ELLINGTON MANAGEMENT GROUP LLC

All Holdings — 2021 Q2

Portfolio Concentration Analytics: 7.6
Risk-based ENB:
Total Positions
208
Quarter
2021 Q2
Top Holding
HYG (15.9%)
Top 10 Concentration
58.7%
Turnover Rate
23.4%
Sector HHI
0.18
Items per page:
1-25 of 208
Stock History Sector / Type Port % Prev % Rank / Prev Conviction Change % Change Influence Shares Mkt Value Avg Cost Price Held 1st Owned Source Source Date Date Reported
HYG
ISHARES TR
PUT
PUT Option 15.90% 28.80% #1
Prev: #1
6.5 -1,463,700 -54.5%
P
S
1,220,100 $107,418,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
N/A
AMC ENTMT HLDGS...
PUT
PUT Option 10.28% #2
Prev: #—
6.1 1,225,000 no change
NEW
1,225,000 $69,433,000 13F Filing 2021-06-30 2021-08-14 (Est.)
N/A
NABORS INDS INC...
Bond/Debt 7.32% 6.85% #3 2
Prev: #5
3.0 -21,000,000 -27.7%
P
S
54,734,000 $49,452,000 13F Filing 2021-06-30 2021-08-14 (Est.)
N/A
DISH NETWORK CO...
Bond/Debt 6.56% 4.63% #4 2
Prev: #6
4.7 6,500,000 16.6%
P
S
45,545,000 $44,311,000 13F Filing 2021-06-30 2021-08-14 (Est.)
CAR
AVIS BUDGET GRO...
PUT
PUT Option 3.64% #5
Prev: #—
3.5 315,400 no change
NEW
315,400 $24,566,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
QQQ
INVESCO QQQ TR
PUT
PUT Option 3.41% 8.84% #6 3
Prev: #3
1.6 -160,000 -71.1%
P
S
65,000 $23,038,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
KRE
SPDR SER TR
PUT
PUT Option 3.28% #7
Prev: #—
3.3 338,000 no change
NEW
338,000 $22,150,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
PFF
ISHARES TR
PUT
PUT Option 3.14% 2.55% #8 1
Prev: #7
1.3 no change no change
P
S
540,000 $21,241,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
RITM
NEW RESIDENTIAL...
Real Estate 2.76% #9
Prev: #—
3.1 1,759,306 no change
NEW
1,759,306 $18,631,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
EFC
ELLINGTON FINAN...
Real Estate 2.41% 1.68% #10 1
Prev: #9
3.0 637 0.1%
P
S
850,887 $16,294,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
IWM
ISHARES TR
PUT
PUT Option 2.38% #11
Prev: #—
3.0 70,000 no change
NEW
70,000 $16,056,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
SPY
SPDR S&P 500 ET...
PUT
PUT Option 2.03% 8.78% #12 8
Prev: #4
1.1 -148,000 -82.2%
P
S
32,000 $13,698,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
COOP
MR COOPER GROUP...
Unknown 1.93% 0.41% #13 15
Prev: #28
3.1 297,566 309.3%
P
S
393,763 $13,018,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
HYG
ISHARES TR
ETF 1.72% #14
Prev: #—
2.7 132,076 no change
NEW
132,076 $11,628,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
PFSI
PENNYMAC FINL S...
Financial Services 1.71% 0.50% #15 7
Prev: #22
3.0 125,935 205.3%
P
S
187,278 $11,559,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
MFA
MFA FINL INC
Real Estate 0.96% 0.32% #16 15
Prev: #31
2.7 782,737 124.4%
P
S
1,411,968 $6,481,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
KSS
KOHLS CORP
Consumer Cyclical 0.90% #17
Prev: #—
2.4 109,995 no change
NEW
109,995 $6,062,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
PARA
VIACOMCBS INC
Unknown 0.88% #18
Prev: #—
2.4 132,172 no change
NEW
132,172 $5,974,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
NWSA
NEWS CORP NEW
PUT
PUT Option 0.81% #19
Prev: #—
2.3 213,500 no change
NEW
213,500 $5,502,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
RPT
GREAT AJAX CORP
Real Estate 0.75% 0.54% #20 1
Prev: #21
0.3 -8,398 -2.1%
P
S
391,699 $5,084,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
N/A
VPC IMPACT ACQU...
Unknown 0.74% 0.61% #21 2
Prev: #19
0.3 no change no change
P
S
500,000 $5,023,000 13F Filing 2021-06-30 2021-08-14 (Est.)
N/A
ARES ACQUISITIO...
Unknown 0.74% 0.62% #22 5
Prev: #17
0.3 no change no change
P
S
500,000 $5,000,000 13F Filing 2021-06-30 2021-08-14 (Est.)
BWA
BORGWARNER INC
CALL
CALL Option 0.73% #23
Prev: #—
2.3 101,000 no change
NEW
101,000 $4,903,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
LEA
LEAR CORP
Consumer Cyclical 0.71% #24
Prev: #—
2.3 27,528 no change
NEW
27,528 $4,825,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
JWN
NORDSTROM INC
Unknown 0.60% 0.26% #25 12
Prev: #37
2.5 54,593 97.3%
P
S
110,714 $4,049,000 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
IWM
ISHARES TR
CALL
CALL Option 0.00% 8.97%
Sold All 😨
(Was: #2)
0.3 -330,000 -100.0%
CLOSED
$— 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
XLE
SELECT SECTOR S...
CALL
CALL Option 0.00% 2.08%
Sold All 😨
(Was: #8)
0.3 -344,300 -100.0%
CLOSED
$— 2021 Q1 13F Filing 2021-06-30 2021-08-14 (Est.)
AGNC
AGNC INVT CORP
Real Estate 0.00% 1.62%
Sold All 😨
(Was: #10)
0.3 -783,372 -100.0%
CLOSED
$— 2016 Q4 13F Filing 2021-06-30 2021-08-14 (Est.)
SPY
SPDR S&P 500 ET...
CALL
CALL Option 0.00% 1.46%
Sold All 😨
(Was: #11)
0.3 -30,000 -100.0%
CLOSED
$— 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
NLY
ANNALY CAPITAL ...
PUT
PUT Option 0.00% 0.95%
Sold All 😨
(Was: #12)
0.3 -900,000 -100.0%
CLOSED
$— 2007 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
MTG
MGIC INVT CORP ...
PUT
PUT Option 0.00% 0.85%
Sold All 😨
(Was: #13)
0.3 -500,000 -100.0%
CLOSED
$— 2011 Q2 13F Filing 2021-06-30 2021-08-14 (Est.)
AGNC
AGNC INVT CORP
PUT
PUT Option 0.00% 0.74%
Sold All 😨
(Was: #14)
0.3 -360,000 -100.0%
CLOSED
$— 2016 Q4 13F Filing 2021-06-30 2021-08-14 (Est.)
ESNT
ESSENT GROUP LT...
Financial Services 0.00% 0.70%
Sold All 😨
(Was: #15)
0.3 -120,000 -100.0%
CLOSED
$— 2014 Q4 13F Filing 2021-06-30 2021-08-14 (Est.)
MTG
MGIC INVT CORP ...
Financial Services 0.00% 0.69%
Sold All 😨
(Was: #16)
0.3 -403,600 -100.0%
CLOSED
$— 2011 Q2 13F Filing 2021-06-30 2021-08-14 (Est.)
N/A
VPC IMPACT ACQU...
Unknown 0.00% 0.61%
Sold All 😨
(Was: #18)
0.3 -500,000 -100.0%
CLOSED
$— 13F Filing 2021-06-30 2021-08-14 (Est.)
TDG
TRANSDIGM GROUP...
CALL
CALL Option 0.00% 0.54%
Sold All 😨
(Was: #20)
0.3 -7,500 -100.0%
CLOSED
$— 2006 Q2 13F Filing 2021-06-30 2021-08-14 (Est.)
AAL
AMERICAN AIRLS ...
PUT
PUT Option 0.00% 0.45%
Sold All 😨
(Was: #25)
0.3 -153,000 -100.0%
CLOSED
$— 2015 Q1 13F Filing 2021-06-30 2021-08-14 (Est.)
KHC
KRAFT HEINZ CO
CALL
CALL Option 0.00% 0.32%
Sold All 😨
(Was: #30)
0.3 -65,000 -100.0%
CLOSED
$— 2016 Q4 13F Filing 2021-06-30 2021-08-14 (Est.)
EXPE
EXPEDIA GROUP I...
PUT
PUT Option 0.00% 0.29%
Sold All 😨
(Was: #35)
0.3 -13,500 -100.0%
CLOSED
$— 2007 Q1 13F Filing 2021-06-30 2021-08-14 (Est.)
CCL
CARNIVAL CORP
CALL
CALL Option 0.00% 0.29%
Sold All 😨
(Was: #36)
0.3 -87,500 -100.0%
CLOSED
$— 2011 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
ABR
ARBOR REALTY TR...
Real Estate 0.00% 0.25%
Sold All 😨
(Was: #38)
0.3 -128,358 -100.0%
CLOSED
$— 2007 Q2 13F Filing 2021-06-30 2021-08-14 (Est.)
SPR
SPIRIT AEROSYST...
PUT
PUT Option 0.00% 0.20%
Sold All 😨
(Was: #45)
0.3 -33,000 -100.0%
CLOSED
$— 2007 Q1 13F Filing 2021-06-30 2021-08-14 (Est.)
LUMN
LUMEN TECHNOLOG...
CALL
CALL Option 0.00% 0.20%
Sold All 😨
(Was: #46)
0.3 -120,000 -100.0%
CLOSED
$— 2005 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
K
KELLOGG CO
Consumer Defensive 0.00% 0.13%
Sold All 😨
(Was: #61)
0.3 -17,317 -100.0%
CLOSED
$— 2011 Q4 13F Filing 2021-06-30 2021-08-14 (Est.)
CHTR
CHARTER COMMUNI...
Communication Services 0.00% 0.13%
Sold All 😨
(Was: #63)
0.3 -1,706 -100.0%
CLOSED
$— 2018 Q1 13F Filing 2021-06-30 2021-08-14 (Est.)
N/A
SOARING EAGLE A...
Unknown 0.00% 0.12%
Sold All 😨
(Was: #65)
0.3 -100,000 -100.0%
CLOSED
$— 13F Filing 2021-06-30 2021-08-14 (Est.)
PFE
PFIZER INC
Healthcare 0.00% 0.10%
Sold All 😨
(Was: #80)
0.3 -22,536 -100.0%
CLOSED
$— 2008 Q1 13F Filing 2021-06-30 2021-08-14 (Est.)
RWT
REDWOOD TR INC
Real Estate 0.00% 0.09%
Sold All 😨
(Was: #83)
0.3 -70,710 -100.0%
CLOSED
$— 2012 Q3 13F Filing 2021-06-30 2021-08-14 (Est.)
BDX
BECTON DICKINSO...
Healthcare 0.00% 0.09%
Sold All 😨
(Was: #85)
0.3 -2,922 -100.0%
CLOSED
$— 2015 Q1 13F Filing 2021-06-30 2021-08-14 (Est.)
DVN
DEVON ENERGY CO...
Energy 0.00% 0.09%
Sold All 😨
(Was: #86)
0.3 -32,187 -100.0%
CLOSED
$— 2007 Q4 13F Filing 2021-06-30 2021-08-14 (Est.)
LFT
LUMENT FINANCE ...
Real Estate 0.00% 0.08%
Sold All 😨
(Was: #93)
0.3 -181,858 -100.0%
CLOSED
$— 2020 Q4 13F Filing 2021-06-30 2021-08-14 (Est.)
GPMT
GRANITE PT MTG ...
Real Estate 0.00% 0.07%
Sold All 😨
(Was: #98)
0.3 -46,991 -100.0%
CLOSED
$— 2019 Q1 13F Filing 2021-06-30 2021-08-14 (Est.)
N/A
AURORA ACQUISIT...
Unknown 0.00% 0.06%
Sold All 😨
(Was: #101)
0.3 -50,000 -100.0%
CLOSED
$— 13F Filing 2021-06-30 2021-08-14 (Est.)
MSFT
MICROSOFT CORP
Technology 0.00% 0.06%
Sold All 😨
(Was: #121)
0.3 -2,048 -100.0%
CLOSED
$— 2007 Q2 13F Filing 2021-06-30 2021-08-14 (Est.)
N/A
ROTOR ACQUISITI...
Unknown 0.00% 0.05%
Sold All 😨
(Was: #123)
0.3 -40,713 -100.0%
CLOSED
$— 13F Filing 2021-06-30 2021-08-14 (Est.)
AAPL
APPLE INC
Technology 0.00% 0.03%
Sold All 😨
(Was: #135)
0.3 -1,876 -100.0%
CLOSED
$— 2007 Q2 13F Filing 2021-06-30 2021-08-14 (Est.)
EXPE
EXPEDIA GROUP I...
Consumer Cyclical 0.00% 0.02%
Sold All 😨
(Was: #145)
0.3 -900 -100.0%
CLOSED
$— 2007 Q1 13F Filing 2021-06-30 2021-08-14 (Est.)
Showing 1-25 of 208 holdings

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