George Costanza at it Again: The Leveraged ETF Episode

2020 ◽  
Author(s):  
James White ◽  
Victor Haghani
Keyword(s):  
Leveraged Etf

Intraday Share Price Volatility and Leveraged ETF Rebalancing

2012 ◽  
Author(s):  
Arthur Rodier ◽  
Edgar Haryanto ◽  
Pauline M. Shum ◽  
Walid Hejazi
Keyword(s):  
Price Volatility ◽  
Share Price ◽  
Leveraged Etf

Intraday Share Price Volatility and Leveraged ETF Rebalancing

2015 ◽  
Vol 20 (6) ◽  
pp. 2379-2409 ◽  
Author(s):  
Pauline Shum ◽  
Walid Hejazi ◽  
Edgar Haryanto ◽  
Arthur Rodier
Keyword(s):  
Price Volatility ◽  
Share Price ◽  
Leveraged Etf

Implied Volatility of Leveraged ETF Options

2014 ◽  
Vol 22 (2) ◽  
pp. 162-188 ◽  
Author(s):  
Tim Leung ◽  
Ronnie Sircar
Keyword(s):  
Implied Volatility ◽  
Leveraged Etf

scholarly journals The Leveraged ETF Inefficiency in Trending & Range-Bound Markets: An Application Case Study for a 3x Leveraged Gold Miners ETF

2017 ◽  
Vol 9 (7) ◽  
pp. 1
Author(s):  
Vasiliki A. Basdekidou
Keyword(s):  
Efficient Market Hypothesis ◽  
Trading Strategy ◽  
Short Term ◽  
Temporal Dimension ◽  
Back Testing ◽  
Gold Miners ◽  
Term Basis ◽  
Leveraged Etf

The main goal of this paper is to introduce the leveraged ETF die-down price action technical market anomaly (leveraged ETF anomaly), and then to discuss the temporal dimension and the subsequent (time-series) functionalities of this anomaly (temporal leveraged ETF anomaly). Our approach not only challenging the efficient-market hypothesis with regards to constantly declining leveraged ETF price action course, but also has a temporal dimension because it uses the Jesse Livermore’s “psychological time” as parameter in both functions: (i) “emotional control” for opening position at the beginning of an intraday or short-term move and thereafter for holding this position; and (ii) in “money risk management - exit policy” for closing position. Traditional fundamental analysis theories and technical analysis rules and approaches are not able to interpret the die-down (i.e. a constantly declining in a mid- and long-term basis) leveraged ETF price action course. Instead, a rational dynamic and temporal representative agent could explain and document better this anomaly and this is the case of this article (i.e. trading exploitation functionality). The presented research shows that the proposed temporal leveraged ETF anomaly accumulates profit entirely overnight in sideways and in choppy markets, while in a trending market the profit occurs intraday. These findings for the leveraged ETF instruments reject classical theories of trending and sideways markets returns. Hence, (i) in a sideways or in a choppy market, a well designed overnight-position return strategy based on temporal leveraged ETF anomaly; and (ii) in a trending market, a well designed daytime-position return strategy based on temporal leveraged ETF anomaly as well, could gain benefit at the expense of hedgers and long-term investors respectively. After back-testing our research in available 5-year data for the JNUG 3x leveraged ETF (gold miners juniors), we found that overnight-position speculators, in sideways or choppy markets, profit from the proposed temporal leveraged ETF trading strategy approach at the expense of hedgers; and daytime swing traders, in trending markets, profit from the proposed temporal leveraged ETF trading strategy approach at the expense of long-term investors.

scholarly journals LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS

2016 ◽  
Vol 27 (4) ◽  
pp. 1035-1068 ◽  
Author(s):  
Tim Leung ◽  
Matthew Lorig ◽  
Andrea Pascucci
Keyword(s):  
Leveraged Etf

Leveraged ETF option strategies

2016 ◽  
Vol 42 (5) ◽  
pp. 438-448 ◽  
Author(s):  
William Trainor ◽  
Richard Gregory
Keyword(s):  
Risk Exposure ◽  
Exchange Traded Funds ◽  
Investment Strategies ◽  
Content Type ◽  
Leverage Ratio ◽  
Option Strategies ◽  
Covered Call ◽  
Equity Indices ◽  
Leveraged Etf ◽  
Leveraged Etfs

Purpose – Leveraged exchange traded funds (ETFs) have become increasingly popular since their introduction in 2006. In recent years, options on leveraged ETFs have been promoted as a means of enhancing returns and reducing risk. The purpose of this paper is to examine the interchangeability of S & P 500 ETF options with leveraged S & P 500 ETF options and to what extent these options allow investors to manage their risk exposure. Design/methodology/approach – With increasing liquidity for these fund’s options, simple option strategies such as covered calls and protective puts can be implemented. This study derives call-call and put-put parity between options on the underlying index and the associated leveraged ETFs. The paper examines comparative measures of return and risk on the underlying indices, along with covered call and protective put positions. Findings – Using the formulations derived, this study shows options on non-leveraged ETFs or on the underlying index can be substituted for leveraged ETF options. Empirical results suggest substituting options on leveraged ETFs with options on the underlying index or index ETF give comparable results, but can differ as the realized leverage ratio over time differs from projected values. Originality/value – This study is the first to the authors’ knowledge that investigates option strategies on leveraged and inverse ETFs of equity indices. It is also the first to derive call-call and put-put parity relations between options on ETFs and related leveraged and inverse ETFs. The results contribute to securities issuance, investment strategies, and option parity relations.

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