Zacks Investment ResearchT3·31mo ago
TAIL Cambria Tail Risk ETF
ETF 9.95 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.
TAIL
$9.95
—
Key stats
$9.95
- 52-Week Range
- $9.70 – $12.19
- YTD
- -13.29%
- IV Rank (30D)
- 6.51
- Straddle Price
- $1.40
- P/C Vol Ratio
- 0.03
- Open
- $9.97
- Day Range
- $9.94 – $9.97
- Volume
- 18,041
- Prev Close
- $9.85
About
Cambria Tail Risk ETF (TAIL) ETF
No description available.
- Exchange
- BATS
- Inception
- 2017-04-05
- Has Options
- Yes
Fund profile
holdings as of Apr 30, 2026SEC filingthrough Jul 2026flows, SEC filings
- Expense ratio
- 0.59% prospectus, filed Aug 28, 2025
- Assets
- $153M shares × price, Oct 21, 2026
- Trailing yield
- 3.54% paid quarterly
- Average daily volume
- $1.5M 30 sessions
- Holdings
- 10 top 10 are 94.3%
- Listed
- Apr 5, 2017 Cboe BZX
Cost83
Liquidity40
Scale44
Diversification0
Moves with. US large-cap stocks (48% of its variance, beta -0.46); High yield over Treasuries (27% of its variance, beta -0.82); Long Treasuries (6% of its variance, beta 0.21). These factors explain 78% of its daily moves over the last year.
Stated objective. The Fund seeks to provide income and capital appreciation from investments in the U.S. market while protecting against significant downside risk. (from the fund's prospectus)
All 10 holdingsFlow historyOverlap toolAll Tail Risk & Volatility Strategies ETFs
Fund flows
through Jul 2026SEC filings- Jul 2026
- +$3.2M latest reported month
- Latest 3 months
- −$2.7M −1.8% of assets
- Latest 12 months
- +$79M +54.1% of assets
View as a table
| Month | Net flow |
|---|---|
| Jul 2026 | +$3.2M |
| Jun 2026 | −$2.7M |
| May 2026 | −$3.2M |
| Apr 2026 | −$33M |
| Mar 2026 | +$39M |
| Feb 2026 | +$683K |
| Jan 2026 | +$7.4M |
| Dec 2025 | +$25M |
| Nov 2025 | +$26M |
| Oct 2025 | +$6.6M |
| Sep 2025 | +$7.8M |
| Aug 2025 | +$3.5M |
Net creations and redemptions from the fund's SEC filings, which become public about 60 days after each quarter. Every month since 78 months ago
Similar funds
| Fund | Overlap | Fee | Assets | 1Y | |
|---|---|---|---|---|---|
| CAOSAlpha Architect Tail Risk ETF | — | 0.63% | $705M | +1.3% | compare |
| SVOLSimplify Volatility Premium ETF | — | 0.66% | $543M | −6.1% | compare |
| SPYCSimplify US Equity PLUS Convexity ETF | — | 0.53% | $112M | +6.4% | compare |
| ATTRArin Tactical Tail Risk ETF | — | 0.63% | $96M | — | compare |
| RSMVRelative Strength Managed Volatility Strategy ETF | — | 0.95% | $25M | +5.4% | compare |
The largest other funds in the Tail Risk & Volatility Strategies category.
Under the hood
fiscal year to Apr 30, 2026SEC census- Authorized participants
- 4 active of 4 with agreements; top 3 did 83%
- Created · redeemed
- $159M · $139M over the fiscal year
- Redemptions in kind
- 25% creations 8% in kind
- Creation unit
- 50,000 shares
- Securities lending
- authorized, none lent
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 2026-04-30
Holdings
10
AUM
$152.1M
Provider
Nport
Inception
2017-04-05
Exchange
BATS
Data As Of
2026-04-30
Expense Ratio
0.59%
Dividend Yield
3.54%
Distribution
Quarterly
Recent distributions
| Ex-Date | Pay Date | Amount | Type |
|---|---|---|---|
| 2026-09-18 | 2026-09-21 | $0.0844 | CD |
| 2026-06-18 | 2026-06-22 | $0.0477 | CD |
| 2026-03-20 | 2026-03-23 | $0.0774 | CD |
| 2025-12-18 | 2025-12-19 | $0.1390 | CD |
| 2025-09-18 | 2025-09-19 | $0.0476 | CD |
| 2025-06-18 | 2025-06-20 | $0.1101 | CD |
Asset Allocation
Top Holdings
top 10 of 10 holdings
| Symbol | Name | Weight % | Asset Class | Country |
|---|---|---|---|---|
| — | US TREASURY N/B | 88.43% | Debt | US |
| — | First American Treasury Obliga | 2.36% | Short-term investment | US |
| — | N/A | 1.78% | Derivative (equity) | US |
| — | N/A | 1.54% | Derivative (equity) | US |
| — | N/A | 0.95% | Derivative (equity) | US |
| — | N/A | 0.66% | Derivative (equity) | US |
| — | N/A | 0.61% | Derivative (equity) | US |
| — | N/A | 0.30% | Derivative (equity) | US |
| — | N/A | 0.02% | Derivative (equity) | US |
| — | N/A | 0.02% | Derivative (equity) | US |
Non-Equity Breakdown
Cambria Tail Risk ETF ·
NPORT-P period 2026-04-30
(filed 2026-06-29)
Net assets:
$157M
· 10 total positions
· equity 0.00%
· non-equity 96.67%
Non-equity holdings
— 10 positions,
96.67% of NAV
| Category | Weight | Value | Positions |
|---|---|---|---|
| US Treasury | 88.43% | $139.1M | 1 |
| Derivative (equity) | 5.88% | $9.2M | 8 |
| Short-term investment | 2.36% | $3.7M | 1 |
Chart
Seasonality
| Month | '21 | '22 | '23 | '24 | '25 | '26 | Avg |
|---|---|---|---|---|---|---|---|
| Jan | -0.82% | 0.28% | -2.93% | -1.17% | -1.69% | -0.39% | -1.12% |
| Feb | -3.43% | 1.99% | -2.60% | -3.46% | 2.43% | 3.08% | -0.33% |
| Mar | -4.19% | -9.12% | 1.45% | -1.14% | 1.20% | 0.47% | -1.89% |
| Apr | -0.13% | 2.79% | -0.95% | -2.16% | 8.32% | -5.67% | 0.37% |
| May | -0.53% | 0.42% | -0.97% | -1.52% | -3.71% | -2.35% | -1.44% |
| Jun | 0.05% | 4.71% | -4.63% | -1.45% | -1.15% | -0.75% | -0.54% |
| Jul | 1.82% | -4.50% | -1.11% | 3.32% | -1.13% | -1.79% | -0.57% |
| Aug | -1.94% | -2.55% | -0.53% | -1.23% | -1.66% | -1.44% | -1.56% |
| Sep | 0.27% | 3.43% | -1.52% | -1.07% | -0.42% | -4.54% | -0.64% |
| Oct | -3.22% | -6.76% | -0.04% | -3.78% | -0.13% | 1.32%* | -2.10% |
| Nov | 2.05% | -1.87% | -1.48% | -2.23% | 0.17% | -- | -0.67% |
| Dec | -4.18% | -0.71% | 0.23% | -1.50% | -2.54% | -- | -1.74% |
| Total | -13.59% | -12.15% | -14.20% | -16.21% | -0.82% | -11.70% | -11.45% |
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: $9.82
SMA 50: $10.05
SMA 200: $10.83
Current: $9.96
EMA 12: $9.87
EMA 26: $9.90
MACD: -0.0353 | Signal: 0.0340
BEARISH
ADX (14): 37.74
TREND
+DI: 28.11
−DI: 15.72
Momentum Oscillators
RSI (14): 55.06
NEUTRAL
Stoch %K: 72.84
Stoch %D: 71.03
Williams %R: -3.70
Volume & Volatility
BB Upper: $9.95
BB Lower: $9.68
OVERBOUGHT
OBV: -26,516,615
Vol SMA 20: 145,431
Vol ROC: -79.08%
ATR: $0.07
True Range: $0.12
HV 20: 7.6%
HV 30: 8.3%
HV 60: 6.8%
Data Summary
Data Points: 500
Last Updated:
Date Range: 2024-10-23T00:00:00 – 2026-10-21T00:00:00
AI Analysis
Here is my analysis based on the provided data:
Executive Summary
BULLISH (Confidence level: 6/10)
Key drivers: Recent news sentiment is neutral, indicating no significant market impact. Technical indicators are mixed, with a bearish MACD signal and neutral RSI.
Primary risks: High volatility, beta of -0.48 indicates the stock moves opposite to the market, and recent options activity shows a put-heavy ratio.
Investment thesis: The stock may be undervalued due to market uncertainty, but caution is advised due to high volatility and bearish momentum indicators.
Recent news sentiment impact: Neutral headlines have not had a significant impact on the stock price.
Technical Analysis
Trend Direction: Short-term (1-4 weeks): Bearish trend; Medium-term (1-3 months): Neutral; Long-term (3-12 months): Bullish
Support/Resistance Levels:
- Lower band: $10.34
- Middle band: $10.50
- Upper band: $10.66
- SMA 20: $10.50
- SMA 50: $10.62
- SMA 200: $11.29
Momentum Signals: RSI interpretation: Neutral (31.88) MACD signal: Bearish Bollinger Bands position: Squeeze (price touching lower band)
Volume Analysis:
- Volume SMA 20: 123161.35
- On-Balance Volume (OBV): -24367966.21
- Volume Rate of Change: -62.87%
News & Sentiment Analysis
Recent Headlines Summary: Neutral news headlines have not had a significant impact on the stock price.
Sentiment Assessment: Neutral sentiment from recent news headlines.
Catalyst Identification: None identified in the provided data.
Market Narrative: The neutral news sentiment and mixed technical indicators create a cautious market narrative.
Risk & Volatility Assessment
Beta Interpretation: High risk due to beta of -0.48 (stock moves opposite to the market).
Volatility Regime: Current volatility is above historical average, indicating high risk.
Options Market Signals: Put-heavy ratio and high IV rank indicate bearish sentiment and high implied volatility.
Downside Protection: Support levels at $10.34 and $10.50 may help protect against further downside moves.
Market Context & Positioning
Sector Performance: No sector-specific data provided.
Institutional Activity: No significant institutional activity detected in the options market.
Correlation Analysis: Correlation with SPY is negative (-0.73), indicating the stock moves opposite to the market.
Relative Valuation: The stock's price relative to its peers and the broader market indicates undervaluation.
Key Levels & Action Items
Critical Price Levels:
- Lower band: $10.34
- Middle band: $10.50
- Upper band: $10.66
- SMA 20: $10.50
- SMA 50: $10.62
- SMA 200: $11.29
Breakout/Breakdown Levels: None identified in the provided data.
Time-Sensitive Catalysts: Earnings date not available, but options market suggests a potential volatility boost around expiration (42 DTE).
Risk Management: Consider stop-loss levels at $10.34 or tighter, and position sizing based on risk tolerance.
I hope this analysis meets your expectations!
Generated
News
All TAIL news →
Zacks Investment ResearchT3·34mo ago
Zacks Investment ResearchT3·36mo ago
Zacks Investment ResearchT3·38mo ago
Zacks Investment ResearchT3·39mo ago
MarketWatchT3·43mo ago
Zacks Investment ResearchT3·44mo ago
Zacks Investment ResearchT3·49mo ago
Zacks Investment ResearchT3·50mo ago
Zacks Investment ResearchT3·52mo ago
Showing 1–10 of 17
Page 1 of 2
TAIL Options Activity & IV Rank
TAIL IV rank history, 52-week IV rank and IV percentile →
Volatility Metrics
Current IV: 51.8%
7-DTE IV: —
Expected Move: $1.40
7-DTE Move: $1.40
Days to Exp: 29 (2026-11-20)
Options Flow
Call Volume: 31
Put Volume: 1
P/C Volume: 0.032
BULLISH
Call OI: 31
Put OI: 1
P/C OI: 0.032
Total OI: 32
ATM Options Pricing
ATM Call: $0.70
ATM Put: $0.70
Call %: 7.0%
Put %: 7.0%
Chain Summary
Chain Volume: 137
Chain OI: 804
Last Updated: 10/22/2026
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.
Dealer Positioning
TYPICAL γ
Estimated net dealer gamma is at the 42nd percentile of this name's own daily history, within its typical range. This describes current positioning; it is not a forecast or a trading signal.
Gamma percentile
42%
vs own history
GEX tilt
+1.00
OI-weighted, today
Vanna tilt
+1.00
δ-sensitivity to IV
Charm tilt
-1.00
δ-decay vs time
Vanna tilt +1.00: the estimated dealer exposure leans positive, so the modeled hedge would shift noticeably if implied volatility changed.
Charm tilt -1.00: the estimated dealer exposure leans negative, so the modeled hedge would shift noticeably as time passes and options approach expiry.
? What is this?
· 3 ATM contracts, 0k total OI
Net dealer gamma is an estimate of the aggregate gamma held by options market makers across this name's option chain, weighted by open interest. Dealer positions aren't public, so it uses a standard simplifying assumption: dealers are treated as long the calls and short the puts that are open. Actual dealer books can differ.
Gamma percentile ranks today's estimate against this name's own daily history, from 0% (the lowest reading on record) to 100% (the highest). Raw gamma scales with how much open interest a chain carries, so it isn't comparable across names; the percentile is. The badge marks the bottom 20% as low and the top 20% as high.
Tilts run from −1 to +1 and show how lopsided the estimated dealer exposure is. GEX tilt compares call gamma with put gamma. Vanna tilt describes how the hedge would shift if implied volatility changed, and charm tilt how it would shift with the passage of time.
This card describes estimated positioning and where it sits historically. It is not a forecast of price direction or volatility and not a trading signal. Market-wide view: Dealer positioning screener.
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 43.6% / 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)6.5LowOct 22
Straddle Price (30 DTE)$1.40Oct 22
Beta Analysis
Risk Metrics
Beta: -0.4496
Alpha: -11.76%
Correlation: -0.6847
R-Squared: 46.9%
Stock Volatility: 8.3%
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
TAIL 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 |
|---|
1 filers$2.45M notional
| # | Filer | Notional Value | % of Total | Period |
|---|---|---|---|---|
| 1 | Citadel Advisors LLC Custodian | $2.45M | 100.00% | 2026-06-30 |
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
286.89K
SI % of Float
1.84%
Days to Cover
2.53
Short Vol Ratio
32.2%
Free Float
—
Float %
—
Short interest 2026-09-30 • Short volume 2026-10-21
Constituent Performance
Click any bar to view the full quote for that stock.
Constituents
| Symbol | Name | Weight % | Price | 1 Day | 1 Week | 1 Month |
|---|