Barclays Bank announced that it will be halting new creations and discontinue sales from its inventory of the iPath Series B S&P 500 VIX Short-Term Futures ETF (VXX) and iPath Pure Beta Crude Oil ETN (OIL). This action not only affects long shareholders but also short sellers. While the OIL ETF has minimal short interest ($3.04 million of short interest, 0.10 million shares shorted), short sellers are very active in the VXX ETF. VXX short interest is $891 million, 30.92 million shares shorted, 92.98% SI % Float. The S3 SI % Float (which includes the synthetic longs created by every short sale in the Float denominator) is 48.17%. The stock borrow rate is 3.57% and should be increasing as borrow supply dwindles. VXX is the 47th largest ETF short.

ETF Short Interest as of 03.15.22

ETF

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

SPDR S&P 500 ETF

SPY

17.75%

15.07%

0.30%

$67,057,171,605

ISHS RUSSELL 2000 ETF

IWM

39.67%

28.40%

0.69%

$23,517,968,418

INVESCO QQQ TRUST ETF

QQQ

13.70%

12.05%

0.30%

$23,203,776,023

ISHS IBOXX $ HIGH YIELD CORP BOND ETF

HYG

57.03%

36.32%

3.57%

$8,896,538,227

ISHS IBOXX $ INV GRD CORP BOND ETF

LQD

16.89%

14.45%

0.94%

$5,580,400,326

SPDR FINANCIAL SELECT SECTOR ETF

XLF

11.16%

10.04%

0.30%

$4,770,933,185

SPDR SP OIL\GAS EXPLOR\PROD ETF

XOP

82.50%

45.21%

1.20%

$4,725,796,600

ISHS MSCI EAFE ETF

EFA

7.64%

7.10%

0.57%

$3,839,873,236

ISHS MSCI EMERGING MARKETS ETF

EEM

16.32%

14.03%

0.30%

$3,486,717,267

SPDR INDUSTRIAL SELECT SECTOR ETF

XLI

22.30%

18.23%

0.30%

$3,479,059,591

ISHS 20+ YR TREAS BOND ETF

TLT

18.59%

15.67%

0.30%

$3,039,404,368

SPDR ENERGY SELECT SECTOR ETF

XLE

7.35%

6.85%

0.30%

$2,735,213,184

SPDR S&P BIOTECH ETF

XBI

45.25%

31.16%

1.07%

$2,699,631,000

SPDR S&P REGIONAL BANKING ETF

KRE

46.75%

31.86%

1.07%

$2,490,661,459

INVESCO S&P 500 EQUAL WEIGHT ETF

RSP

7.72%

7.17%

0.69%

$2,437,139,070

SPDR DJIA ETF

DIA

8.51%

7.85%

0.30%

$2,406,709,696

SPDR HEALTH CARE SELECT SECTOR ETF

XLV

6.70%

6.28%

0.30%

$2,286,343,744

SPDR UTILITIES SELECT SECTOR ETF

XLU

20.38%

16.93%

0.30%

$2,286,258,219

VNGRD S&P 500 ETF

VOO

0.82%

0.30%

$2,194,151,525

ISHS JPM $ EMERGING MARKETS BOND ETF

EMB

12.96%

11.47%

0.57%

$2,122,010,684

IPATH SERIES B SP 500 VIX ST FUT ETN

VXX

92.98%

48.18%

4.32%

$890,816,023

Total ETF Short Interest

23.59%

15.47%

0.96%

$256,881,891,951

Over the past thirty days we have seen +$142 million of new short selling in the VXX ETF, the 16th largest amount of new short selling over the last thirty days for all ETFs.

ETFs: 30 Day Change in Shares Shorted (as of 03.15.22)

ETF

Ticker

Short Interest

30 Day Change Shares Shorted

SPDR S&P 500 ETF

SPY

$67,057,171,605

$5,505,506,343

VNGRD S&P 500 ETF

VOO

$2,194,151,525

$617,087,277

VNGRD ST CORP BOND ETF

VCSH

$1,159,491,609

$605,249,638

ISHS CORE MSCI EAFE ETF

IEFA

$1,640,435,809

$552,383,919

ISHS MSCI EAFE ETF

EFA

$3,839,873,236

$467,169,229

SPDR S&P REGIONAL BANKING ETF

KRE

$2,490,661,459

$314,637,718

INVESCO SENIOR LOAN ETF

BKLN

$1,929,904,861

$299,411,916

ISHS IBOXX $ HIGH YIELD CORP BOND ETF

HYG

$8,896,538,227

$270,453,190

ISHS CORE MSCI EMERGING MARKETS ETF

IEMG

$366,216,483

$225,581,258

ISHS CHINA LARGE CAP ETF

FXI

$968,866,526

$196,309,888

SPDR BLACKSTONE SENIOR LOAN ETF

SRLN

$803,962,122

$183,608,734

SPDR HEALTH CARE SELECT SECTOR ETF

XLV

$2,286,343,744

$159,388,018

VNGRD TOTAL WORLD STOCK ETF

$485,890,364

$158,250,650

ISHS MSCI BRAZIL ETF

EWZ

$1,578,304,625

$155,050,055

ISHS RUSSELL 1000 ETF

IWB

$815,584,950

$150,039,651

IPATH SERIES B SP 500 VIX ST FUT ETN

VXX

$890,816,023

$142,175,987

ISHS MSCI TAIWAN CAPPED ETF

EWT

$518,126,427

$140,418,896

SPDR UTILITIES SELECT SECTOR ETF

XLU

$2,286,258,219

$127,672,671

SPDR S&P MIDCAP ETF

MDY

$1,453,752,912

$122,201,165

VNGRD EUROPEAN ETF

VGK

$409,849,753

$120,578,284

Total ETF 30D Change Shares Shorted

$256,881,891,951

$3,506,109,833

There has been net short selling over the last thirty days for the VXX, with shares shorted increasing by 4.9 million shares, worth $142 million. This is a +19% increase in shares shorted as its stock price rose +24%. But over the last week we have seen a change in short-side sentiment with 1.5 million of short covering, worth $43 million, a -4.6 decrease in shares shorted as its stock price rose 1.1%.

VXX short sellers are giving back some of their 2021 profits this year. After being up +$744.5 million in 2021 mark-to-market profits (a +131.20% return on an average short interest of $567 million), shorts are down -$301.7 million in year-to-date mark-to-market losses for 2022 (down -48.20% on an average short interest of $626 million). Shorts are down -$174.1 million in March mark-to-market losses, -20.19%, after being down -$27.5 million on the +3.09% price move on March 15.

The definition of a “crowded” short trade varies from investor to investor but there are several themes that remain constant. A short can be considered to be “crowded” if some or all of the following occur: there are large amount of dollars at risk on the short side, a large proportion of a stock’s float is being shorted, there is illiquidity in the stock loan market and\or there is illiquidity in the trading market. ETF Crowdedness is a very volatile number as daily creations and redemptions can change a particular ETF Crowded score significantly on a day-to-day basis.

The VXX ETF is the 12th most Crowded ETF trading in the U.S. (ETFs with over $25 million of short interest). VXX’s relatively large dollar short interest ($891 million), high stock borrow fee (4.32% fee and rising versus the U.S. ETF average of 0.96% fee), high SI % Float (92.98% versus 23.59% U.S. ETF average) and high S3 SI % Float of 48.18% versus 15.47% U.S. ETF average.

The Most Crowded ETFs (as of 03.15.22)

ETF

Ticker

Short Interest

S3 Crowded Score

S3 Squeeze Score

INVESCO SENIOR LOAN ETF

BKLN

$1,929,904,861

95.00

SPDR S&P RETAIL ETF

XRT

$2,120,252,896

92.50

ISHS IBOXX $ HIGH YIELD CORP BOND ETF

HYG

$8,896,538,227

90.00

ISHS RUSSELL 2000 ETF

IWM

$23,517,968,418

85.00

SPDR SP OIL\GAS EXPLOR\PROD ETF

XOP

$4,725,796,600

85.00

SPDR S&P BIOTECH ETF

XBI

$2,699,631,000

82.50

72.50

SPDR S&P REGIONAL BANKING ETF

KRE

$2,490,661,459

82.50

ISHS N AMER TECH-SOFTWARE ETF

IGV

$1,758,325,882

82.50

62.50

ISHS RUSS 2000 GROWTH ETF

IWO

$1,860,556,804

80.00

SPDR BBERG HIGH YIELD BOND ETF

JNK

$1,932,211,055

77.50

SPDR S&P HOMEBUILDERS ETF

XHB

$912,267,204

77.50

IPATH SERIES B SP 500 VIX ST FUT ETN

VXX

$890,816,023

77.50

97.50

ISHS MSCI TURKEY ETF

TUR

$58,315,004

77.50

ISHS MSCI BRAZIL ETF

EWZ

$1,578,304,625

75.00

65.00

VANECK SEMICONDUCTOR ETF

SMH

$1,963,504,040

70.00

60.00

ISHS US HOME CONSTRUCTION ETF

ITB

$633,145,390

70.00

60.00

SPDR INDUSTRIAL SELECT SECTOR ETF

XLI

$3,479,059,591

67.50

ISHS DJ US R.E. ETF

IYR

$1,471,769,837

67.50

ISHS MSCI MEXICO ETF

EWW

$205,441,869

67.50

DRXN NASDAQ-100 EQUAL WEIGHTED ETF

QQQE

$105,543,515

67.50

47.50

Not every Crowded stock is a Squeeze candidate. By overlaying our Squeeze algorithm over our Crowded Score, we can determine which U.S. traded stocks have the highest potential for a Squeeze, and which do not.

The VXX ETF is the most squeezable ETF in the U.S. market with a score or 97.50/100.00. Its Crowdedness coupled with over -20% of market-to-market losses over the last thirty days may chase some short sellers out of their positions.

ETFs Most at Risk of a Short Squeeze (as of 03.15.22)

ETF

Ticker

Short Interest

Crowded Score

Squeeze Score

IPATH SERIES B SP 500 VIX ST FUT ETN

VXX

$890,816,023

77.50

97.50

INVESCO SENIOR LOAN ETF

BKLN

$1,929,904,861

95.00

SPDR S&P RETAIL ETF

XRT

$2,120,252,896

92.50

ISHS IBOXX $ HIGH YIELD CORP BOND ETF

HYG

$8,896,538,227

90.00

ISHS RUSSELL 2000 ETF

IWM

$23,517,968,418

85.00

SPDR SP OIL\GAS EXPLOR\PROD ETF

XOP

$4,725,796,600

85.00

PROSHS ULTRA 1.5X VIX S.T. FUTURES ETF

UVXY

$207,624,665

65.00

85.00

SPDR S&P REGIONAL BANKING ETF

KRE

$2,490,661,459

82.50

ISHS RUSS 2000 GROWTH ETF

IWO

$1,860,556,804

80.00

SPDR BBERG HIGH YIELD BOND ETF

JNK

$1,932,211,055

77.50

SPDR S&P HOMEBUILDERS ETF

XHB

$912,267,204

77.50

ISHS MSCI TURKEY ETF

TUR

$58,315,004

77.50

SPDR S&P BIOTECH ETF

XBI

$2,699,631,000

82.50

72.50

SPDR INDUSTRIAL SELECT SECTOR ETF

XLI

$3,479,059,591

67.50

ISHS DJ US R.E. ETF

IYR

$1,471,769,837

67.50

ISHS MSCI MEXICO ETF

EWW

$205,441,869

67.50

ISHS INTL DEV SMALL CAP VALUE FACTOR ETF

ISVL

$47,977,941

67.50

ISHS MSCI BRAZIL ETF

EWZ

$1,578,304,625

75.00

65.00

ISHS IBOXX $ INV GRD CORP BOND ETF

LQD

$5,580,400,326

65.00

ISHS NASDAQ BIOTECH ETF

IBB

$1,340,936,662

65.00

Our Crowded and Squeeze scores take into account normal market activities such as buying\selling, price moves, trading volumes and stock borrow activity but the VXX ETF is now experiencing a unique systemic factor which makes it even more Squeezable than its score. With Barclays Bank not issuing any more shares either from its inventory or through new ETF creations, the VXX ETF will now act more like a closed end fund rather than an ETF with variable shares outstanding. In addition, as VXX ETF shares get redeemed, we will see shares outstanding decrease over time.

With shares outstanding temporarily maxed out at this share level, excessive buy-side or sell-side demand may force the VXX ETF to trade at a premium or discount to its NAV, producing outsized gains and losses relative to the underlying futures contracts that its price should be based on.

On the stock borrow side, if long shareholders that are lending their shares sell some or all of their positions, there is less of a chance to find replacement stock borrows and the amount of street recalls should increase substantially.

With a greater possibility of stock borrow financing rates increasing, stock recall frequency increasing and stock price volatility increasing the Squeezability of the VXX ETF should top out at the 100.00/100.00 level soon. If the VXX ETF stock price continues to trend upwards, we should start seeing short covering as net-of-financing mark-to-market losses force short sellers out of their positions.

VXX Sales Suspended: Volatility Strikes ETFs

ETF Short Interest as of 03.15.22

ETFs: 30 Day Change in Shares Shorted (as of 03.15.22)

The Most Crowded ETFs (as of 03.15.22)

ETFs Most at Risk of a Short Squeeze (as of 03.15.22)

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