Seeking AlphaT3·31mo ago
KMLM KraneShares Mount Lucas Managed Futures Index Strategy ETF
ETF 31.03 DelayedETF quote, holdings, sector allocation, technicals, and options analytics. Expected move IV rank history Fibonacci levels
Market data may be delayed, incomplete, or inaccurate. Not a recommendation to buy, sell, or hold any security. Verify quotes with your broker before trading. See Terms §17.
KMLM
$31.03
—
Key stats
$31.03
After hours
$31.04
+0.00%
- 52-Week Range
- $25.77 – $31.73
- YTD
- +18.89%
- IV Rank (30D)
- 20.69
- Straddle Price
- $1.67
- P/C Vol Ratio
- 0.95
- Open
- $30.67
- Day Range
- $30.67 – $31.04
- Volume
- 235,195
- Prev Close
- $30.48
About
KraneShares Mount Lucas Managed Futures Index Strategy ETF (KMLM) ETF
No description available.
- Exchange
- ARCX
- Inception
- 2020-12-01
- Has Options
- Yes
Fund profile
holdings as of Jun 30, 2026SEC filingthrough Jun 2026flows, SEC filings
- Expense ratio
- 0.90% prospectus, filed Jul 29, 2025
- Assets
- $298M SEC filing, Jun 30, 2026
- Trailing yield
- 4.28% paid annual
- Average daily volume
- $11M 30 sessions
- Holdings
- 26 top 10 are 102.7%
- Listed
- Dec 1, 2020 NYSE Arca
- Last fee change
- -2 bp filed Jul 28, 2023
- Tracking difference
- -1.24 pts vs index, after fees, FY 2026
Cost51
Liquidity68
Scale55
Diversification21
Moves with. Long Treasuries (9% of its variance, beta -0.31); US dollar (8% of its variance, beta 0.53); US large-cap stocks (4% of its variance, beta -0.17); High yield over Treasuries (4% of its variance, beta 0.57). These factors explain 27% of its daily moves over the last year, so most of what drives this fund is something else.
Stated objective. The KraneShares Mount Lucas Managed Futures Index Strategy ETF (the Fund) seeks to provide investment results that, before fees and expenses, track the price performance of the KFA MLM Index (Index). (from the fund's prospectus)
All 26 holdingsFlow historyOverlap toolAll Managed Futures ETFs
Fund flows
through Jun 2026SEC filings- Jun 2026
- +$21M latest reported month
- Latest 3 months
- +$35M +11.7% of assets
- Latest 12 months
- +$108M +36.1% of assets
View as a table
| Month | Net flow |
|---|---|
| Jun 2026 | +$21M |
| May 2026 | +$34M |
| Apr 2026 | −$20M |
| Mar 2026 | +$5.3M |
| Feb 2026 | +$12M |
| Jan 2026 | +$69M |
| Dec 2025 | −$1.4M |
| Nov 2025 | −$2.7M |
| Oct 2025 | −$1.4M |
| Sep 2025 | −$4.0M |
| Aug 2025 | −$2.7M |
| Jul 2025 | −$1.3M |
Net creations and redemptions from the fund's SEC filings, which become public about 60 days after each quarter. Every month since 66 months ago
Similar funds
| Fund | Overlap | Fee | Assets | 1Y | |
|---|---|---|---|---|---|
| DBMFiMGP DBi Managed Futures Strategy ETF | — | 0.85% | $3.9B | +14.2% | compare |
| CTASimplify Managed Futures Strategy ETF | — | 0.75% | $1.5B | +5.4% | compare |
| FFUTFidelity Managed Futures ETF | — | 0.80% | $407M | +18.4% | compare |
| IMFInvesco Managed Futures Strategy ETF | — | 0.65% | $301M | +17.4% | compare |
| FMFFirst Trust Managed Futures Strategy Fund | — | 0.98% | $292M | +5.2% | compare |
The largest other funds in the Managed Futures category.
Under the hood
fiscal year to Mar 31, 2026SEC census- Authorized participants
- 4 active of 18 with agreements; top 3 did 99%
- Created · redeemed
- $90M · $45M over the fiscal year
- Redemptions in kind
- 0% creations 0% in kind
- Creation unit
- 50,000 shares
- Securities lending
- authorized, none lent
- Return vs index
- -1.24 pts after fees; -0.34 before; daily s.d. 0.41
- Diversification status
- Non-diversified may concentrate in fewer issuers
From the fund's annual census filing with the SEC. In-kind redemptions are what let an ETF shed appreciated securities without realising gains.
ETF Profile
holdings as of 2026-06-30
Holdings
26
AUM
$-240,105,787
Provider
Nport
Inception
2020-12-01
Exchange
ARCX
Data As Of
2026-06-30
Expense Ratio
0.90%
Dividend Yield
4.28%
Distribution
Annual
Recent distributions
| Ex-Date | Pay Date | Amount | Type |
|---|---|---|---|
| 2025-12-22 | 2025-12-23 | $1.3035 | CD |
| 2024-12-17 | 2024-12-18 | $0.2301 | CD |
| 2022-12-28 | 2022-12-30 | $4.0377 | CD |
| 2021-12-29 | 2021-12-31 | $1.8381 | CD |
Asset Allocation
Top Holdings
top 26 of 26 holdings
| Symbol | Name | Weight % | Asset Class | Country |
|---|---|---|---|---|
| — | United States of America | 16.78% | Debt | US |
| — | United States of America | 16.75% | Debt | US |
| — | N/A | 16.15% | Derivative (FX) | US |
| — | United States of America | 13.39% | Debt | US |
| — | N/A | 7.13% | Derivative (commodity) | US |
| — | N/A | 6.82% | Derivative (commodity) | US |
| — | N/A | 6.70% | Derivative (commodity) | US |
| — | N/A | 6.65% | Derivative (commodity) | US |
| — | N/A | 6.55% | Derivative (commodity) | US |
| — | N/A | 5.84% | Derivative (commodity) | US |
| — | Canada | 3.67% | Derivative (interest rate) | CA |
| — | United States of America | 3.34% | Debt | US |
| — | N/A | 0.27% | Derivative (commodity) | US |
| — | N/A | -1.59% | Derivative (commodity) | US |
| — | N/A | -6.45% | Derivative (commodity) | US |
| — | N/A | -6.84% | Derivative (commodity) | US |
| — | N/A | -7.15% | Derivative (commodity) | US |
| — | N/A | -11.76% | Derivative (FX) | US |
| — | N/A | -16.12% | Derivative (FX) | US |
| — | N/A | -16.24% | Derivative (FX) | US |
| — | N/A | -16.34% | Derivative (FX) | US |
| — | N/A | -16.36% | Derivative (FX) | US |
| — | SOCIETE GENERALE | -18.51% | Derivative (interest rate) | DE |
| — | United Kingdom of Great Britain and Northern Ireland | -21.05% | Derivative (interest rate) | GB |
| — | Japan | -25.85% | Derivative (interest rate) | JP |
| — | SOCIETE GENERALE | -26.35% | Derivative (interest rate) | US |
Chart
Seasonality
| Month | '21 | '22 | '23 | '24 | '25 | '26 | Avg |
|---|---|---|---|---|---|---|---|
| Jan | 0.88% | 4.29% | -3.48% | -0.45% | -2.83% | -0.54% | -0.35% |
| Feb | 6.59% | 3.50% | 2.06% | 1.64% | -1.60% | 2.42% | 2.44% |
| Mar | -0.60% | 6.90% | -2.93% | 1.56% | 0.33% | 3.49% | 1.46% |
| Apr | 6.49% | 9.75% | 5.37% | 3.15% | -3.13% | 5.89% | 4.59% |
| May | 0.61% | -0.08% | 1.43% | -4.36% | 0.99% | -3.61% | -0.84% |
| Jun | -2.06% | -3.69% | -2.41% | -0.10% | -1.29% | -3.61% | -2.19% |
| Jul | -2.65% | -3.17% | -0.10% | 1.36% | -0.98% | 6.54% | 0.17% |
| Aug | -1.26% | 11.11% | 0.52% | -2.18% | 2.59% | 4.14% | 2.49% |
| Sep | 3.22% | 3.54% | 3.66% | -0.14% | -0.04% | 2.14% | 2.06% |
| Oct | 3.90% | 0.69% | -1.28% | -3.41% | -0.41% | -0.39%* | -0.15% |
| Nov | -4.77% | -9.67% | -5.38% | -2.45% | 0.98% | -- | -4.26% |
| Dec | -6.19% | -7.98% | -3.03% | 1.44% | -2.52% | -- | -3.66% |
| Total | 3.29% | 13.62% | -5.96% | -4.16% | -7.78% | 17.08% | 2.68% |
Technical Indicators
Quick-reference for reading the values below. Indicators combine to confirm a view — no single one is a trade signal on its own.
Trend Indicators
- SMA 20 / 50 / 200 — price above = uptrend, below = downtrend. SMA 50 crossing SMA 200 is the golden/death cross.
- EMA 12 / 26 — faster-reacting averages; 12 above 26 is short-term bullish.
- MACD — bullish when MACD > signal (green badge), bearish when below. Divergence from price often precedes reversals.
- ADX (14) — trend strength regardless of direction. <20 range, 20–25 weak trend, 25–50 trend, >50 strong trend.
- +DI / −DI — +DI > −DI favors bulls; the reverse favors bears. Read alongside ADX.
Momentum Oscillators
- RSI (14) — <30 oversold, >70 overbought. 40–60 is neutral; trending names can stay extreme.
- Stochastic %K / %D — <20 oversold, >80 overbought. %K crossing %D is an early momentum signal.
- Williams %R — inverted scale: <−80 oversold, >−20 overbought.
Oscillators work best in range-bound markets; in strong trends they give premature reversal signals.
Volume & Volatility
- Bollinger Bands — price at upper band = overbought, lower = oversold. Narrow bands (squeeze) often precede expansion.
- OBV — cumulative volume; rising OBV confirms uptrend, falling OBV confirms downtrend. Divergence from price is a warning.
- Vol SMA 20 / Vol ROC — today's volume vs. 20-day average. Positive ROC with price move = conviction.
- ATR / True Range — average daily $ move; sizing and stop-loss reference.
- HV 20 / 30 / 60 — realized (historical) volatility. Compare to IV on the options cards: IV > HV = rich premium.
Confluence matters: trend + momentum + volume agreeing carries far more weight than any single indicator. For how these feed the spread scanner score, see the algorithm docs →
Trend Indicators
SMA 20: $31.10
SMA 50: $30.52
SMA 200: $28.66
Current: $31.04
EMA 12: $30.98
EMA 26: $30.90
MACD: 0.0754 | Signal: -0.0968
BULLISH
ADX (14): 18.76
RANGE
+DI: 19.81
−DI: 25.79
Momentum Oscillators
RSI (14): 52.79
NEUTRAL
Stoch %K: 24.63
Stoch %D: 26.18
Williams %R: -53.67
Volume & Volatility
BB Upper: $31.56
BB Lower: $30.64
NEUTRAL
OBV: 13,719,647
Vol SMA 20: 302,816
Vol ROC: -43.92%
ATR: $0.41
True Range: $0.56
HV 20: 12.2%
HV 30: 11.7%
HV 60: 14.4%
Data Summary
Data Points: 500
Last Updated:
Date Range: 2024-10-25T00:00:00 – 2026-10-23T00:00:00
AI Analysis
LLM Stock Analysis Report
Executive Summary
Overall Assessment: NEUTRAL (6/10)
The stock, KMLM, is currently trending sideways with a neutral sentiment. The recent news headlines suggest a lack of market-moving events, which aligns with the technical analysis indicating a range-bound trend.
Key Drivers and Primary Risks:
- Technical indicators point to a range-bound trend, with no clear bullish or bearish momentum.
- Volatility is relatively low, with an IV rank of 45.4% (medium), suggesting that options market expectations are not excessively high or low.
- The stock's beta is negative (-0.20), indicating that it tends to move opposite to the broader market.
Investment Thesis:
KMLM is a dividend-paying ETF with a relatively stable price movement. The lack of strong technical signals or significant news events suggests a neutral sentiment, making it a suitable candidate for investors seeking a low-risk investment opportunity. However, the negative beta and relatively high volatility may indicate that the stock is not entirely decoupled from market fluctuations.
Recent News Sentiment Impact:
The recent news headlines are neutral in nature, with no significant events or announcements that could impact the stock's price movement. The lack of news-driven sentiment suggests a reliance on technical analysis for investment decisions.
Technical Analysis
Trend Direction: Range-bound (1-4 weeks)
Support/Resistance Levels:
- SMA 20: $29.45
- SMA 50: $28.96
- SMA 200: $27.91
- Bollinger Bands:
- Upper: $30.46
- Middle: $29.45
- Lower: $28.43
Momentum Signals:
- RSI (14): 61.46 (neutral)
- MACD: 0.34 / Signal: 0.07 / Histogram: 0.26 (bullish)
News & Sentiment Analysis
Recent Headlines Summary: Neutral news headlines with no market-moving events.
Sentiment Assessment: Neutral sentiment, indicating a lack of strong buying or selling pressure.
Catalyst Identification: No significant catalysts identified in recent news headlines.
Market Narrative: The neutral sentiment and range-bound trend suggest that the stock is not strongly influenced by external factors.
Risk & Volatility Assessment
Beta Interpretation: Negative beta (-0.20) indicates that the stock tends to move opposite to the broader market, suggesting a high-risk profile.
Volatility Regime: Medium volatility, with an IV rank of 45.4% (medium).
Options Market Signals:
- IV Rank: 45.4%
- Current IV: 34.6%
- Expected Move: $2.00
- Volume Flow: 7 calls vs 0 puts
- Open Interest: 8 calls vs 0 puts
Market Context & Positioning
Sector Performance: Neutral, with no significant performance differences in the ETF's sector.
Institutional Activity: Low institutional interest, as indicated by low volume and open interest in options markets.
Correlation Analysis: Negative beta (-0.20) suggests a high-risk profile, indicating that the stock is not strongly correlated with the broader market.
Relative Valuation: Position within trading range, suggesting that the stock's price movement is influenced by internal market forces rather than external events.
Key Levels & Action Items
Critical Price Levels:
- Support: $28.43
- Resistance: $30.46
Breakout/Breakdown Levels: No significant levels identified due to the range-bound trend.
Time-Sensitive Catalysts: No earnings dates or other time-sensitive events identified.
Risk Management: Stop-loss levels and position sizing considerations should be based on individual risk tolerance and market conditions.
By analyzing the technical indicators, recent news headlines, and options market signals, it is clear that KMLM is currently trading in a range-bound trend with neutral sentiment. The negative beta suggests high-risk profile, which may not align with investors seeking low-risk investments. As such, further analysis and consideration of individual risk tolerance are necessary before making an investment decision.
Generated
News
All KMLM news →
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Showing 1–10 of 34
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KMLM Options Activity & IV Rank
KMLM IV rank history, 52-week IV rank and IV percentile →
Volatility Metrics
Current IV: 28.1%
7-DTE IV: —
Expected Move: $1.67
7-DTE Move: $1.67
Days to Exp: 28 (2026-11-20)
Options Flow
Call Volume: 56
Put Volume: 53
P/C Volume: 0.946
NEUTRAL
Call OI: 56
Put OI: 54
P/C OI: 0.964
Total OI: 110
ATM Options Pricing
ATM Call: $0.85
ATM Put: $0.82
Call %: 2.7%
Put %: 2.7%
Chain Summary
Chain Volume: 127
Chain OI: 133
Last Updated: 10/23/2026
Spread Scanner GPU
Each spread is ranked by a composite score built in three stages. Full documentation →
Stage 1 — Base Score (GPU scanner)
score = P(profit) × (credit / spread_width)
P(profit) from short leg delta (1 − |delta|), penalised above 85%. Credit uses mid-price to handle illiquid chains fairly.
Stage 2 — Skew Adjustment (±25% cap)
RR and BF (30-delta) from the persisted per-symbol skew snapshot — wing strikes picked by real greeks.delta, not a moneyness proxy. Put skew boosts bull puts, penalises bear calls. High butterfly boosts iron condors. Calendars are skew-neutral.
Stage 3 — Technical Overlay (±50% cap, 5 groups)
Group 1 · Directional Bias (±0.25)
- RSI <40 bullish / >60 bearish
- MACD crossover + histogram trend
- Price vs SMA 50 & SMA 200
Group 2 · Momentum (±0.10)
- Stochastic %K <20 / >80
- Williams %R <−80 / >−20
Group 3 · Volatility (up to −0.25 / +0.15)
- Blended ATR + straddle expected-move penalty
- Bollinger Band signal (+ counter-trend penalty)
- BB width — vol contraction boost for ICs
Group 4 · IV Regime (±0.15)
- IV rank ≥ 75 → strong boost for credit spreads
- IV rank < 25 → penalty (selling cheap vol)
Group 5 · Liquidity (penalty up to −0.10)
- Min open interest across all legs
- OI < 100 → −0.10 · OI < 500 → −0.05
score = base_score × skew_multiplier × tech_multiplier
Both multipliers are shown per spread. Beta is informational only — ATR already captures realized vol. Full algorithm documentation →
Enter a ticker to scan for optimal spread opportunities.
Evaluates all bull put, bear call, iron condor, and calendar spread combinations using GPU-accelerated analysis.
Skew (Wing IV − ATM IV)
DTE:
Wing Δ:
Wing vs ATM
IV(put wing) − IV(ATM), in vol pointsHow much the OTM put trades above (or below) the at-the-money strike. Measures the height of the put-side tail relative to ATM — i.e. how expensive crash insurance is on this name.
- Positive (typical) — wing IV > ATM IV. Standard equity put skew: portfolios bid up crash protection, so OTM puts trade richer than ATM.
- Near zero or negative (unusual) — wing IV ≤ ATM IV. Flat or inverted put side. Common when there's no fear demand, in tightly mean-reverting names, or right after an earnings catalyst clears.
- Percentile vs own 3-yr history: high = wings rich (good time to sell wing premium); low = wings cheap (good time to buy protection).
- Not directional — high or low wings don't predict up or down moves. It's a price tag on tail insurance, not a forecast.
Risk Reversal
IV(call wing) − IV(put wing), equal delta on each sideWhich side of the smile is the market paying up for? Measures the tilt of the surface — call skew vs put skew at matched deltas.
- Negative (typical) — puts richer than calls. Standard equity behavior: hedging demand makes puts carry a premium. Most large-caps sit in the −1 to −5 vol-point range.
- Strongly negative (< −5 pts) — heavy downside hedging, elevated fear, or an upcoming catalyst (earnings, FDA, macro event). Worth flagging.
- Positive — calls richer than puts. Unusual for equities; signals bullish momentum, short-squeeze positioning, or takeover/M&A speculation.
- Near zero — symmetric surface. Market sees roughly equal up/down risk. Rare for large-caps; more common in commodities and FX.
Reading them together
Wing-vs-ATM tells you how expensive the tails are. Risk Reversal tells you which side is favored. Combined:
- High wing percentile + deeply negative RR → strong put bid; stress or major event priced in. Owning protection costs a premium; selling put premium is dangerous.
- Low wing percentile + near-zero RR → complacency; insurance cheap and balanced. Good environment to add cheap downside hedges.
- Positive RR + elevated wings → call-side fear-of-missing-out; common in squeeze setups. Upside calls expensive, downside puts not bid.
14 DTE / 10d
—
—
pts
EXTREME
No data
30 DTE / 10d
—
—
pts
EXTREME
ATM 30.9% / Wing —
Extreme reading.
Historically these have been contrarian — on the small set of observed earnings-day cases, large negative wing-vs-ATM gaps (calls pricing much richer than puts at the same delta) preceded sharp drops in the underlying within 1-12 days. Not financial advice and the dataset is small.
Percentile is the rank of today's reading within ~3 years of this symbol's own history. High percentile = wings are rich relative to history; not a directional signal. Skew is read off the chain in real time, not from CBOE SKEW.
Volatility Surface
Enter a ticker to render the implied volatility surface.
Volatility Smile
Enter a ticker to render the implied volatility smile.
IV Rank (7 DTE)
IV Rank (30 DTE)20.7LowOct 23
Straddle Price (30 DTE)$1.67Oct 23
Beta Analysis
Risk Metrics
Beta: -0.2429
Alpha: 18.70%
Correlation: -0.2270
R-Squared: 5.2%
Stock Volatility: 13.6%
Market Volatility: 12.7%
Analysis Details
Benchmark: SPY
Data Points: 251
Period: 252 trading days
Data Points: 251
Period: 252 trading days
Interpretation:
Negative beta - stock moves opposite to market
Negative beta - stock moves opposite to market
Beta & Alpha Over Time
KMLM Institutional Ownership (13F)
Latest filings — 2026-09-30Institutional managers with $100M+ AUM file Form 13F-HR quarterly, due 45 days after quarter end. Holdings are reported gross at quarter-end market value — they are a snapshot, not a real-time position.
- Shares — long equity positions in this name, aggregated across share classes.
- Calls / Puts — notional value of long call / put exposure where this ticker is the underlying.
- % of Float — holder's reported shares divided by the latest diluted shares outstanding. Sums above 100% indicate large custodian / prime broker positions where the same shares are reported by multiple filers.
- Custodian badge — filers with more than 5,000 holdings are typically broker-dealers / custodians reporting customer-held shares, not active managers.
Each filer is counted once at its latest 13F-HR filing. New filings are ingested on a weekly cadence.
| # | Filer | Notional Value | % of Total | Period |
|---|
| # | Filer | Notional Value | % of Total | Period |
|---|
Short Interest & Float
Regulatory short-interest reports publish on a bi-weekly settlement cadence; short-volume is reported daily by the trade-reporting facilities. Float is derived from insider-ownership filings.
Metric definitions
- Short Interest — total shares currently sold short as of the settlement date. Lags real time by ~8 business days.
- SI % of Float — short interest / free float. The key crowding metric.
- Days to Cover — short interest / avg daily volume. How many full trading days it would take shorts to buy back. High DTC + catalyst = squeeze fuel.
- Short Vol Ratio — today's short-sale volume / total volume. Intraday selling pressure proxy (not the same as short interest).
- Free Float — shares available for public trading (total shares minus insider / restricted).
- Float % — free float / shares outstanding. <50% = tightly held, more prone to squeezes.
How to read the signals
- SI % of Float < 5% — typical, no particular signal.
- 5–15% — elevated; watch for catalysts (earnings, guidance, macro).
- 15–30% — heavily shorted; tight-float names in this range have produced notable squeezes historically.
- >30% — extreme; borrow is likely expensive and squeeze risk is material.
- Days to Cover > 5 combined with high SI% amplifies squeeze potential.
History chart
- Trend matters more than level. Rapidly rising short interest often precedes negative catalysts or heavy hedging.
- A sudden drop in SI after a rally may indicate a squeeze in progress.
Short interest is reported mid-month and end-of-month; short volume is daily.
Short Interest
614.13K
SI % of Float
—
Days to Cover
1.77
Short Vol Ratio
43.1%
Free Float
—
Float %
—
Short interest 2026-09-30 • Short volume 2026-10-22
Constituent Performance
Click any bar to view the full quote for that stock.
Constituents
| Symbol | Name | Weight % | Price | 1 Day | 1 Week | 1 Month |
|---|