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If approved by the SEC, the Volatility Shares S&P 500 High Volatility Index ETF would trade on the CBOE BZX Exchange
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Volatility Shares LLC has filed an application with the Securities and Exchange Commission for a new exchange-traded fund that aims to take advantage of recent market volatility.
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According to the application filed on Wednesday, the Volatility Shares S&P 500 High Volatility Index ETF would invest at least 80% of its net assets in securities that comprise the S&P 500 Volatility – Highest Quintile Index.
The S&P 500 Volatility – Highest Quintile Index, which tracks the performance on the 100 most-volatile stocks in the S&P 500 and is rebalanced quarterly in February, May, August and November, calculates volatility based on available price return data for the trailing one year of trading days leading up to each rebalance date.
As of Feb. 28, the index's top 10 holdings by weight were Moderna, SolarEdge Technologies, Enphase Energy, Etsy, Penn National Gaming, Occidental Petroleum, APA Corporation, Devon Energy Corp, Marathon Oil Corp and Diamondback Energy. Information technology names account for 28.2% of the index's weight, followed by consumer discretionary (21.6%), energy (16.9%), communication services (8%), healthcare (7.3%), industrials (6.5%), materials (5.5%), financials (5.2%) and utilities (0.8%).
Trader Justin Flinn, left, works on the floor of the New York Stock Exchange, Wednesday, March 16, 2022. (AP Photo/Richard Drew / AP Newsroom)
| Ticker | Security | Last | Change | Change % |
|---|---|---|---|---|
| MRNA | MODERNA INC. | 36.94 | -0.35 | -0.94% |
| SEDG | SOLAREDGE TECHNOLOGIES INC. | 10.87 | +0.41 | +3.87% |
| ENPH | ENPHASE ENERGY INC. | 63.38 | +2.02 | +3.29% |
| ETSY | ETSY INC. | 50.86 | +0.45 | +0.89% |
| PENN | PENN ENTERTAINMENT INC. | 20.02 | -0.30 | -1.48% |
| OXY | OCCIDENTAL PETROLEUM CORP. | 50.90 | +0.40 | +0.78% |
| APA | APA CORP. | 22.13 | +0.21 | +0.96% |
| DVN | DEVON ENERGY CORP. | 38.32 | +0.41 | +1.08% |
| MRO | MARATHON OIL CORP. | 28.91 | +0.16 | +0.56% |
| FANG | DIAMONDBACK ENERGY INC. | 181.46 | +1.34 | +0.74% |
If approved, the Volatility Shares S&P 500 High Volatility Index ETF would trade on the CBOE BZX Exchange. A representative for Volatility Shares declined to comment.
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According to the American Association of Individual Investors' latest investor sentiment survey for the week ending March 16, bullish sentiment, or expectations that stock prices will rise over the next six months, declined 1.5 percentage points to a four-week low of 22.5%, marking the 17th consecutive week of being below the historical average of 38%.
Neutral sentiment, or expectations that stock prices will stay essentially unchanged over the next six months, decreased by 2.5 percentage points to 27.8%, marking the fourth consecutive week of being below the historical average of 31.5%. Bearish sentiment, or expectations that stock prices will fall over the next six months, rose four percentage points to 49.8%, marking the 17th consecutive week of being above its historical average of 30.5%.
In addition to market volatility, the ongoing Russia-Ukraine conflict, inflation, interest rates, the coronavirus pandemic, the economy, corporate earnings and politics are all influencing individual investors’ outlook for stocks. The majority of the survey's responses for the week were recorded prior to the Federal Reserve's decision to raise interest rates.