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.
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.
Posts
2 comments:
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.
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
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