저자: 미상 · 외국인
요약 보기
마이클 배리의 경고를 계기로 투자자 상당수가 보유 자산을 이해하지 못한다는 문제를 제기. SPY·QQQ·SMH 상위 종목 집중도 점검을 위해 옵션 내재변동성과 스큐를 비교. SMH는 콜 스큐가 강하고 내재변동성이 높으며, QQQ는 풋 스큐, SPY는 상대적으로 분산. 상위 10종목 비중은 SPY 약 37.5%, QQQ 약 45%, SMH 약 70%로 집중도 경고.
다듬은 글
Michael Burry's latest warning is not about a market crash. It concerns investor behavior. He claims that about 90% of investors, or 95% to be exact, don't really understand what they're investing in. Wow, Michael Burry, that's a pretty serious attack. I think Tasty traders, Tasty Live viewers probably understand, but I digress.
Instead of analyzing businesses, many people simply buy index funds, thematic ETFs, or AI-related stocks because they work. The question is, does this create opportunities or does it create a bunch of risks? Passive investing has funneled trillions of dollars into the same names, concentrating more money in fewer companies than ever before.
If fundamentals continue to improve, this trend could continue. But if sentiment changes, investors who never understood what they owned could become the fastest sellers, the first to get out. The mathematical test is not whether Burry is right. And whether you could explain your greatest assets in one sentence without peeking.
There are a lot of very strong statements here. Many strong words. But we're going to look at three different ETFs. We'll look at SMH. We'll take a look at SPY. And we'll look at QQQ. I think these sentiments are real. I think a lot of people trade these instruments and don't really understand what's in them .
Maybe how concentrated they are. But I want to ask you one question, and I want you to write your answers in the YouTube chat, and we'll...sorry, in the YouTube comments, and we'll come back to them at the end of this segment. The question is: what are the top 10 holdings in SPY, QQQ, and SMH? If you can't think of 10, tell me the three biggest assets of each.
Don't peek. SPY, QQQ and SMH. What are the three or five largest assets? And what proportion of these top 10 assets are in SPY, QQQ and SMH? What is the combined weight of these assets across the entire ETF? So, the 10 largest assets. What is their share? And what are these 10 largest assets? If you can name up to five or 10, that would be grea and we'll discuss it at the end of the segment.
And actually, I think it would be interesting to show you the expected volatility of each of them, the skewness of each of them, and maybe that would help you answer the question if you don't know. And now we will move on to the Tasty Trade platform. We're going to check it out. So, SMH, let's get this straight first .
So, we're looking at SMH. This tool has had crazy growth, as you can imagine. and SMH. Take a look at the daily schedule from the beginning of the year. Fluctuations around 400, fluctuations, and then boom—we soar to 660 and fall to 560. So there is significant realized volatility here. When you look at SMH, it's a semiconductor ETF with 60% expected volatility across the spectrum.
Basically, you drop to the 50s and 40s the further you look into the future. This is a large time cost compared to the short-term expected volatility. But I think the difference between 50% and 40% and the short-term cycles giving you 60-70% tells you everything you need to know about the volatility skew, which is very compressed in the short-term cycle.
And I think that hints at the combined weight of the 10 largest assets in an instrument like SMH. But we'll figure it out now . Looking back at September, I think it's always interesting. Let's just move 100 pips away from the out-of-the-money price in either direction. looking at the 560 price tag.
Let's look at the 460 level. Uh, $1,500 premium, 24% expected volatility, and let's add delta here. This will be the 18th delta on the decline. Let's look at 100 points up, to the 660 level. So you have $17 to go up, $14 to go down. We see a strong delta, a strong probability that the options will be "in the money." So this is a product that has a skewed call options.
This is an ETF that has a skewed call options. I think this might give us a little hint as to what's inside this ETF. When you think about all the semiconductor ETFs out there, or semiconductor products on the market, many of them have a skewed call option. So I think it makes sense that SMH has a call option bias here.
Let's take a step back. Let's move on to Q's (QQQ). So, Q's has a completely different landscape. uh, 28% of expected volatility in the short term. Only 30% in the near term, 35% on day zero. Here it will always be elevated, but 30% across the spectrum, only a 3 % difference when you compare the short-term cycle to the long-term.
So QQQ, if I had to guess —I actually know the answers—but, if I were to guess, it's probably more balanced than SMH because you have lower implied volatility overall and lower implied volatility, uh, in terms of the differential between the short-term 30% and the long-term months at 29-28%. SMH, you were looking at 70% for near and 50% for far.
So, a huge differential. But let's move to September and move 100 points out of the money. We can check 2002. We are trading around 700 . So let's go down to 600. Trading at five dollars, low delta, 13% probability of being "in the money", 11 delta. Uh, and this product is more expensive than SMH. So this makes perfect sense because there is much less implied volatility here.
Therefore, it is logical that these options will be cheaper. But let's go up to the 800 strike and see if there's any skew here. Oh, no, there isn't. We have a put spread on QQQ 100 pips out of the money. This is quite strange. Uh, and six delta, 6% probability "in the money." So, we have an option for $5 to go down and for $150 to go up.
It's very interesting to watch this . But if we were to match them by delta, let's look at 650. We're getting close to 25%, $12 here. Let's look at 750 for a raise. Let's see if we can find something. Okay, we still have a put skew, but not as significant as if we go far down the curve. But similar deltas, similar probability "in the money", but the put- skewness remains .
So I think it's really interesting. I think the fact that we have a put bias in QQQ, lower implied volatility, and then we have SMH, higher implied volatility and a call bias...I think that says a lot about the concentration of QQQ relative to SMH. Now let's move on to SPY and take a look here. Very low implied volatility, 17% implied volatility, 15% in the short term.
You have 24% in the long term, uh, which is interesting. Still a pretty big differential when you look at, uh, from these later cycles to the short-term, but nothing too crazy. I mean, 20%IV—that's still very low, uh, all else being equal. So, price 750, very low implied volatility, which, again, I think, indicates the diversification of the sector or ETF.
how many products, uh , are more evenly balanced. The more evenly balanced an ETF is, the lower its expected volatility will be, right? This is logical. But let's look at the 700 strike on the downside, about 50 pips out of the money, 40 pips out of the money. Let's look at 780 for an increase. So you see an even greater skew of paths here.
So, the put bias is down, at the 40 pip price point out of the money. How about 100 points out of the money? Let's look at 640. 644. Can we get accurate data? 8 delta, 8% probability in the money, 270 to the downside. Do we have 844 for promotion ? That would be madness . We have 845, effectively a zero rate.
So these markets are telling us that SMH has a call bias. And I think that reflects the concentration in SMH relative to Q's and SPY. But we must return to Michael Bury's original challenge. Do we know what is included in SPY, QQQ and SMH? As I said, the most interesting thing when you look at all three is that Nvidia takes first place in all of them.
So if you guessed Nvidia in the comments below as number one or had Nvidia in all three, you're right. Nvidia, the stake in SPY is 7.66% at the moment, 8.1% in Q's and 19% in SMH. Then everything is quite clear. Between SPY and Q's, specifically Apple, Microsoft, Amazon, you have Meta, Tesla—they're in both SPY and Q's.
There are a few differences. You also have Alphabet in both, but Broadcom is in the top 10 of SPY. Broadcom is in the top 3 SMH. So there are some really interesting points. TSM is number two on the SMH list. I didn't know this until I looked at the list. So I think what's important, and the lesson is this: before you trade SM, before you trade ETFs like SMH, Q's or SPY or any of the others, just do a quick Google search, see who's in the top 10, and most importantly, see what the aggregate share is in the top 10, because some of these ETFs are extremely concentrated.
You may not realize it. So, that's the next question. What is the concentration in SPY, QQQ and SMH? In SPY, the total weight of the top 10 stocks is about 37 and a half percent. Pretty good. And SPY will be a fairly balanced index. In any case, in QQQ the combined weight of the top 10 is 45%. So our indicators are quite high.
Considering that the top 10 names account for half of the total weight of QQQ. This is just madness. And I think that ultimately it poses a considerable risk. If you recall Michael Bury : you see a lot of people trading these individual securities or ETFs, and then there is a rapid sell-off when these assets fall sharply—this awakens the instinct of self-preservation, the desire to exit positions to protect the portfolio.
But this may only increase downward pressure. In SMH, the combined weight of the top 10 assets is 70%. 69.53%. This is incredible. And some of these companies you may not even trade. KLA, Lam Research, AAT—we definitely trade, ASML—too. But it's interesting to see TSM as one of the two main assets. Again, 70% of the top 10 SMHs—that's almost the entire ETF.
In fact, 70% is accounted for by ten companies. This is surprising, but I think the higher implied volatility of ETFs may be related to this concentration. If you see call option skew in an ETF, it's probably due to concentration, and the same skew is likely present in individual stocks. But SPY is definitely more balanced.
We saw this in lower implied volatility. QQQ is a bit more balanced than SMH , of course, but still more concentrated than SPY. And QQQ has higher implied volatility compared to SPY. Anyway, interesting, I hope you found the right answers there. Again, whether you're trading ETFs or individual stocks, pay attention to implied volatility .
Look at the skew, whether it's the skew of puts or calls. This shows where the market believes the greatest risk velocity is expected. But wow, 70% of the top 10 weight is in SMH. Again , let me know what you think in the comments below. Like this video if you haven't already . Subscribe to the Tasty Live channel, and see you at the next analysis of options mathematics.
Comments 0