This morning’s trade prints weren’t pretty in ETF land.  Here’s a few select favorites:

PowerShares S&P 500 BuyWrite Portfolio (PBP) – Halted at 9:30:46, 9:36:16, 9:42:16, 9:49:29, 9:55:16, and 10:03:35PBP


iShares US Preferred Stock (PFF) – Halted at 9:30:45PFF



Guggenheim S&P 500 Equal Weight (RSP) – Halted at 9:30:25, 9:36:15, 9:42:15, 9:48:15, 9:54:34, 10:00:15, 10:06:15, 10:12:15, 10:18:16, and 10:24:15

iShares MSCI USA Minimum Volatility ETF (USMV) – Halted at 9:30:56, 9:36:15, 9:42:15, 9:49:08, 9:56:08, 10:02:50, 10:08:55, and 10:14:39USMV


Just to be clear here … some of these ETFs were halted within a minute of the market open.

What happened?  A mixture between people loading up with market orders at the open and a bunch of halts.

These halts are generally at the discretion of the exchange – not the ETF provider – and are called “volatility trading pauses.”  The idea is to give market participants some time to digest what is going on, reflect, and ask the man in the mirror: “do I really want to hit that sell button?”

This wasn’t limited to any one ETF sponsor – but occurred across a whole bunch of them.

My takeaways?

Market Orders + Open = Disaster

Market orders at the open is a recipe for disaster.  Please don’t ever, ever, ever do it.  You don’t want to be the person who got that -25% print because liquidity was so thin.

With ETFs, check iNAV

Your brokerage account won’t always reflect reality.  When you log in and see your account down 15% because a bunch of ETFs you own have horrendous prints, you have to take a deep breath and look at iNAV.

iNAV – or intraday net asset value – tells you what the underlying basket the ETF holds is worth.

You can get it by going to Yahoo! Finance  and adding “^” in front of the ticker and “-IV”.  For example, to get the iNAV of PFF, we’d enter “^PFF-IV“.  Once we see that price has totally dislocated from iNAV, we need to ask ourselves: are the underlying liquid or illiquid?

With the Greece situation – with markets closed – the GREK ETF provided price discovery.  This morning, however, stocks were trading just fine – it was the ETF that was broken.

Markets are Totally Irrational

If market participants were rational, we wouldn’t need halts.  Let me re-phrase that: if market participants were rational, halts wouldn’t be effective.  The fact that halts exist and work should tell us all we need to know.

Humans will be human…

Corey is co-founder and Chief Investment Officer of Newfound Research, a quantitative asset manager offering a suite of separately managed accounts and mutual funds. At Newfound, Corey is responsible for portfolio management, investment research, strategy development, and communication of the firm's views to clients. Prior to offering asset management services, Newfound licensed research from the quantitative investment models developed by Corey. At peak, this research helped steer the tactical allocation decisions for upwards of $10bn. Corey holds a Master of Science in Computational Finance from Carnegie Mellon University and a Bachelor of Science in Computer Science, cum laude, from Cornell University. You can connect with Corey on LinkedIn or Twitter.