NOTE: Keyboard stopped working so I saved this with only IBB (and related 2x ETFs) as well as XBI (and limited info on its 3x LABU related ETFs). The rest really do not matter with exception of 2-3 much smaller funds. The main takeaway is that while funds like XBI may only own 2-3%, or maybe even 4-5% of smaller holdings, its volume (and related LABU and LABD volume) may represent almost as much volume as the holding itself trades. While this will not trade directly, hedging and related operations really do move these stocks dramatically.
Biotech ETFs. How much do they wag the dog? There are a ton of them believe it or not, but only two really matter, IBB and XBI.
I use XBI for one reason only - 87 components vs. 189 for IBB. And the main components of XBI do not dramatically change weights. It might surprise you, as XBI is the madcap/smallcap ETF, but IBB actually has many, many more smaller companies in it. Its main issue however is the weightings of top holdings are in the 8% area and there are several. So the smallest 160 stocks in it get tiny tiny (did I say tiny?) weightings. This probably makes some of the analysis I do useless anyway. Want to predict its future? What number 30 is doing just does not matter.
XBI on the other hand has significant weightings for most of its components. A few are in financial difficulty and have shrunk to nothing, but generally 2-3% is top weighting. And most of the big weightings go to well-know madcaps and large caps. XBI is to my thinking, despite its higher volatility (there is something to be said to having 4-7 giant caps dominating IBB), the better index.
Main ETs
IBB (and related 2x long BIB and 2x short BIS).
Size: $7.6 billion in IBB. BIB is $443 million. BIS is $80 million. So long is 5.5x short in the 2x camp. But volume in 2x up vs down is less than 2x.
YTD: Down 21.9%.
PE: 20.8
Beta: 1.6.
IV (from TOS): 32% (lower than 74% of observed samples).
Puts/Calls: 8,570 Puts vs. 9,771 Calls on Friday, May 20. I cannot find totaled OI data - Schaeffers used to have but I could not find it.
Top 10 Holdings: AMGN, BIIB, CELG, REGN, and GILD all 7% to just above 8% weightings (AMGN only 8+). ALXN, VRTX, ILMN (why?), MYL (why?), and INCY are the next biggest with 3.5-4% weightings, excluding INCY which is 2.9%. So 55-60% in the Top 10.
Reported exposures: Bios 79%, pharma 14%, Tools 7%.
Historical Assets: At Sept 30, it had $8.1 billion of net assets.
Inflows/Outflows: So with the index down 20% YTD and probably a few percent from 9/30 to 12/31, $8.1 billion likely declined to ~$6 billion, meaning there have likely been inflows of $1.5-2 billion. Inflows. BTW as far as I can find, i-shares does not publish daily shares outstanding as Blackrock does for XBI. That makes determining inflows and out-flows more difficult.
BIB
Size: $443 million.
YTD: Down 42.1%. So tracking error has improved returns.
IV (from TOS): 63% (lower than 83% of observed samples).
Puts/Calls: 593 puts vs. 310 calls for May 20.
Historical Assets: $750 million as at December 31 and $650 million as at September 30 last year.
Inflows/Outflows: I cannot get the daily data into excel (and don't want to) but assuming 2x move and little loss from the back and forth which destroy these leveraged funds, assets should have shrunk to $425-430 million vs. current $443 million since Dec 31. Net flows are therefore pretty flat but I presume there were likely inflows that got eaten alive. Call it $50 million - I may report more later if I decide to compare flows for BIB vs. BIS.
BIS
Size: $80 million.
YTD: Up 41.3%. Minor tracking error.
IV (from TOS): 63% (lower than 58% of observed samples).
Puts/Calls: 19 puts vs. 59 calls for May 20. Remember puts on an inverse are calls.
Historical Assets: $93 million as at December 31 and $151 million as at September 30 last year.
Inflows/Outflows: I cannot get the daily data into excel. Heavy outflows indicated though with ETF up 35% in 2016 and assets down 15%. $93 becomes $125 million steady state, so with $80 million, outflows were $45 million, or about 1/3 of fund size, as adjusted, probably a bit more. It was up 100% at best levels before the chop and rally started eating into it.
XBI
Size: $1.7 billion. LABU is $261 million. LABD is $55 million. So long is just under 5x short at the 3x the more volatile index. Volume is just under 5x higher in 3x up vs. 3x down product. Though materially smaller than the IBB 2x products, $ volume is much much higher in these 3x products.
YTD: Down 22.9%.
PE: 17x trailing, 19x forward (wonder why).
Beta: None reported.
IV (from TOS): 42% (lower than 76% of observed results).
Puts/Calls: 11,812 puts vs. 14,782 calls for May 20.
Top 10 Holdings: ACAD ($4 B), ANAC ($4.5 B), MDVN ($10 B), NBIX ($4 B), ALKS ($6 B), LGND ($2.5 B), SGEN ($5 B), ICPT ($3 B), BXLT ($30 B), INCY ($14 B) all fall between 2-3% with ACAD just over at 3.09%.
Holdings Implications: Owning between $35 million and just over $50 million of each Top 10 holding means this ETF controls just over 1.4% of ACAD (not counting any exposures through LABU and LABD). For LGND, this figure is 1.6%. ICPT will be just a bit less with all the rest closer to 1% except BXLT, INCY, and MDVN will be closer to 0.5% or lower. More importantly, something like LGND only trades 400,000 shares daily with XBI at 7 million shares, meaning effectively that something like 70,000 shares of LGND trade through XBI (not counting LABU and LABD). Now since this is an ETF, these shares don't actually trade, but the smaller top holdings will be completely controlled by the trading in the ETFs. LABU trades $120 million daily itself vs. $380 million for XBI. LABD is closer to $40 million. Netting it all together yields $380 million PLUS 3X$120 million MINUS 3X$40 million, or $620 million traded daily. For a 2-3% holding, this equates to $12-20 million. For LGND, we are talking $13.5 million, that represents 115,000 shares daily, or 20% of effective net volume. For something like NVAX (slightly smaller holding), trading effectively through XBI and related funds equates to something more like 40% of net volume (NVAX volume plus estimated shares gained through XBI).
Reported Exposures: Essentially 100% biotech.
Historical Assets: $2.26 billion as of December 31 last year.
Inflows/Outflows: Shares outstanding have increased 2%, meaning their have been minor net inflows (I did a detailed analysis before but it is not updated) of $40-50 million assuming timing has not stunk (which it has). |
