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Friday, March 28, 2008

Short Interest Ratio NYSE Top 100

I was looking at an interesting article on Seeking Alpha regarding short interest. I decided to extend the analysis slightly and calculate the Short Interest Ratios for the top 100 NYSE stocks. Unfortunately, the NYSE charges for the entire time series so I was only able to use the data from the most recent release. Here are the results with the % change from the previous period:


Stock Name SIR Change
TOC THOMSON CORPORATION 89.6 20.7%
NYT NEW YORK TIMES CO 20.9 -8.3%
KMX CARMAX, INC. 16.7 12.0%
CBB CINCINNATI BELL INC. 16.3 7.4%
ACF AMERICREDIT CORP 14.7 -4.1%
BZH BEAZER HOMES USA INC 14.0 3.6%
IMB Indymac Bancorp, Inc. 13.9 -3.6%
CDL CITADEL BROADCASTING 12.2 10.3%
SPF STANDARD PACIFIC 11.8 -0.5%
BE BEARINGPOINT, INC. 11.8 9.5%
MAS MASCO CORP 10.3 4.7%
EK EASTMAN KODAK CO 9.7 1.5%
CNB COLONIAL BANCGROUP 9.7 10.2%
MIR Mirant Corporation 9.2 -3.3%
IPG INTERPUBLIC GROUP 8.7 1.2%
MCO MOODY'S CORPORATION 8.2 2.4%
BBI BLOCKBUSTER INC 7.8 16.0%
NYB NEW YORK COMMUNITY 7.6 4.1%
CC CIRCUIT CITY GROUP 7.1 11.2%
CSE CAPITALSOURCE INC. 6.8 5.0%
Q QWEST COMM INT'L INC 6.8 1.9%
GGP GENL GROWTH PROPS 6.8 19.2%
THC TENET HEALTHCARE 6.5 9.9%
RAD RITE AID CORP 6.3 -17.3%
CBS CBS Corporation CL-B 5.8 -8.4%
MBI MBIA, INC. 5.7 8.8%
BX The Blackstone Group L.P. 5.7 18.4%
BSX BOSTON SCIENTIFIC 5.5 13.1%
USU USEC INC 5.5 -1.2%
HST Host Hotels & Resorts, Inc. 5.4 15.2%
SNV SYNOVUS FINANCIAL 5.3 23.1%
RF Regions Financial Corp. 4.9 18.5%
LEN LENNAR CORP 4.8 2.3%
DIS WALT DISNEY-HLDG CO. 4.7 8.9%
BBT BB&T CORPORATION 4.6 2.2%
MYL MYLAN INC 4.6 5.8%
MU MICRON TECHNOLOGY 4.5 -4.7%
LSI LSI LOGIC CORP 4.5 5.4%
HAL HALLIBURTON CO-HLDG 4.5 2.6%
BBY BEST BUY CO., INC. 4.2 -2.7%
PHM PULTE HOMES, INC 4.2 14.1%
F FORD MOTOR COMPANY 4.2 8.9%
WMB WILLIAMS COMPANIES 4.2 3.9%
NWSA News Corporation CL-A 4.1 19.0%
NCC NATIONAL CITY CORP 4.1 15.1%
AMD ADVANCED MICRO DEV 4.0 6.4%
COF CAPITAL ONE FINANCL 3.9 15.5%
GM GENERAL MOTORS CORP 3.9 29.1%
CHK CHESAPEAKE ENER (OK) 3.8 0.4%
TGT TARGET CORPORATION 3.7 -4.7%
LUV SOUTHWEST AIRLINES 3.7 -2.7%
ALU Alcatel-Lucent 3.7 4.8%
HD HOME DEPOT INC 3.6 -0.3%
DHI D.R. HORTON INC 3.6 3.3%
CFC COUNTRYWIDE FINANCIA 3.4 9.0%
DYN Dynegy Inc. 3.3 18.0%
DUK Duke Energy Corporation (Holdi 3.2 12.1%
CVS CVS CAREMARK CORP 3.0 10.7%
WFC WELLS FARGO& CO 2.9 8.0%
USB U.S. BANCORP 2.9 24.6%
KFT KRAFT FOODS INC. 2.9 11.1%
SLM SLM CORPORATION 2.8 11.6%
FCX FREEPORT-MCMOR C&G-B 2.5 13.8%
AMR AMR CORP 2.5 12.1%
CVX CHEVRON CORPORATION 2.5 9.3%
LOW LOWE'S COMPANIES 2.4 -0.1%
PG PROCTER AND GAMBLE 2.3 15.7%
WM WASHINGTON MUTUAL INC 2.3 10.4%
WB WACHOVIA CORPORATION 2.3 2.1%
T AT&T Inc. 2.3 3.7%
CDE COEUR D'ALENE MINES 2.3 8.5%
TXN TEXAS INSTRUMENTS 2.3 2.9%
FRE FREDDIEMAC VOTING 2.2 10.9%
VZ VERIZON COMMUNICATNS 2.2 3.0%
EMC EMC CORP 2.1 8.4%
FNM FANNIE MAE 2.1 17.2%
HPQ HEWLETT-PACKARD (DE) 2.1 -6.1%
MO ALTRIA GROUP, INC. 2.0 12.1%
RIO COMPANHIA VALE DO RI 2.0 6.6%
CCU CLEAR CHANNEL COMMUN 1.9 12.4%
WMT WAL-MART STORES INC 1.8 -6.2%
AIG AMERICAN INTL GROUP 1.7 19.2%
TWX Time Warner Inc. 1.6 -5.4%
ABK AMBAC FINL GROUP INC 1.6 -2.1%
MOT MOTOROLA INC 1.6 14.0%
BAC BANK OF AMER CORP 1.5 23.2%
PFE PFIZER INC 1.5 4.9%
LEH LEHMAN BROTHERS HLDG 1.4 7.7%
XOM EXXON MOBIL CORP 1.3 1.3%
S Sprint Nextel Corporation 1.3 66.8%
MER MERRILL LYNCH & CO 1.1 17.6%
NLY ANNALY MORTGAGE MGMT 1.0 104.3%
JPM J.P. MORGN CHSE & CO 1.0 13.2%
C CITIGROUP INC 1.0 5.9%
GE GENERAL ELECTRIC CO 0.8 6.1%
IWM iShares Russell 2000 Index Fun

EEM iShares, Inc. Emerging Mkts In

IYR iShares Trust US Real Estate

EWJ iShares, Inc. MSCI Japan

EWT iShares Inc. MSCI Taiwan


*I am not sure if the Thomspon Financial data is accurate, but it is what the NYSE is reporting.

According to my calculations excluding the securities with no average daily volume data the NYSE top 100 has a SIR of 2.8 days, up 8.1% from the previous month .

Why is this important? Well besides giving investors an idea of market sentiment on specific securities or sectors; it also creates the opportunity for a potential short squeeze. A short squeeze is when investors cover their short positions in order to stop losses by purchasing the equities on the open market, in theory bringing up the securities price. So, the higher the SIR the higher the potential magnitude of a short squeeze.

In any case here is the data. I hope you find it useful.

2 comments:

Marol said...

I have posted this comment on the Seeking Alpha article (which you linked to):

Tom (TM) -- thanks for the NYSE short list. I find it useful to see these lists, esp if something I own or want to own is on them -- helps to decide, and also to be more alert to the danger of their falling after a short squeeze. (I try to keep a note to myself of those things I have that are in a short squeeze.)

However, I think that Howard's question points to far more useful information -- how long it would take to cover the squeeze. This is something that Altucher et al. include in their short squeeze lists, so there must be some way to find it out w/o too much trouble.

Can anyone tell me how? I can really use such info.

--Thanks.

TM said...

Marol, The SIR = Short Interest Ratio, which is the number of days it would take to cover all of the short positions given the average daily trading volume, so this information is exactly what you are looking for. Hope this helps!

-Tom