BATS Disclosing Short and Total Volume

Includes: DIA, QQQ, SPY
by: Tyler Durden

As part of the recent initiatives by Exchanges, ECNs and ATS to provide much needed transparency into daily trading practices, BATS recently started disclosing not only daily volume breakouts of total daily and short volume, but also detail into every single transaction occuring during the trading day. The complete data can be found here: the transaction level detail is staggering.

Yet the daily volume information provides a useful summary snapshot of individual and combined stock volume and the short volume disclosure is quite suprising (click below to enlarge). Based on available trading data, Short Volume on BATS accounts for over 46% of total volume.

This is quite surprising in light of the fact that over the past month Short Interest as disclosed by the NYSE and Nasdaq has plunged materially. The question is how does BATS define a short transaction, and who out there actually has the guts at this moment to initiate short positions. Also, are the shorters moving aggressively from traditional exchanges such as the NYSE to fringe mediums such as BATS, ITG, etc.

Below is the chart summarizing the recent volume disclosure by BATS.