15 Most Volatile ETFs

Even as volatility for the broader stock market has come down, these ETFs remain as volatile as ever.

sumit
|
Senior ETF Analyst
|
Reviewed by: Sumit Roy
,
Edited by: Sumit Roy

It's no secret that volatility is dropping like a rock. The S&P 500 has gone almost 100 trading sessions without a decline of 1% or more, and it hasn't had any move of 1%―either up or down―in more than 50 sessions.

With the waters so calm, it's unsurprising that the CBOE Volatility Index fell below 10 for the first time in almost a decade earlier this month. The VIX, as it's called for short, attempts to measure expected volatility based on the pricing of S&P 500 options. When investors are willing to pay more for options, they expect larger moves in the market (and vice versa). This is called "implied volatility."

Currently, the VIX is trading around 12. It's ticked up a bit as investors buy up options to hedge against a potential market pullback. The VIX is an annualized figure; thus, based on where the volatility index is trading right now, traders expect the S&P 500 to move 12% up or down in the next year.

CBOE Volatility Index

A reading of 12 for the VIX is well below its long-term average of 19.6, but significantly above the actual, observed volatility so far this year. For example, daily volatility during the past month for the SPDR S&P 500 ETF (SPY) was a mere 5.3 (annualized). Historical volatility in any given month rarely gets below that level.

Even on a longer-term basis, volatility is slipping. The rolling one-year volatility for SPY is 10.8. A reading below 10 for this measure is extremely rare (and explains why the VIX scarcely falls below 10).

 

Rolling 1-Month & 1-Year Volatility For SPY

Source: Bloomberg

Volatile ETFs Abound

With all measures of stock market volatility constrained, trading opportunities in broad-market funds such as SPY have been limited so far in 2017. But that doesn't mean all ETFs have been as well-behaved.

There are still plenty of products on the market that have given investors rollercoasterlike performance. The most-volatile ETFs, for example, all have annualized volatilities north of 100. These products are almost exclusively leveraged, usually offering traders 2x or 3x the returns of an underlying index.

The Direxion Daily Junior Gold Miners Index Bull 3x Shares (JNUG) and the Direxion Daily Junior Gold Miners Index Bear 3x Shares (JDST) are the two most volatile exchange-traded funds of all. Each has a one-year volatility reading of about 170.

The VelocityShares 3x Inverse Natural Gas ETN (DGAZ), the ProShares Ultra VIX Short-Term ETN (UVXY) and the Direxion Daily S&P Oil & Gas Exploration & Production Bear 3X Shares (DRIP) are a few others to make the most volatile list.

All of these products are designed for quick trades. Holding them too long can result in poor performance due to the performance drag of daily rebalancing.

 

Wild Swings In Unleveraged Products, Too

Of course, leveraged ETFs aren't the only products more volatile than SPY. There are also plenty of unleveraged products that have seen much higher volatility than the broad U.S. stock market, such as the iPath Global Carbon ETN (GRN). Its one-year volatility reading of 97.7 means it's been almost 10 times as volatile as the S&P 500. GRN is a thinly traded ETN that tracks the global carbon credit market.

Meanwhile, the VelocityShares Daily Inverse VIX Short-Term ETN (XIV) and the ProShares Short VIX-Short-Term Futures ETF (SVXY) are two other products for which wild swings are the norm. One-year volatility for the pair is currently north of 60.

The two have ample liquidity and a combined $1 billion in assets, making them well-suited for traders looking to make quick bets on volatility. Incidentally, these are among the best-performing products of the year, as betting against the VIX has paid off handsomely.

Related volatility products that provide long exposure to the VIX are also on the most volatile list. The VelocityShares Daily Long VIX Short-Term ETN (VIIX), the ProShares VIX Short-Term Futures ETF (VIXY) and the iPath S&P 500 VIX Short-Term Futures ETN (VXX) each have one-year volatility readings above 58.

Outside of volatility products, ETFs tracking gold miners and energy producers are among the most volatile in the market. The VanEck Vectors Junior Gold Miners ETF (GDXJ), the PureFunds ISE Junior Silver ETF (SILJ) and the iPath Bloomberg Energy Subindex Total Return ETFN (JJE) all have one-year volatility readings in the 47-57 range.

For a complete list of the most volatile ETFs, see the tables below:

 

Top 15 Most Volatile ETFs (including leveraged)

TickerFund1-Year Volatility (%)
JDST Direxion Daily Junior Gold Miners Index Bear 3X Shares170.41
JNUG Direxion Daily Junior Gold Miners Index Bull 3X Shares169.05
NUGTDirexion Daily Gold Miners Index Bull 3x Shares141.36
DGAZ VelocityShares 3X Inverse Natural Gas ETN127.78
GASX Direxion Daily Natural Gas Related Bear 3x Shares119.36
UVXY ProShares Ultra VIX Short-Term Futures ETF114.86
TVIX VelocityShares Daily 2x VIX Short-Term ETN111.56
GDJJ ProShares Ultra Junior Miners109.74
DRIPDirexion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares109.54
LABD Direxion Daily S&P Biotech Bear 3X Shares108.84
BRZUDirexion Daily Brazil Bull 3X Shares108.47
LABU Direxion Daily S&P Biotech Bull 3X Shares105.21
DYY DB Commodity Double Long ETN100.86
GRN iPath Global Carbon ETN97.74
GDXX ProShares Ultra Gold Miners94.05

 

Top 15 Most Volatile ETFs (excluding leveraged)

TickerFund1-Year Volatility (%)
GRN iPath Global Carbon ETN97.74
GAZ iPath Bloomberg Natural Gas Subindex Total Return ETN75.12
XIV VelocityShares Daily Inverse VIX Short-Term ETN63.45
SVXY ProShares Short VIX Short-Term Futures ETF62.92
GOEX Global X Gold Explorers ETF59.33
VIIX VelocityShares Daily Long VIX Short-Term ETN58.48
VIXY ProShares VIX Short-Term Futures ETF58.46
VXXiPath S&P 500 VIX Short-Term Futures ETN58.22
GDXJVanEck Vectors Junior Gold Miners ETF56.97
SILJ PureFunds ISE Junior Silver (Small Cap Miners/Explorers) ETF56.5
SGDJ Sprott Junior Gold Miners ETF54.99
SLVP iShares MSCI Global Silver Miners ETF48.84
SIL Global X Silver Miners ETF48.75
JJE iPath Bloomberg Energy Subindex Total Return ETN47.46
RINGiShares MSCI Global Gold Miners ETF47.36

 

Contact Sumit Roy at [email protected].

 

Sumit Roy is the senior ETF analyst for etf.com, where he has worked for 13 years. He creates a variety of content for the platform, including news articles, analysis pieces, videos and podcasts.

Before joining etf.com, Sumit was the managing editor and commodities analyst for Hard Assets Investor. In those roles, he was responsible for most of the operations of HAI, a website dedicated to education about commodities investing.

Though he still closely follows the commodities beat, Sumit covers a much broader assortment of topics for etf.com, with a particular focus on stock and bond exchange-traded funds.

He is the host of etf.com’s Talk ETFs, a popular video series that features weekly interviews with thought leaders in the ETF industry. Sumit is also co-host of Exchange Traded Fridays, etf.com’s weekly podcast series.

He lives in the San Francisco Bay Area, where he enjoys climbing the city’s steep hills, playing chess and snowboarding in Lake Tahoe.