In this study we examine the influence of skewness on the leveraged and inverse ETFs liquidity. We found that the higher skewness leads to the lower liquidity of leveraged ETFs, but the higher liquidity of the inverse ETFs. We also found that skewness has insignificant effect on leverage and inverse ETFs return. The results show that the relationship between skewness and liquidity of leveraged and inverse ETFs is not driven by lottery effect.