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Optionable ETFs Sorted By Dollar Liquidity

Posted February 3rd, 2008 by Michael J Bomma...

As the ETF industry has introduced a large number of new funds over the past year, the list of optionable ETFs has also grown.  In order to highlight those funds most suited to both trading and option-hedging, I've gathered the list of PHLX-listed optionable ETFs and calculated their last month's return, standard deviation, and total dollar liquidity.  Funds with higher volatility and high liquidity make for a variety of opportunities in the current market.

 


Symbol Fund 20-Session Return 20-Session StdDev 20-Session $Million
SPY SPDR S&P 500 -6.45% 1.24% 4714750
IWM iShares Russell 2000 -13.61% 1.60% 1188400
QQQQ PowerShares QQQ Trust -4.00% 1.42% 1185060
EEM iShares MSCI Emerging Index Fund 7.52% 2.45% 392659
XLF SPDR Select Sector Fund - Financial -18.72% 2.08% 377572
XLE SPDR Select Sector Fund - Energy Select Sector 4.24% 1.91% 252361
OIH HOLDRS Merrill Lynch Market Oil Service -1.20% 1.99% 217139
EWZ iShares MSCI Brazil Index Fund 26.07% 3.04% 155992
MDY SPDR MidCap Trust Series I -8.10% 1.30% 142533
FXI iShares FTSE/Xinhua China 25 Index Fund 16.33% 3.49% 139470
EFA iShares MSCI EAFE Index Fund -6.10% 1.39% 113965
RTH HOLDRS Merrill Lynch Retail -8.45% 1.55% 88477
IYR iShares Dow Jones U.S. Real Estate Index Fund -11.72% 2.05% 80225
XLB SPDR Select Sector Fund - Basic Industries 3.05% 1.79% 58323
DIA DIAMONDS -0.46% 1.38% 58194
IWO iShares Russell 2000 Growth -9.96% 1.57% 56209
SMH HOLDRS Merrill Lynch Semiconductor -19.12% 1.64% 56113
EWJ iShares MSCI Japan Index Fund -10.29% 1.22% 44365
XLU SPDR Select Sector Fund - Utilities 3.90% 1.31% 41908
XLI SPDR Select Sector Fund - Industrial -1.75% 1.28% 32984
IWN iShares Russell 2000 Value -17.69% 1.74% 32701
IWF iShares Russell 1000 Growth -3.90% 1.21% 28185
TLT iShares Lehman 20 Year Treasury Bond Fund 14.60% 0.75% 28073
EWY iShares MSCI South Korea Index Fund -4.35% 2.47% 26974
XLY SPDR Select Sector Fund - Consumer Discretionary -16.89% 1.43% 22451
RKH HOLDRS Merrill Lynch Regional Bank -8.24% 2.09% 22050
EWH iShares MSCI Hong Kong Index Fund 17.52% 2.48% 21025
OEF iShares S&P 100 Index Fund -7.50% 1.25% 19426
XHB SPDR Homebuilders ETF -26.83% 3.22% 18255
IBB iShares Nasdaq Biotechnology 1.73% 1.08% 18100
ILF iShares Latin America 40 Index Fund 15.34% 2.64% 16878
GDX Market Vectors TR Gold Miners 28.37% 2.48% 15071
XLK SPDR Select Sector Fund - Technology -7.61% 1.30% 13901
IAI iShares Dow Jones U.S. Broker-Dealers Index Fund -12.03% 2.10% 13732
XLV SPDR Select Sector Fund - Health Care -3.77% 0.97% 13423
ICF iShares Cohen & Steers Realty Major -9.72% 2.17% 13165
XLP SPDR Select Sector Fund - Consumer Staples 2.73% 0.81% 12522
SHY iShares Lehman 1-3 Year Treasury Bond Fund 6.39% 0.15% 12116
PPH HOLDRS Merrill Lynch Pharmaceutical -7.58% 1.02% 11194
IYT iShares Dow Jones Transportation Average Index Fund -6.30% 1.63% 10633
IWS iShares Russell Midcap Value Index -13.21% 1.30% 9306
DVY iShares Dow Jones Select Dividend Index Fund -8.35% 1.47% 9146
EWG iShares MSCI Germany Index Fund -2.98% 1.59% 8161
IJH iShares S&P MidCap 400 Index Fund -8.35% 1.32% 7975
AGG iShares Lehman Aggregate 7.32% 0.29% 7754
IYF iShares Dow Jones U.S. Financial Sector Index Fund -18.62% 1.94% 7739
IWP iShares Russell Midcap Growth Index -6.06% 1.29% 7386
IEV iShares S&P Europe 350 Index Fund -6.77% 1.46% 7054
IWV iShares Russell 3000 -7.26% 1.27% 6482
EWC iShares MSCI Canada Index Fund 5.07% 1.58% 5585
BBH HOLDRS Biotech -2.06% 1.08% 5467
XME SPDR S&P Metals & Mining ETF 9.94% 2.22% 5193
IEF iShares Lehman 7-10 Year Treasury Bond Fund 13.11% 0.46% 4557
TIP iShares Lehman TIPS Bond Fund 12.44% 0.44% 3880
VGK Vanguard European ETF -6.25% 1.46% 3844
IYG iShares Dow Jones U.S. Financial Services Index Fund -20.41% 2.16% 2799
IYM iShares Dow Jones U.S. Basic Materials Index 7.84% 1.80% 2723
UTH HOLDRS Merrill Lynch Utilities 4.34% 1.39% 2701
IYZ iShares Dow Jones U.S. Telecommunications Index Fund -23.66% 1.54% 2323
IYW iShares Dow Jones U.S. Technology Index Fund -7.91% 1.44% 2073
IGW iShares Goldman Sachs Semiconductor Index Fund -20.45% 1.66% 1965
HHH HOLDRS Internet -6.94% 1.90% 1635
IOO iShares S&P Global 100 Index Fund -4.97% 1.23% 1527
IDU iShares Dow Jones U.S. Utilities Index Fund 1.39% 1.28% 1362
SWH HOLDRS Merrill Lynch Software -1.69% 1.32% 1309
IYH iShares Dow Jones U.S. Health Care Index Fund -2.79% 0.92% 1274
IXC iShares S&P Global Energy Index Fund 0.93% 1.60% 1187
IYC iShares Dow Jones U.S. Consumer Index Fund -12.82% 1.25% 991
IYY iShares Dow Jones U.S. Total Market Index Fund -7.14% 1.24% 986
IGN iShares Goldman Sachs Network Index Fund -16.09% 1.73% 902
TTH HOLDRS Merrill Lynch Telecom -10.23% 1.38% 887
IXP iShares S&P Global Telecommunications Index Fund 1.97% 1.36% 759
IYJ iShares Dow Jones U.S. Industrial Sector Index Fund -4.58% 1.27% 756
IXN iShares S&P Global Technology Index Fund -7.48% 1.47% 693
IXJ iShares S&P Global Healthcare Index Fund -3.83% 0.99% 661
IXG iShares S&P Global Financial Index Fund -18.07% 1.73% 542
NY iShares NYSE 100 Index Fund -7.37% 1.22% 515
ONEQ Fidelity Nasdaq Composite Index Tracking Stock -7.77% 1.31% 453
ITF iShares S&P/TOPIX 150 Index Fund -9.63% 1.17% 364
IYK iShares Dow Jones U.S. Consumer Goods Index Fund -1.93% 0.95% 347
NYC iShares NYSE 100 Index Fund -5.70% 1.28% 315
TMW FORTUNE 500 Index Tracking Stock -6.77% 1.23% 305
DGT SPDR DJ Global Titans ETF -4.58% 1.15% 190
HHD HealthShares™ Diagnostics Index Exchange Traded Fund 11.37% 1.18% 144
PXN PowerShares Lux Nanotech Portfolio -16.44% 1.51% 143
FDM First Trust DJ Select MicroCap ETF -21.19% 1.58% 26
HHJ HealthShares™ Emerging Cancer Index Exchange Traded Fund -29.23% 1.77% 11