U.S. ETF Short Selling Recap: September 2022

Author:

Ihor Dusaniwsky

Managing Director of Predictive Analytics, S3 Partners

Matthew Unterman

Director of Predictive Analytics, S3 Partners

September 27, 2022

We cover 3,375 ETFs and Funds with active shares shorted with $229 billion of short interest. Average Short Interest % of Float is 22.04% and S3 SI % Float (which includes synthetic longs created by every short sale in the Float number) is 15.21%, while the average stock borrow fee is 1.16%. As a comparison, U.S. equities have an average SI % Float of 4.91%, S3 SI % Float of 4.44% and average stock borrow fee of 0.67%.

Short Interest in U.S. ETFs (as of 09.27.22)

U.S. ETF\Fund

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

SPDR S&P 500 ETF

SPY

19.81%

16.53%

0.30%

$ 65,008,222,688

INVESCO QQQ TRUST ETF

QQQ

16.07%

13.85%

0.57%

$ 23,912,803,000

ISHS RUSSELL 2000 ETF

IWM

36.33%

26.65%

1.19%

$ 17,451,473,961

ISHS IBOXX $ HIGH YIELD CORP BOND ETF

HYG

59.74%

37.40%

5.32%

$ 6,468,538,371

ISHS IBOXX $ INV GRD CORP BOND ETF

LQD

20.66%

17.12%

0.57%

$ 6,172,263,279

ISHS MSCI EAFE ETF

EFA

9.10%

8.34%

0.30%

$ 3,582,734,887

SPDR FINANCIAL SELECT SECTOR ETF

XLF

11.78%

10.54%

0.30%

$ 3,292,482,090

SPDR UTILITIES SELECT SECTOR ETF

XLU

22.60%

18.44%

0.82%

$ 3,205,768,157

ISHS MSCI EMERGING MARKETS ETF

EEM

13.89%

12.20%

0.30%

$ 2,975,533,711

SPDR ENERGY SELECT SECTOR ETF

XLE

8.88%

8.16%

0.30%

$ 2,835,670,468

SPDR SP OIL\GAS EXPLOR\PROD ETF

XOP

70.54%

41.36%

1.19%

$ 2,613,512,827

SPDR S&P BIOTECH ETF

XBI

37.46%

27.25%

0.82%

$ 2,426,529,156

SPDR BBERG HIGH YIELD BOND ETF

JNK

46.60%

31.79%

1.82%

$ 2,337,383,645

SPDR INDUSTRIAL SELECT SECTOR ETF

XLI

18.98%

15.95%

0.30%

$ 2,209,767,441

SPDR CONS STAPLES SELECT SECTOR ETF

XLP

14.67%

12.79%

0.30%

$ 2,177,690,838

SPDR HEALTH CARE SELECT SECTOR ETF

XLV

5.80%

5.48%

0.30%

$ 2,121,479,547

ISHS MSCI ACWI INDEX ETF

ACWI

14.13%

12.38%

0.30%

$ 2,048,223,566

ISHS 20+ YR TREAS BOND ETF

TLT

8.36%

7.71%

0.30%

$ 1,992,292,163

VNGRD S&P 500 ETF

VOO

0.78%

0.77%

0.30%

$ 1,922,901,884

SPDR GOLD TR ETF

GLD

3.83%

3.69%

0.30%

$ 1,884,288,973

ISHS S&P 500 ETF

IVV

0.67%

0.66%

0.30%

$ 1,816,101,150

VANECK SEMICONDUCTOR ETF

SMH

28.69%

22.30%

0.94%

$ 1,740,650,231

ARK INNOVATION ETF

ARKK

19.01%

15.98%

5.07%

$ 1,412,716,359

SPDR S&P RETAIL ETF

XRT

546.24%

84.53%

3.32%

$ 1,380,619,261

INVESCO SENIOR LOAN ETF

BKLN

39.13%

28.13%

4.32%

$ 1,316,446,680

Total U.S. ETF\Fund Short Interest

22.04%

15.21%

1.16%

$ 227,945,018,942

Overall ETF short exposure decreased from $245.1 billion to $227.9 billion, a decrease of $17.2 billion, or -7.0%, since the recent market high on August 16th. Change in short interest consists of mark-to-market price changes of existing shorts coupled with new short selling and covering. Since 8/16, we saw a $36.3 billion decrease in the market-to-market value of existing short positions, which was partially offset by $19.1 billion of new net short selling.

As the value of their assets declined, ETF short sellers increased their exposure into market weakness, either by increasing their outstanding portfolio hedges or increasing their short-side risk (Alpha generating) positions. But the increased short selling was not enough to totally offset the mark-to-market decrease. This indicates that ETF short sellers were backing up their short-side bets, but not to the point of keeping their overall dollar ETF short exposure flat.

The $19.1 billion of new net ETF short selling since 8/16 saw the biggest moves in index and broader market index ETFs. ETF short sellers increased short side activity in the S&P 500 (SPY & VOO), Nasdaq (QQQ), major worldwide stocks (ACWI), non-U.S. larger cap stocks (EFA) and Japan (EWJ). Short sellers also targeted investment grade (LQD) and high yield (JNK) corporate bonds as rising interest rates would force process for existing bonds down as well as the interest rate dependent Consumer Discretionary and Utilities sectors.

Largest Increase in Short Selling: ETFs (as of 09.27.22)

U.S. ETF\Fund

Tkr

SI % Float

S3 SI % Float

Short Interest

30D Change Shares Shorted

SPDR S&P 500 ETF

SPY

19.81%

16.53%

$65,008,222,688

$2,587,058,437

INVESCO QQQ TRUST ETF

QQQ

16.07%

13.85%

$23,912,803,000

$2,371,193,689

ISHS IBOXX $ INV GRD CORP BOND ETF

LQD

20.66%

17.12%

$6,172,263,279

$1,335,551,970

SPDR BBERG HIGH YIELD BOND ETF

JNK

46.60%

31.79%

$2,337,383,645

$1,152,119,474

ISHS MSCI ACWI INDEX ETF

ACWI

14.13%

12.38%

$2,048,223,566

$1,037,531,507

SPDR UTILITIES SELECT SECTOR ETF

XLU

22.60%

18.44%

$3,205,768,157

$680,236,554

ISHS MSCI EAFE ETF

EFA

9.10%

8.34%

$3,582,734,887

$661,854,895

ISHS MSCI JAPAN ETF

EWJ

9.23%

8.45%

$792,092,588

$529,188,725

SPDR CONS STAPLES SELECT SECTOR ETF

XLP

14.67%

12.79%

$2,177,690,838

$512,039,533

VNGRD S&P 500 ETF

VOO

0.78%

0.77%

$1,922,901,884

$503,073,832

ETFs with increased short selling outnumbered ones with short covering 3-2, and there were no ETFs with more that $500 million in short covering since 8/16.

Largest Decrease in Short Selling: ETFs (as of 09.27.22)

U.S. ETF\Fund

Tkr

SI % Float

S3 SI % Float

Short Interest

30D Change Shares Shorted

ISHS CORE MSCI EMERGING MARKETS ETF

IEMG

0.16%

0.16%

$92,390,526

($404,088,993)

ISHS 7-10 YR TREAS BOND ETF

IEF

1.61%

1.58%

$341,849,246

($394,550,163)

VANECK SEMICONDUCTOR ETF

SMH

28.69%

22.30%

$1,740,650,231

($258,235,249)

ISHS IBOXX $ HIGH YIELD CORP BOND ETF

HYG

59.74%

37.40%

$6,468,538,371

($239,266,184)

SPDR DJIA ETF

DIA

4.88%

4.65%

$1,237,704,861

($238,545,657)

XTRACKERS HARVEST CSI 300 CHINA A ETF

ASHR

2.73%

2.65%

$42,258,878

($216,460,856)

SCHWAB US TIPS ETF

SCHP

0.94%

0.93%

$135,457,605

($201,484,157)

SPDR INDUSTRIAL SELECT SECTOR ETF

XLI

18.98%

15.95%

$2,209,767,441

($196,629,171)

ISHS CORE US AGGREGATE BOND ETF

AGG

0.80%

0.79%

$619,882,724

($192,382,631)

ISHS MSCI EAFE VALUE ETF

EFV

1.21%

1.20%

$150,222,266

($190,848,486)

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 three ETFs that fell out of the 8/16 top twenty-five league table and three ETFs that jumped into the 9/27 top twenty-five league table.

Two inflation based (TIPS & MBS) fixed income ETFs, an emerging market ETF and three growth\tech ETFs dropped out of the top twenty-five while an energy ETF, semiconductor ETF, consumer staples ETF, gold ETF and two real estate ETFs joined the top twenty-five.

The iShares MSCI ACWI Index ETF (1,200 worldwide stocks) replaced the Spider DJIA ETF (30 large-cap U.S. stocks) and the more directly interest rate sensitive Spider Bloomberg High Yield Bond ETF and Invesco Senior Loan ETF replaced the more indirectly affected Spider S&P Regional Banking ETF and iShares Dow Jones Real Estate ETF.

ETF Short Interest: 8/16/22 - 9/27/22

U.S. ETF\Fund Short Interest 9/27/22

Tkr

U.S. ETF\Fund Short Interest 8/16/22

Tkr

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 IBOXX $ INV GRD CORP BOND ETF

LQD

ISHS IBOXX $ INV GRD CORP BOND ETF

LQD

ISHS MSCI EAFE ETF

EFA

ISHS MSCI EAFE ETF

EFA

SPDR FINANCIAL SELECT SECTOR ETF

XLF

SPDR FINANCIAL SELECT SECTOR ETF

XLF

SPDR UTILITIES SELECT SECTOR ETF

XLU

ISHS MSCI EMERGING MARKETS ETF

EEM

ISHS MSCI EMERGING MARKETS ETF

EEM

SPDR S&P BIOTECH ETF

XBI

SPDR ENERGY SELECT SECTOR ETF

XLE

SPDR INDUSTRIAL SELECT SECTOR ETF

XLI

SPDR SP OIL\GAS EXPLOR\PROD ETF

XOP

SPDR UTILITIES SELECT SECTOR ETF

XLU

SPDR S&P BIOTECH ETF

XBI

SPDR ENERGY SELECT SECTOR ETF

XLE

SPDR BBERG HIGH YIELD BOND ETF

JNK

SPDR SP OIL\GAS EXPLOR\PROD ETF

XOP

SPDR INDUSTRIAL SELECT SECTOR ETF

XLI

VANECK SEMICONDUCTOR ETF

SMH

SPDR CONS STAPLES SELECT SECTOR ETF

XLP

ISHS S&P 500 ETF

IVV

SPDR HEALTH CARE SELECT SECTOR ETF

XLV

ISHS 20+ YR TREAS BOND ETF

TLT

ISHS MSCI ACWI INDEX ETF

ACWI

SPDR HEALTH CARE SELECT SECTOR ETF

XLV

ISHS 20+ YR TREAS BOND ETF

TLT

SPDR CONS STAPLES SELECT SECTOR ETF

XLP

VNGRD S&P 500 ETF

VOO

SPDR DJIA ETF

DIA

SPDR GOLD TR ETF

GLD

VNGRD S&P 500 ETF

VOO

ISHS S&P 500 ETF

IVV

SPDR GOLD TR ETF

GLD

VANECK SEMICONDUCTOR ETF

SMH

SPDR S&P REGIONAL BANKING ETF

KRE

ARK INNOVATION ETF

ARKK

SPDR S&P RETAIL ETF

XRT

SPDR S&P RETAIL ETF

XRT

ISHS DJ US R.E. ETF

IYR

INVESCO SENIOR LOAN ETF

BKLN

ARK INNOVATION ETF

ARKK

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.

Traditional Short Interest vs S3 Short Interest (as of 09.27.22)

U.S. ETF\Fund

Ticker

SI % Float

S3 SI % Float

Short Interest

SPDR S&P RETAIL ETF

XRT

546.24%

84.53%

$ 1,380,619,261

SPDR SP OIL\GAS EXPLOR\PROD ETF

XOP

70.54%

41.36%

$ 2,613,512,827

SPDR S&P HOMEBUILDERS ETF

XHB

69.80%

41.11%

$ 586,465,193

ISHS IBOXX $ HIGH YIELD CORP BOND ETF

HYG

59.74%

37.40%

$ 6,468,538,371

SPDR BBERG HIGH YIELD BOND ETF

JNK

46.60%

31.79%

$ 2,337,383,645

ISHS US HOME CONSTRUCTION ETF

ITB

45.98%

31.50%

$ 537,818,004

SPDR S&P REGIONAL BANKING ETF

KRE

44.21%

30.66%

$ 1,309,700,394

IPATH SERIES B SP 500 VIX ST FUT ETN

VXX

44.21%

30.66%

$ 257,177,884

INVESCO SENIOR LOAN ETF

BKLN

39.13%

28.13%

$ 1,316,446,680

PROSHS BITCOIN STRATEGY ETF

BITO

39.13%

28.12%

$ 230,920,494

SPDR S&P BIOTECH ETF

XBI

37.46%

27.25%

$ 2,426,529,156

ISHS RUSSELL 2000 ETF

IWM

36.33%

26.65%

$ 17,451,473,961

ISHS MSCI MEXICO ETF

EWW

35.57%

26.24%

$ 210,761,408

ISHS DJ US R.E. ETF

IYR

32.08%

24.29%

$ 1,209,366,521

SPDR METALS & MINING ETF

XME

31.25%

23.81%

$ 482,219,799

VANECK SEMICONDUCTOR ETF

SMH

28.69%

22.30%

$ 1,740,650,231

VANECK PHARMACEUTICAL ETF

PPH

28.25%

22.03%

$ 155,292,788

SPDR S&P INSURANCE ETF

KIE

26.74%

21.10%

$ 117,763,262

VANECK OIL SERVICES ETF

OIH

26.73%

21.09%

$ 506,926,483

ISHS MSCI BRAZIL ETF

EWZ

24.21%

19.49%

$ 1,190,885,027

ISHS MSCI TAIWAN CAPPED ETF

EWT

23.78%

19.21%

$ 725,883,045

PROSHS SHORT VIX SHORT TERM FUTURES ETF

SVXY

23.07%

18.75%

$ 73,585,636

SPDR UTILITIES SELECT SECTOR ETF

XLU

22.60%

18.44%

$ 3,205,768,157

ISHS CHINA LARGE CAP ETF

FXI

21.28%

17.55%

$ 983,948,446

PROSHS ULTRA 1.5X VIX S.T. FUTURES ETF

UVXY

21.09%

17.42%

$ 243,322,455

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:

Borrow Fees for U.S. ETFS (as of 09.27.22)

U.S. ETF\Fund Stock Borrow Fees

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

IPATH SERIES B SP 500 VIX ST FUT ETN

VXX

44.21%

30.66%

17.82%

$ 257,177,884

ISHS NATIONAL MUNI BOND ETF

MUB

1.78%

1.75%

13.07%

$ 484,240,207

VANECK RUSSIA ETF

RSX

16.96%

14.50%

12.07%

$ 91,920,392

ISHS DJ US HEALTHCARE ETF

IYH

1.84%

1.81%

11.57%

$ 53,661,652

ISHS CALIFORNIA MUNI BOND ETF

CMF

3.90%

3.75%

10.57%

$ 66,537,482

DRXN NASDAQ-100 EQUAL WEIGHTED ETF

QQQE

14.69%

12.81%

10.07%

$ 96,146,722

SCHWAB FUNDAMENTAL INTL LARGE CO ETF

FNDF

1.59%

1.56%

8.07%

$ 107,352,373

SPDR EURO STOXX 50 ETF

FEZ

11.79%

10.55%

7.82%

$ 146,505,642

PROSHS ULTRAPRO SHORT SP 500 ETF

SPXU

5.03%

4.79%

7.82%

$ 70,944,569

VNGRD INTL HIGH DVD YIELD ETF

VYMI

2.50%

2.44%

7.82%

$ 93,972,273

ISHS MSCI GERMANY ETF

EWG

18.03%

15.27%

7.32%

$ 198,547,038

VANECK HIGHYIELD MUNI INDEX ETF

HYD

2.96%

2.88%

7.32%

$ 81,602,840

ISHS CORE INTL AGGREGATE BOND ETF

IAGG

1.86%

1.82%

7.32%

$ 67,007,285

JPM BETABUILDERS DEVELOPED ASIA EX JAPAN ETF

BBAX

1.51%

1.49%

7.07%

$ 51,208,318

JPM BETABUILDERS EUROPE ETF

BBEU

11.89%

10.63%

6.57%

$ 366,636,595

VNGRD TAX-EXEMPT BOND INDEX ETF

VTEB

0.37%

0.37%

6.57%

$ 64,257,216

ISHS MSCI UNITED KINGDOM ETF

EWU

2.02%

1.98%

5.82%

$ 57,166,611

PROSHS ULTRA 2X 20+ YR TREAS ETF

TBT

9.77%

8.90%

5.57%

$ 130,634,529

ARK NEXT GEN INTERNET ETF

ARKW

6.54%

6.13%

5.57%

$ 78,607,270

SPDR TIPS ETF

SPIP

4.12%

3.95%

5.57%

$ 96,102,004

ISHS IBOXX $ HIGH YIELD CORP BOND ETF

HYG

59.74%

37.40%

5.32%

$6,468,538,371

DRXN DAILY SEMICONDUCTOR BEAR 3X ETF

SOXS

12.09%

10.79%

5.32%

$ 67,577,579

VANECK PHARMACEUTICAL ETF

PPH

28.25%

22.03%

5.07%

$ 155,292,788

ARK INNOVATION ETF

ARKK

19.01%

15.98%

5.07%

$1,412,716,359

ISHS DJ US TRANSPORT AVG ETF

IYT

12.05%

10.75%

5.07%

$ 88,967,176

ISHS SHORT-TERM NATIONAL MUNI BOND ETF

SUB

0.56%

0.56%

5.07%

$ 50,146,125

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 S3 Crowded Scores are below.

The Most Crowded ETFs

U.S. ETF\Fund

Ticker

Short Interest

Fee

S3 SI % Float

S3 Crowded Score

INVESCO SENIOR LOAN ETF

BKLN

$ 1,316,446,680

4.32%

28.13%

95.00

ISHS IBOXX $ HIGH YIELD CORP BOND ETF

HYG

$ 6,468,538,371

5.32%

37.40%

92.50

WTREE MORTGAGE PLUS BOND FUND ETF

MTGP

$ 14,283,689

7.07%

39.74%

92.50

SPDR S&P RETAIL ETF

XRT

$1,380,619,261

3.32%

84.53%

92.50

VANECK PHARMACEUTICAL ETF

PPH

$ 155,292,788

5.07%

22.03%

90.00

ISHS RUSSELL 2000 ETF

IWM

$17,451,473,961

1.19%

26.65%

90.00

IPATH SERIES B S&P 500 VIX ST FUT ETN

VXX

$ 257,177,884

17.82%

30.66%

85.00

SPDR BBERG HIGH YIELD BOND ETF

JNK

$ 2,337,383,645

1.82%

31.79%

85.00

SPDR S&P OIL\GAS EXPLOR\PROD ETF

XOP

$ 2,613,512,827

1.19%

41.36%

85.00

INVESCO S&P 500 EQUAL WEIGHT COMM SERVICES ETF

EWCO

$ 13,935,714

1.32%

33.97%

85.00

SPDR S&P BIOTECH ETF

XBI

$ 2,426,529,156

0.82%

27.25%

82.50

SPDR S&P REGIONAL BANKING ETF

KRE

$ 1,309,700,394

1.44%

30.66%

82.50

ISHS U.S. HOME CONSTRUCTION ETF

ITB

$ 537,818,004

1.69%

31.50%

82.50

SPDR S&P HOMEBUILDERS ETF

XHB

$ 586,465,193

1.82%

41.11%

80.00

ISHS U.S. DIVIDEND BUYBACK ETF

DIVB

$ 28,765,672

101.82%

11.02%

80.00

Institutionally ETFs are primarily used as a portfolio hedging vehicles (SPY, IWM & QQQ shorts make up 47% of total ETF short interest) so one can expect that in a downward trending market most of the larger ETF short positions would have large positive returns. ETF shorts were up $37.1 billion in net-of financing mark-to-market profits, +15.85%, since 8/16.

The top ten most profitable ETF shorts in dollar terms are all in the top 25 most shorted ETFs in the market. The highest returns of these mega-shorts were the Vaneck Semiconductor WETF (SMH), iShares Russell 2000 ETF (IWM) and Invesco QQQ Trust ETF (QQQ).

Most Profitable ($) ETF Shorts (as of 09.27.22)

U.S. ETF\Fund

Ticker

Avg Fee

Avg Short Interest

MTM P\L

P\L %

SPDR S&P 500 ETF

SPY

0.31%

$67,989,531,570

$11,459,801,513

16.86%

INVESCO QQQ TRUST ETF

QQQ

0.35%

$24,483,521,757

$4,708,632,591

19.23%

ISHS RUSSELL 2000 ETF

IWM

0.94%

$19,570,524,328

$3,831,673,216

19.58%

ISHS MSCI EAFE ETF

EFA

0.31%

$3,622,702,440

$644,044,655

17.78%

ISHS IBOXX $ INV GRD CORP BOND ETF

LQD

0.32%

$5,434,355,922

$637,879,453

11.74%

ISHS IBOXX $ HIGH YIELD CORP BOND ETF

HYG

3.31%

$6,191,913,914

$607,543,239

9.81%

SPDR FINANCIAL SELECT SECTOR ETF

XLF

0.43%

$3,388,309,683

$547,785,524

16.17%

VANECK SEMICONDUCTOR ETF

SMH

0.73%

$2,144,195,218

$523,689,589

24.42%

SPDR S&P BIOTECH ETF

XBI

0.75%

$2,709,180,206

$477,420,114

17.62%

SPDR INDUSTRIAL SELECT SECTOR ETF

XLI

0.33%

$2,466,485,916

$450,606,737

18.27%

The breadth of market weakness since 8/16 is exemplified by the fact that only 7.6% of all shorted ETFs had mark-to-market losses since 8/16. Leveraged ETFs proved to be dangerous to your wallets if the market goes against them as they took 8 out of the top 10 spots in the least profitable short ETF trade league table.

Least Profitable ($) ETF Shorts (as of 09.27.22)

U.S. ETF\Fund

Ticker

Avg Fee

Avg Short Interest

MTM P\L

P\L %

PROSHS ULTRAPRO SHORT QQQ ETF

SQQQ

0.80%

$506,823,746

($247,390,641)

-48.81%

PROSHS ULTRA 1.5X VIX S.T. FUTURES ETF

UVXY

2.15%

$171,146,380

($65,030,546)

-38.00%

XLINKS CRUDE OIL SHARES COVERED CALL ETN

USOI

6.11%

$8,940,619

($38,094,618)

-426.08%

PROSHS ULTRA 2X 20+ YR TREAS ETF

TBT

4.29%

$110,531,087

($30,360,991)

-27.47%

PROSHS ULTRAPRO SHORT S&P 500 ETF

SPXU

7.48%

$58,849,481

($28,163,517)

-47.86%

DRXN DAILY SEMICONDUCTOR BEAR 3X ETF

SOXS

6.27%

$44,502,760

($25,717,876)

-57.79%

DRXN DAILY SMALL CAP BEAR 3X ETF

TZA

6.25%

$31,287,570

($18,275,576)

-58.41%

PROSHS SHORT S&P 500 ETF

SH

2.11%

$91,355,439

($15,850,339)

-17.35%

PROSHS ULTRASHORT BBERG NAT GAS ETF

KOLD

5.30%

$19,097,454

($11,624,872)

-60.87%

DRXN DAILY 3X GOLD MINERS BEAR ETF

DUST

12.69%

$32,203,720

($11,610,127)

-36.05%

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 since 8/16. The largest and least profitable shorted ETFs in percentage terms with over $50 million in short interest are below. The most profitable ETF shorts were either leveraged, cannabis, gas or tech related. Most of the least profitable ETFs were leveraged, interest rate or volatility related.

Most Profitable (%) ETF Shorts (as of 09.27.22)

U.S. ETF\Fund

Ticker

Avg Fee

Avg Short Interest

MTM P\L

P\L %

DRXN DAILY SEMICONDUCTOR BULL 3X ETF

SOXL

0.91%

$74,107,509

$55,543,536

74.95%

PROSHS ULTRAPRO QQQ ETF

TQQQ

1.02%

$553,444,699

$339,547,173

61.35%

DRXN SMALL CAP BULL 3X ETF

TNA

3.66%

$122,022,409

$74,414,741

60.98%

PROSHS ULTRAPRO 3X S&P 500 ETF

UPRO

2.30%

$67,237,201

$35,441,723

52.71%

DRXN DAILY S&P 500 BULL 3X ETF

SPXL

3.24%

$116,526,499

$60,716,278

52.11%

ADVISORSHS PURE US CANNABIS ETF

MSOS

1.58%

$54,289,323

$17,518,014

32.27%

ARK FINTECH INNOVATION ETF

ARKF

2.38%

$59,403,190

$17,059,502

28.72%

US NATURAL GAS FUND ETF

UNG

4.67%

$131,006,419

$36,935,349

28.19%

ARK NEXT GEN INTERNET ETF

ARKW

5.31%

$82,756,719

$22,888,543

27.66%

ARK INNOVATION ETF

ARKK

3.78%

$1,390,625,712

$381,024,169

27.40%

Least Profitable (%) ETF Shorts (as of 09.27.22)

U.S. ETF\Fund

Ticker

Avg Fee

Avg Short Interest

MTM P\L

P\L %

PROSHS ULTRAPRO SHORT QQQ ETF

SQQQ

0.80%

$506,823,746

($247,390,641)

-48.81%

PROSHS ULTRAPRO SHORT S&P 500 ETF

SPXU

7.48%

$58,849,481

($28,163,517)

-47.86%

PROSHS ULTRA 1.5X VIX S.T. FUTURES ETF

UVXY

2.15%

$171,146,380

($65,030,546)

-38.00%

PROSHS ULTRA 2X 20+ YR TREAS ETF

TBT

4.29%

$110,531,087

($30,360,991)

-27.47%

PROSHS SHORT S&P 500 ETF

SH

2.11%

$91,355,439

($15,850,339)

-17.35%

INVESCO DB US DOLLAR INDEX BULLISH ETF

UUP

1.29%

$83,108,245

($7,214,813)

-8.68%

VANECK RUSSIA ETF

RSX

11.58%

$92,249,615

($1,275,556)

-1.38%

IPATH SERIES B S&P 500 VIX ST FUT ETN

VXX

28.22%

$248,199,430

($2,459,088)

-0.99%

ISHS 0-3 MONTH TREASURY BOND ETF

SGOV

2.40%

$102,236,013

($426,786)

-0.42%

ISHS FLOATING RATE BOND ETF

FLOT

0.30%

$57,483,569

($193,368)

-0.34%

Short interest in the ARKK 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. Even though total short interest in the ARK family of ETFs declined from $1.92 billion on 8/16 to $1.86 billion on 9/27 there was $405 million of new short selling that almost totally offset the $463 million of mark-to-market declines in the value of shares shorted. Short sellers were actively backing up their bets as stock price of the underlying ARK ETF holdings declined. The increased short activity is illustrated by the increase of SI % Float from 12.96% to 16.80% and the S3 SI % Float increasing from 11.40% to 14.27% over this time period.

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 increased to 4.92% fee from 2.60% fee.

ARK Family of ETFs: Short Interest (as of 09.27.22)

ARK ETF

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

8/16 Change Short Interest

ARK FINTECH INNOVATION ETF

ARKF

8.29%

7.66%

3.32%

$63,114,733

$13,413,587

ARK GENOMIC REVOLUTION ETF

ARKG

11.81%

10.56%

4.57%

$273,320,145

$46,611,915

ARK INNOVATION ETF

ARKK

19.01%

15.98%

5.07%

$1,412,716,359

$321,338,477

ARK AUTOMONOUS TECH ROBOTICS ETF

ARKQ

1.04%

1.03%

1.69%

$10,142,935

$735,675

ARK NEXT GEN INTERNET ETF

ARKW

6.54%

6.13%

5.57%

$78,607,270

$23,317,542

ARK SPACE EXPLORATION INNOVATION ETF

ARKX

3.82%

3.67%

2.57%

$10,110,800

$(1,763,006)

ARK ISRAEL INNOVATIVE TECHNOLOGY ETF

IZRL

5.91%

5.58%

4.07%

$6,069,455

$(2,952,129)

THE 3D PRINTING ETF

PRNT

2.62%

2.55%

3.32%

$4,614,318

$4,284,208

Total ARK Family Short Interest

16.80%

14.27%

4.92%

$1,858,696,015

$404,986,269

Shorting the ARK family of funds has been a profitable trade in 2022. ARK shorts are up +$2.44 billion in mark-to-market profits for the year, a +104.3 return on an average short interest of $2.37 billion.

Since 8/16, ARK shorts are up +$492 million in mark-to-market profits, up +26.67% on an average short interest of $1.85 billion.

Mark-to-Market P&L for ARK Family of ETFs: 8/16/22 to 9/27/22

ARK ETF

Ticker

Avg Fee

Avg Short Interest

MTM P\L

P\L %

ARK FINTECH INNOVATION ETF

ARKF

2.38%

$59,403,190

$17,059,502

28.72%

ARK GENOMIC REVOLUTION ETF

ARKG

4.15%

$282,562,549

$63,870,308

22.60%

ARK INNOVATION ETF

ARKK

3.78%

$1,390,625,712

$381,024,169

27.40%

ARK AUTOMONOUS TECH ROBOTICS ETF

ARKQ

1.19%

$11,017,107

$2,887,519

26.21%

ARK NEXT GEN INTERNET ETF

ARKW

5.31%

$82,756,719

$22,888,543

27.66%

ARK SPACE EXPLORATION INNOVATION ETF

ARKX

1.87%

$10,725,694

$2,745,459

25.60%

ARK ISRAEL INNOVATIVE TECHNOLOGY ETF

IZRL

3.67%

$6,377,453

$1,265,031

19.84%

THE 3D PRINTING ETF

PRNT

2.76%

$2,113,122

$556,865

26.35%

Total ARK Family 8/16 to 9/27 MTM P\L

3.83%

$1,845,581,546

$492,297,396

26.67%

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