NYSE Short Interest Stays Flat At 13.2 Billion Shares, Down 12% Over Prior Year
The most recent short interest report from the NYSE indicated that bearish bets in the form of short exposure is near 2009 lows. The number of shares shorted on November 30, 2009 was 13.2 billion, a 0.2% increase from two weeks prior and a 12% decline from the prior year's 14.8 billion. Of the 4,124 stocks available for trading, 3,431 had short positions of at least 5,000. The most recent short interest came out at 3.45% of total shares outstanding, also flat from the prior two weeks.
And below is an representation of NYSE specialist short sales over the past 4 weeks. Note the odd action on NFP/unemployment day (Dec. 4) when the market had a major swing from up 150 to negative after finally closing flat. Higher short interest accumulation activity may translate to increasing volatility, yet to be captured by a complacent VIX.
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on Wed, 12/09/2009 - 17:50
#158355
Would be interested to see this overall NYSE volume adjusted.
on Wed, 12/09/2009 - 17:56
#158358
It's as the Investor's Intelligence newsletter writer survey shows--hard to find a bear or a short with bearish sentiment lower than October 2007. Great contrarion indicators.
on Wed, 12/09/2009 - 17:59
#158364
haha
short interest
haha
on Wed, 12/09/2009 - 18:22
#158383
Thanks for the useful info. Question, please, where did the data for the second graph come from, the graph title "Specialist Short Sales"
Thank-you
on Wed, 12/09/2009 - 18:58
#158405
Maybe market will keep on going up until there are 0% short interest?
on Thu, 12/10/2009 - 11:11
#158989
The SEC is doing a good job getting rid of market makers, so that may come to pass.
on Wed, 12/09/2009 - 19:06
#158407
The Fed and Treasury have pumped around $3 trillion into the market without consideration of earnings. At $10/share this is 300 billion shares of stock or the entire Dow 30… Thus, the market is overvalued by about $3 trillion. Therefore the short ETF are artificially undervalued by about $3 Trillion. That’s why we will again see an ETF like FAZ that is currently trading at $20.00 trade in the near future at $2000.00 again….. Thts why every extra dime goes into a blend of short ETF’s. There are only 2 options remaining for the Fed…allow the market to correct or kill the dollar….my bet is that if the dollar dies then the Fed dies…and the Fed’s natural inclination for self preservation will win the day….soon the Market will have a day of reckoning…..2010 is the Year of the Bear….
on Wed, 12/09/2009 - 20:07
#158460
Prior to the reverse-split I think the most FAZ ever jumped was from $33.80 on 1/6/09 to about $104 on 3/6/09. That's a 300% move and I believe that's the most it's ever jumped since inception. And that was during the TEOTWAWKI days! Those of us who are holding or adding to positions in the double- or triple- short ETFs be aware that FAZ would only go up to around $60 with an equivalent move. FAZ sucks to hold. Oh, and it will never go to $2,000. If it does, we all have much more to worry about than money... :(
on Wed, 12/09/2009 - 20:21
#158468
FAZ indexed to Russell Financial RIFIN.X
The March low on RIFIN.X approx. 350ish.
If we were to retest that particular low in, say, several months (not years re: decay), the highest FAZ would run is approx. $130 bucks per share. Do the math.
on Wed, 12/09/2009 - 21:07
#158491
Keep in mind that the 3/6/09 move to $104 actually brought it to present value of $1040 with the 7/9/09 10:1 consolidation/reverse split ....otherwise the stock would have gone from $104 to $2.05 today...so the relative values are $104 to $2.05 prior to the 7/9/09 consolidation as compared with $1040 to $20.55 post consolidation as it trades today...its amazing the effect $3 trillion pumped into the equity markets can have...these shorts are $3 trillion undervalued...
on Wed, 12/09/2009 - 21:32
#158533
wgpitts...i'm not sure if you are trying to say that FAZ has the potential to go to $2,000 as in your first post or $1,040 in your second post under the relative value comparison.
bottom line is that my math as described is correct. like i said, do the math.
on Wed, 12/09/2009 - 22:34
#158584
I am simply concluding that if the markets have a 2nd meltdown FAZ and the other Bear ETFS could go back to their 11/21/08 closing price...which at its post reverse split value would be $1452....but you are saying that is not likely/possible?
This ETF has gone from $145 11/21/08 to $2.05 today (relative) why exactly can it not retrace?
On 11/21/09 RIFIN was 506.90 and FAZ was $145.25. On 4/2/08 RIFIN was 506.90 and FAZ was $20.00.....the real formula for FAZ price is RIFIN (X) vix (X ) flight from bank stocks....there is no calculable math....
on Thu, 12/10/2009 - 02:23
#158710
Here's the math. I did this quickly so it could be wrong. Looks like maximum theoretical value for FAZ is about 200, but this would require absolute perfection to reach. Expect much lower peak value if RGS stays above 351.45.
--------------------------------
First, note that FAZ moves daily by 3 times the opposite of the Russell 1000 Financial Services (RGS) Index.
Assumptions made for the calculation:
(1) maximum value is achieved by steady upward movement of FAZ so that no decay can occur
(2) maximum will be achieved when the upward movement is identical every day (may not be true, but makes the math easier and is at least representative)
(3) RGS never gets below its 2009 closing low of 351.45
(4) the decline of RGS takes place over some number of trading days, such as 100 days
%% copy this into Matlab or Octave%%%%%%%%%%%%%%%%%%%%%%%%%%%%
m = 351.45 %% minimum of RGSM = 757.68 %% current value of RGS
days = 100 %% assume 100 days of steady decline
x = exp( log(m/M)/days ) %% x is daily decrease to take us from M to mz = 20.55 %% current value of FAZz * (1+3*(1-x))^days %% final value of FAZ%%%%%%%%%%%%%%%%%%%%%%%%%%%%So if RGS changes by -0.76525 percent every day for 100 days
then final max value of FAZ = 198.87 .
For other time periods (remember days is number of days it takes for RGS to reach minimum):
(days) ...... final FAZ(5) ......... 121.71
(10) ........ 152.38
(25) ........ 180.41
(50) ........ 192.30
(100) ....... 198.87
(200) ....... 202.33
(1000) ...... 205.18on Wed, 12/09/2009 - 22:05
#158569
You saying things like FAZ will go to 2,000 gives me wet dreams but it is unlikely. You know what kind of compounding would be necessary for that to occur?
on Thu, 12/10/2009 - 07:14
#158777
just remember fazzies, the primary counterparty for direxion ETFs is none other than the goldsack crew.
on Wed, 12/09/2009 - 19:08
#158408
How much of last year's short interest was in companies now gone, like GM?
The shorts were right and are now living on teh beach.
on Wed, 12/09/2009 - 21:09
#158512
People will start shorting again the day the markets start being free again.
on Wed, 12/09/2009 - 21:29
#158529
Hey, 90% of the is population long during Christmas.
The other 10% ... cough (17.5%) are working on it...
on Wed, 12/09/2009 - 21:36
#158537
With the amount of trading done by specialists behind the scenes and off the tape, does this data have any relevance?
on Wed, 12/09/2009 - 21:51
#158555
A major low was reached around the middle of November '08. I'm guessing that many shorties had covered and gotten out of Dodge by Nov. 30 '08, hence not as much short interest theoretically as would have been present earlier in say September-early November'08. So, if we're looking at november 30 '09 over November 30 '08, year over year could be a bit distorted, no?
on Wed, 12/09/2009 - 22:28
#158587
Just for kicks for you to get your FAZ 2,000 aka 200 after R/S it would like this:
Rifin - FAZ (10% Down Days Compounding X3)
Normal 0 false false false EN-US X-NONE X-NONE MicrosoftInternetExplorer4
757 -20.60
687 – 30.00
627 – 40.00
567 – 52.00
510 – 67.00
460 – 85.00
414 – 109.00
374 – 140.00
337- 182.00
304 – 236.00
This would require a return to march lows and another 15% drop. We essentially need a Depression on steroids mixed with a whole bunch of panic and an Enron perhaps. Mark-to- Market accounting returning would be a start.
on Wed, 12/09/2009 - 23:12
#158619
Exactly - read 1/2 the scenarios coming our way with the derivative meltdown, sovereign defaults and currency collapases and 1 of them should get us there..:).
on Thu, 12/10/2009 - 01:28
#158701
what if one of the tbtf went BK or 2 or all