Short Interest at Record Levels

Recently released short interest figures from both the NYSE and Nasdaq show that short interest as a percentage of float is currently at record levels. On the NYSE, the mid-month short interest report hit a level of 4.15%, which is a record high. On the S&P 500, short interest is even higher. As of mid-March, 5.4% of the float of S&P 500 listed companies were sold short. This represents an increase of 53% over the last year!

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On a sector by sector basis, short interest also remains at elevated levels. In our bi-monthly short interest report available to Bespoke Premium members, we found that for nine of the ten S&P sectors, short interest as a percentage of float is currently at or close to a 52-week high.

In addition to monitoring short interest levels of indices, sectors, and groups, the Bespoke Short Interest Report also highlights stocks that are showing the largest increases and decreases in short interest relative to their ranges of the last year.

One name that stood out in our most recent report was Robbins & Myers (RBN). In the NYSE's mid-month short interest report, short interest as a percentage of float increased by 52% from 7.3% up to 11.1%. While sharp increases in short interest can have multiple, and often benign explanations, in the case of RBN, it appears as though many investors were anticipating a weak earnings report. Today, the stock traded down nearly 22% after lowering guidance.

Below we highlight the individual stocks in the Russell 1,000 with the highest and lowest short interest as a percentage of float. As shown, NutriSystem (NTRI) tops the list with a short interest of 73% of its float. NTRI's short interest is much higher than any other stock in the Russell 1,000, with CROX being the second highest at 44%. Each of these stocks are down nearly 50% this year, so the shorts are definitely winning.

With short interest so high, any good news from these companies should send shares sharply higher as shorts buy back shares to cover their positions. Panera (PNRA) ranks third on the list at 35%, but it is up 22% on the year. Other notables on the list of most heavily shorted stocks include LEN, KBH, CC, SHLD and RSH. Big Lots (BIG) is also on the list of stocks with high short interest, and it is the best performing stock in the S&P 500 year to date.

ANAT tops the list of least heavily shorted stocks at just 0.13%. GE, PEP, JNJ, UTX, BUD and XOM are notables on this list. Investors don't seem to want to take short positions in largecap, high international revenue generating companies.

Comments

[Howard H Sun]

Although % of float is a consideration when you're playing the short squeeze, what's an even better indicator is the days to cover. If a stock has a short 30% of float but only a few days to cover, the effect of the short may not be as pronounced as if the days to cover are much longer.

[Wez]

Cool, a nice wall of worry to climb.

[sikantis]

An interesting site, good information!

[TM]

Howard, I agree, so I calculated the SIR for the top 100 NYSE stocks, you can see it here:
fiateconomics.blogspot...

[User 169656]

Interesting, but not the best analysis. A quick look (via Bloomberg) of the NYSE Short Interest as a % of Shares Outstanding (NYSIPRTS Index) indicates this number has hit an "all time high" nearly every week since mid 2006. The S&P rallied about 25% higher from 6/06 to 10/07.
I would hazard a guess that the increase in short interest is more closely correlated to growth in hedge fund AUM than sentiment.
There are better sentiment trackers out there, such as AAII and ISE.

[THUMPHREY]

Check with the guru of short interest...Erlanger Research. Phil will let you know exactly whats up or consequently down with shorts.....

[goatfarmer]

The first chart, percentage of float, appears to show a little more than a year. That's not a long time for an all time high.

[Lio]

What about professionals being long ETFs and short the stocks ? Don't you consider that the disparition of the short selling rule now allows more arbitrages (no synthetic exposure by name) ?

[Marol]

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.

[DanielJacome]

1) CROX is dead: someone out there knows something, otherwise the stock wouldn't be trading at such a low PEG ratio; also don't expect a pop unless sales pick up drastically and as we all know, they are DECELERATING.

2) The other point is that when pessimism is this high, it tends to demarcate a bottoming in the markets; consumer confidence is at a 5Y low, and hopefully you guys can pull up some data from past CC levels and point out what the markets did afterward......

[gaucho]

I short that I am now accumulating is CALM. IT currently has 78% of the float shorted and the price action is amazing. LOOK AT THE MONTH GRAPH They are due to report Monday. If this news is as good as many people expect then the top could fly off this one.

Management has gotten aggressive recently in fighting the shorts.

First they have announced that they will pay 1/3 of all profits as dividends!! The latest earnings estimate is well over 2.00 this quarter.

Second they have announced a 4 million shares buy back!!

Third they are making it clear that they are taking on the shorts by making news announcement about the dividend and the buyback.

Fourth They have a huge growth rate..

Fifth The shorts were under water after 8.00 per share!! It is now 38 per share. With over 12 million short they are looking at being under water over 300 million dollars!!

This is not a pump please conduct your own due diligence. Do a Google search these guys could go is to a short squeeze of epic proportions. No my works but those of a recent news commentator.

[Mikebrah]

shortsqueeze.com has a lot of helpful short information available for free, and a subscription service with even more info.

Is CROX dead, or is it being murdered? Personally, I think its the latter. I could understand the skepticism if it were still in the $70s, but at $17 it seems this short is over.

40% short interest in a stock that has 30% forward earnings growth? 6.5x forward earnings? Chairman just bought $5m worth of stock at $20/share? Rampant international growth...I just fail to see the justification for an OVERWHELMINGLY bearish view of this company.

Are the shoes ugly? Yeah, but they're really comfortable and extremely versatile and functional.

The decelerating growth rate was a valid argument when the stock was in the 60s and 70s, but at $17 with its current valuations, the decelerating growth is irrelevant if they continue to grow at 20-30%.

Anyway, just my $.02
MM

[Mikebrah]

PS - Long CROX...if that wasn't obvious. Initiated position at 18.95 and have been accumulating.

[pitchforkpaul]

Gaucho is accurate on most of his comments! The dividend though is estimated at 0.67 this quarter in the article I read... They are truly pulling a wedgee on the shorts:) Yes I am long on CALM.

[TradingGoddess]

I love CROX! A shoe fit for a Goddess! Go buy a pair. Do it! Because I said so!

[DanielJacome]

We did it again:

March 30th we said:

"1) CROX is dead: someone out there knows something, otherwise the stock wouldn't be trading at such a low PEG ratio; also don't expect a pop unless sales pick up drastically and as we all know, they are DECELERATING....."...

Today -- CROX - 30% in after hrs on nasty guidance, we expected nothing less from arguably the creepiest management in the footwear space

[Marol]

Re CALM: I also have read about it (see Marketwatch listed articles), including one guy saying it will be "the mother of all short squeezes." Certainly seems like it should -- but it's been dropping, and fast -- WHY?! Help! Need to understand.
Gaucho: What is the average short price now? % short? And time to cover? Surely not still $8, and I'm afraid they will cover before it has to go it.

Disclosure: Long on CALM. Don't want to lose money on it. Am off to check on shortsqueeze.com, but first:

Trading Goddess: Nope; sorry! 1) Can't afford that for shoes. 2) Don't like them. (Why? Because I said so! So there!)

[MSF]

SEARS IS FINISHED AS IS LAMPERT.
HE MADE MONEY WHEN EVERYONE WAS MAKING MONEY IN THE MARKET EVEN MY GRANDMOTHER.
HIS BOY FRIEND CRAMER QUIT COMPLETELY.
''LOSE MONEY'' WITH JIM CRAMER