The Most Active ETFs And Their Hedging Costs

By David Pinsen:As stocks rallied on Thursday on news that central banks would provide European banks with unlimited dollar loans, the Chicago Board Options Exchange Market Volatility Index0 (VIX) dropped 7.6% to 31.97. That volatility index has still closed over 30 every day since August 5th. The table below shows the costs, as of Thursday's close, of hedging 8 of the 10 most actively traded ETFs against greater-than-20% declines over the next several months, using optimal puts.

David Pinsen submits:On a day when the major indexes rose, the Chicago Board Options Exchange Market Volatility Index (VIX) dropped 2.56% Monday, closing at 20.54. The table below shows the costs, as of Monday's close, of hedging each Dow component, and the Dow-tracking ETF (DIA), against greater-than-20% declines over the next several months, using the optimal puts to do so.

David Pinsen submits:The table below shows the costs, as of intraday Wednesday, of hedging 16 of the 20 most actively-traded American Stock Exchange names against greater-than-20% declines over the next several months, using the optimal puts for that. First, a reminder about why I've used 20% as a decline threshold, and what optimal puts mean in this context, plus a quick note about why there were no optimal puts for 4 of these ETFs. Optimal Puts

By David Pinsen: A Down Day for the Dow The Dow closed at 11,240.26, down 2.2% on Friday, September 2nd, and the Chicago Board Options Exchange Market Volatility Index (VIX) rose 6.6%, to 33.92 on the day. The VIX has closed above 30 every day since the market meltdown of August 4th. Hedging the Dow

By David Pinsen:Weak ISM numbers and progress toward a debt ceiling dealThe Dow closed down 0.09% Monday, as concerns about weak ISM Manufacturing Index numbers weighed on the market, despite progress toward a debt ceiling deal. The Chicago Board Options Exchange Market Volatility Index (VIX) declined 6.3%, to 23.66, on the day. Hedging the Dow

By David Pinsen:As of Wednesday's close, the Chicago Board Options Exchange Market Volatility Index (VIX) had ticked down 0.62% on the day to 19.09. The table below shows the costs, as of Wednesday's close, of hedging the most actively-traded New York Stock Exchange stocks against greater-than-20% declines over the next several months, using optimal puts. Comparisons

David Pinsen submits:The table below shows the costs, as of Wednesday's close, of hedging each Dow component, and the Dow-tracking ETF (DIA), against greater-than-20% declines over the next several months, using the optimal puts for that. First, a reminder about what optimal puts mean in this context, why I've used 20% as a decline threshold. Optimal Puts

By David Pinsen:The major indexes rose on Monday but volatility remained relatively high. After a 9.3% drop in the Chicago Board Options Exchange Market Volatility Index (VIX), it closed at 32.28 on the day, nearly double its levels of late July. The table below shows the costs as of Monday's close of hedging some of the most widely traded ADRs against greater-than-20% declines over the next several months, using optimal puts.