSX

17.03%

14.55%

9.82%

$92,267,822

ALERIAN MLP ETF

AMLP

5.68%

5.37%

9.82%

$384,528,605

SPDR EURO STOXX 50 ETF

FEZ

10.20%

9.25%

7.82%

$176,478,005

PROSHS BITCOIN STRATEGY ETF

BITO

31.47%

23.94%

7.57%

$170,050,280

VNGRD TAX-EXEMPT BOND INDEX ETF

VTEB

0.64%

0.63%

7.32%

$145,309,978

INVESCO NASDAQ INTERNET ETF

PNQI

12.47%

11.09%

6.82%

$57,506,257

PROSHS ULTRAPRO SHORT SP 500 ETF

SPXU

4.99%

4.75%

6.82%

$52,620,155

PROSHS ULTRA 1.5X VIX S.T. FUTURES ETF

UVXY

19.35%

16.21%

6.57%

$146,563,434

INVESCO CCYSHS EURO ETF

FXE

17.41%

14.83%

6.32%

$62,637,295

ISHS MSCI GERMANY ETF

EWG

16.10%

13.87%

6.32%

$214,121,137

ARK GENOMIC REVOLUTION ETF

ARKG

12.11%

10.80%

5.82%

$293,131,005

XTRACKERS HARVEST CSI 300 CHINA A ETF

ASHR

8.37%

7.72%

5.82%

$157,958,637

PROSHS ULTRA 2X 20+ YR TREAS ETF

TBT

12.44%

11.06%

5.57%

$116,223,879

ISHS MSCI HONG KONG ETF

EWH

8.65%

7.96%

5.57%

$60,631,803

ISHS MSCI UNITED KINGDOM ETF

EWU

2.01%

1.97%

5.57%

$63,675,360

ISHS EURO HIGH YIELD CORP BOND UCITS ETF

ISHHF

1.98%

1.94%

5.57%

$82,519,429

ARK NEXT GEN INTERNET ETF

ARKW

5.20%

4.94%

5.32%

$61,056,363

ISHS NATIONAL MUNI BOND ETF

MUB

0.83%

0.82%

5.32%

$252,083,204

VANECK PHARMACEUTICAL ETF

PPH

20.80%

17.22%

4.82%

$114,886,039

PROSHS SHORT VIX SHORT TERM FUTURES ETF

SVXY

12.57%

11.17%

4.82%

$56,408,871

SI % Float and stock borrow costs are just two of the variables in our multi-factor Crowded Score metric along with the overall size of the short, stock borrow liquidity and trading liquidity. The ETF\Funds with the highest Crowded Scores are below.

Most Crowded ETFs

U S ETF\FUND

Ticker

Short Interest

Fee

S3 SI % Float

S3 Crowded Score

SPDR S&P RETAIL ETF

XRT

$1,153,262,184

3.07%

65.97%

90.00

ISHS IBOXX $ HIGH YIELD CORP BOND ETF

HYG

$6,753,233,405

2.82%

27.95%

87.50

SPDR SP OIL\GAS EXPLOR\PROD ETF

XOP

$2,834,252,216

1.07%

34.60%

85.00

SPDR S&P BIOTECH ETF

XBI

$2,840,715,405

0.94%

25.85%

85.00

INVESCO SP 500 EQUAL WEIGHT COMM SERVICES ETF

EWCO

$21,419,858

1.32%

40.19%

85.00

VANECK SEMICONDUCTOR ETF

SMH

$2,442,977,633

1.19%

26.10%

82.50

ISHS RUSSELL 2000 ETF

IWM

$18,353,665,954

0.94%

24.94%

82.50

SPDR BBERG HIGH YIELD BOND ETF

JNK

$2,060,570,429

2.07%

19.26%

80.00

SPDR S&P REGIONAL BANKING ETF

KRE

$1,342,583,285

1.32%

27.39%

80.00

Institutionally ETFs are primarily used as a portfolio hedging vehicles (SPY, IWM & QQQ shorts make up 43% of total ETF short interest) so one can expect that in an upward trending market most of the larger ETF short positions would have large negative returns. ETF shorts were down $6.72 billion in net-of financing mark-to-market losses, -3.18%, in November.

Most of the most profitable ETF shorts in November were niche or levered ETFs.

Most Profitable ETF Shorts ($): November 2022

ETF\Fund

Ticker

Avg Fee

Avg Short Interest

Nov MTM P\L

P\L %

ISHS MSCI BRAZIL ETF

EWZ

0.94%

$1,312,702,199

$126,074,991

9.60%

PROSHS ULTRAPRO SHORT QQQ ETF

SQQQ

1.38%

$674,794,354

$75,093,198

11.13%

PROSHS BITCOIN STRATEGY ETF

BITO

5.55%

$187,532,655

$41,063,267

21.90%

SPDR S&P BIOTECH ETF

XBI

0.97%

$2,930,736,233

$18,836,459

0.64%

PROSHS ULTRA 2X 20+ YR TREAS ETF

TBT

5.66%

$134,059,959

$14,687,431

10.96%

DRXN DAILY SEMICONDUCTOR BEAR 3X ETF

SOXS

7.19%

$32,992,658

$14,652,490

44.41%

GRAYSCALE BITCOIN TRUST ETF

GBTC

4.89%

$52,135,398

$13,631,521

26.15%

ISHS MSCI SAUDI ARABIA ETF

KSA

0.30%

$232,345,383

$13,369,897

5.75%

PROSHS ULTRA 1.5X VIX S.T. FUTURES ETF

UVXY

7.01%

$165,202,149

$13,119,702

7.94%

CONS DISCRETIONARY SELECT SECTOR SPIDER ETF

XLY

0.73%

$896,343,137

$10,350,493

1.15%

While most of the least profitable ETFs in November were the most shorted, hedge related, ETFs.

The Least Profitable ETF Shorts ($): November 2022

ETF\Fund

Ticker

Avg Fee

Avg Short Interest

Nov MTM P\L

P\L %

SPDR S&P 500 ETF

SPY

0.30%

$51,096,455,728

($1,089,882,831)

-2.13%

INVESCO QQQ TRUST ETF

QQQ

0.57%

$20,589,537,426

($598,084,310)

-2.90%

ISHS MSCI EMERGING MARKETS ETF

EEM

0.30%

$4,646,790,076

($500,899,975)

-10.78%

ISHS MSCI EAFE ETF

EFA

0.30%

$3,487,181,793

($320,983,147)

-9.20%

VANECK SEMICONDUCTOR ETF

SMH

0.99%

$2,176,019,533

($305,315,543)

-14.03%

ISHS CHINA LARGE CAP ETF

FXI

0.51%

$1,195,333,427

($265,690,192)

-22.23%

ISHS IBOXX $ INV GRD CORP BOND ETF

LQD

0.33%

$3,447,743,605

($163,040,771)

-4.73%

SPDR GOLD TR ETF

GLD

0.76%

$1,608,686,488

($134,619,562)

-8.37%

SPDR FINANCIAL SELECT SECTOR ETF

XLF

0.32%

$2,934,445,509

($114,215,381)

-3.89%

ISHS MSCI TAIWAN CAPPED ETF

EWT

0.63%

$756,653,397

($113,392,912)

-14.99%

The outright size of some ETF shorts can skew the results when looking at Profit & Loss in dollar terms, looking at Profit & Loss in percentage terms tells us which shorted ETFs had the largest price moves in November. The largest and least profitable shorted ETFs in percentage terms with over $50 million in short interest were:

The most profitable ETF shorts were either leveraged, crypto, or emerging market.

Most Profitable ETF Shorts (%): November 2022

ETF\Fund

Ticker

Avg Fee

Avg Short Interest

Nov MTM P\L

P\L %

GRAYSCALE BITCOIN TRUST ETF

GBTC

4.89%

$52,135,398

$13,631,521

26.15%

PROSHS BITCOIN STRATEGY ETF

BITO

5.55%

$187,532,655

$41,063,267

21.90%

PROSHS ULTRAPRO SHORT QQQ ETF

SQQQ

1.38%

$674,794,354

$75,093,198

11.13%

PROSHS ULTRA 2X 20+ YR TREAS ETF

TBT

5.66%

$134,059,959

$14,687,431

10.96%

ISHS MSCI BRAZIL ETF

EWZ

0.94%

$1,312,702,199

$126,074,991

9.60%

PROSHS ULTRA 1.5X VIX S.T. FUTURES ETF

UVXY

7.01%

$165,202,149

$13,119,702

7.94%

PROSHS ULTRAPRO SHORT SP 500 ETF

SPXU

6.97%

$55,308,335

$3,758,028

6.79%

ISHS MSCI SAUDI ARABIA ETF

KSA

0.30%

$232,345,383

$13,369,897

5.75%

IPATH SERIES B SP 500 VIX ST FUT ETN

VXX

3.67%

$149,912,795

$7,669,575

5.12%

ARK NEXT GEN INTERNET ETF

ARKW

5.48%

$57,161,437

$2,886,582

5.05%

Most of the least profitable ETFs were HK\China or Asia or semiconductor related.

Least Profitable ETF Shorts (%): November 2022

ETF\Fund

Ticker

Avg Fee

Avg Short Interest

Nov MTM P\L

P\L %

KRANESHS CSI CHINA INTERNET ETF

KWEB

0.30%

$373,128,280

($111,438,887)

-29.87%

DRXN DAILY SEMICONDUCTOR BULL 3X ETF

SOXL

0.79%

$124,816,890

($28,435,117)

-22.78%

ISHS CHINA LARGE CAP ETF

FXI

0.51%

$1,195,333,427

($265,690,192)

-22.23%

ISHS MSCI CHINA ETF

MCHI

0.36%

$178,946,233

($38,612,993)

-21.58%

ISHS MSCI HONG KONG ETF

EWH

6.07%

$59,726,921

($11,506,613)

-19.27%

GLOBAL X COPPER MINERS ETF

COPX

3.83%

$69,575,370

($12,468,783)

-17.92%

ISHS MSCI TAIWAN CAPPED ETF

EWT

0.63%

$756,653,397

($113,392,912)

-14.99%

VANECK SEMICONDUCTOR ETF

SMH

0.99%

$2,176,019,533

($305,315,543)

-14.03%

ISHS ASIA EX-JAPAN ETF

AAXJ

0.33%

$108,856,926

($14,951,504)

-13.74%

INVESCO SOLAR ETF

TAN

9.73%

$209,910,570

($28,794,115)

-13.72%

Short interest in the ARK family of ETFs reversed its previous trend of short covering and we saw short selling once again get more active in these tech heavy ETFs. Total short interest in the ARK family of ETFs increased slightly from $1.46 billion to $1.47 billion. There was $53 million of new short covering that almost totally offset the $64 million of mark-to-market increases in the value of shares shorted. Short sellers were trimming their shares shorted to keep their dollar exposure float over the last thirty days.

Short sellers were willing to keep their exposure even as stock borrow rates for their shorts almost doubled. The average stock borrow cost to short the ARK ETFs decreased to 4.45% fee from 4.60% fee.

ARK Family Short Interest (as of 11.18.22)

ARK ETF

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

30D Change Short Interest

ARK FINTECH INNOVATION ETF

ARKF

5.14%

4.89%

3.57%

$40,830,038

($4,732,585)

ARK GENOMIC REVOLUTION ETF

ARKG

12.11%

10.80%

5.82%

$293,131,005

$16,028,048

ARK INNOVATION ETF

ARKK

13.14%

11.61%

4.07%

$1,053,942,051

$6,670,478

ARK AUTOMONOUS TECH ROBOTICS ETF

ARKQ

0.81%

0.80%

1.19%

$7,419,219

$618,276

ARK NEXT GEN INTERNET ETF

ARKW

5.20%

4.94%

5.32%

$61,056,363

($6,156,076)

ARK SPACE EXPLORATION INNOVATION ETF

ARKX

3.58%

3.45%

6.82%

$9,912,797

$2,129,859

ARK ISRAEL INNOVATIVE TECHNOLOGY ETF

IZRL

7.29%

6.80%

3.07%

$7,674,947

($8,368)

THE 3D PRINTING ETF

PRNT

0.53%

0.53%

2.57%

$991,913

($3,263,806)

Total ARK Family Short Interest

12.22%

10.85%

4.45%

$1,474,958,333

$11,285,826

Shorting the ARK family of funds has been a profitable trade in 2022. ARK shorts are up +$2.43 billion in mark-to-market profits for the year, a +109.5% return on an average short interest of $2.22 billion.

In November profits were minimal as tech stock prices rallied and then reversed, ARK shorts are up +$12 million in November month-to-date mark-to-market profits, up +0.82% on an average short interest of $1.50 billion.

ARK ETFs November MTM P\L (as of 11.18.22)

ARK ETF

Ticker

Avg Fee

Avg Short Interest

Nov MTM P\L

P\L %

ARK FINTECH INNOVATION ETF

ARKF

3.64%

$41,748,724

$1,231,269

2.95%

ARK GENOMIC REVOLUTION ETF

ARKG

5.47%

$307,344,509

$459,291

0.15%

ARK INNOVATION ETF

ARKK

4.78%

$1,071,575,439

$7,601,077

0.71%

ARK AUTOMONOUS TECH ROBOTICS ETF

ARKQ

2.24%

$7,381,378

$163,998

2.22%

ARK NEXT GEN INTERNET ETF

ARKW

5.48%

$57,161,437

$2,886,582

5.05%

ARK SPACE EXPLORATION INNOVATION ETF

ARKX

5.01%

$8,978,148

$52,166

0.58%

ARK ISRAEL INNOVATIVE TECHNOLOGY ETF

IZRL

2.85%

$7,403,089

($54,398)

-0.73%

THE 3D PRINTING ETF

PRNT

2.48%

$426,783

$9,758

2.29%

Total ARK Family Nov MTM P\L

-

4.89%

$1,502,019,507

$12,349,743

0.82%

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