The Most Active ETFs: A Look at Their Hedging Costs

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 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: A drop in volatility on an up day

David Pinsen submits:The table below shows the costs, as of Friday's close, of hedging the most actively-traded (by dollar volume) 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 the American Stock Exchange most actives list. Optimal Puts

David Pinsen submits:The table below shows the costs, as of Friday's close, of hedging the most actively-traded (by dollar volume) New York Stock Exchange stocks against greater-than-20% declines over the next several months, using the optimal puts for that. Comparisons

David Pinsen submits:The table below shows the costs, as of Tuesday'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. First, a reminder about what optimal puts mean in this context, and why I've used 20% as a decline threshold, plus a quick note about the time frames involved here.

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.

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