OK, rewind:
An ETF is a fund whose shares trade like stocks, but which has a "value target" that is very well met (and a usually a sponsor bank that holds & adjusts bid/ask order on the market to keep the share value in the target range).
All sorts of ETF exists, with target values usually replicators: they replicate the quote of a well known index or economic indicator (DJIA, S&P, Gold ounce, Front Month Crude Oil, etc...)

The reason they are reliable in their replication is that very stupid failsafe strategies enable them to do so (like: buying physical oil and gold to replicate commodities, buying the whole basket of stocks to replicate a stock index).

Now actually sponsor banks have smarter ways of replicating, with options of rolling maturities (there is less locked capital involved). E.g. if you buy both put & call options of same strike and maturity, you have made a "converse" or "synthetic forward" of the underlying: the portfolio value varies just like the underlying, save for an additive constant. With listed options on major indexes, there is no liquidity issue.

Thinking of it, they realized you can buy more complicated combinations of liquid options, so has to have any kind of delta you want (well, low delta value have a more reliable targeting). Delta being the partial derivative of the value of the fund, with respect to the value of the underlying. E.g classic ETF have delta=1 (for 1% change in value of the underlying being replicated, the fund portfolio changes of 1%), but reverse ETF have a delta<0: they go up when the index go down (of course, they also go down when the index is up).

I hold a leveraged reverse ETF with delta=-2. Every time CAC is down 1%, I gain 2%. In this case, "leverage" does not imply debt. It is only delta-leverage, and it is achieved by picking puts and calls in different parts of the (strike,maturity) space than a classic ETF.

Pierre