So he is saying ETFs (still ignoring non long-equity-ETF, but I get it volume-wise) should increase volatility. That is an easy proposition to test: did high caps stock (GOOG and co) volatility statistically increased (compared to low cap) since the raise of ETF?. Or their Drop-down (higher to lower price difference) range statistically increased (if we believe the ETF-effect only happen in a panicky market) My bet is on No: volatility ( even the bear marked volatility) didn't change for those stocks (If the 2008-short-dude believe that, he did the math. And If I had way more than my puny 10k invested in stocks, and still remembered how to do a proper F-test, I'll check GOOG vol/ Market Vol , for 5 years before 2008, then GOOG Vol /Market Vol, the 5 years before 2019, and if I found a statistically meaningful increase, I'll start worrying)