Short interest

How it works

FINRA Rule 4560 requires member firms to report their total short positions in all customer and proprietary accounts, in all equity securities, twice a month. FINRA designates the settlement dates — mid-month and month-end — and the report is due by 6 p.m. Eastern on the second business day after the designated settlement date. The compiled figures are then provided for publication on the seventh business day after that settlement date.

Add those together and the timing is the first thing to internalise. What you read is a snapshot taken on one day, roughly two weeks apart from the previous snapshot, published a week and a half after the day it describes. At its worst a published figure is describing positioning three weeks in the past. No product can compress that, because the cycle is in the rule. When a trade shows up in the public record covers the other disclosure clocks that behave the same way.

Two further limits. The figure is what sits on the books of reporting firms on that date, so it is a brokerage-records aggregate rather than a market census. And it has no direction beyond the number: the data tells you shares are short and not who is short or why.

Short interest is not short volume, and this is the expensive confusion

These are two different datasets, both published by FINRA, measured in shares, and routinely printed under the same headline by sites that should know better. FINRA published an information notice in 2019 expressly to separate them, and repeats the point in its own investor material.

Short interest is a stock. Open positions, on two designated settlement dates a month.

Short sale volume is a flow. The aggregate number of shares in trades executed as short sales on each trade date. FINRA's own example is the clearest one: a firm that sells 1,000 shares short and buys 1,000 shares back later the same day contributes 1,000 shares to the daily short volume file and nothing at all to short interest, because no position was established.

That is why short volume is routinely many times larger than short interest, and why "short volume of 60%" is not a claim about how much of a company is sold short. Market makers short continually as a mechanical consequence of providing liquidity, and flatten by the close.

There is a second trap in the volume file. It is published per FINRA trade reporting facility and by each exchange separately, and it is not consolidated. FINRA's daily file covers off-exchange trades; seeing total market short volume means combining it with each exchange's own publication. A percentage computed from the FINRA file against total consolidated volume is comparing a subset to the whole, and that arithmetic is behind a great many confident posts.

Why it matters here

The products in this category split cleanly on which of these three objects they sell, and the price differences follow the split.

The official filing. ChartExchange serves FINRA's semi-monthly short interest, credited as such, along with the Reg SHO short-volume files and SEC fails-to-deliver, from $19.95 a month with an API. FINRA publishes the underlying file itself for nothing.

A modelled daily estimate. ORTEX computes daily and intraday short interest from securities-lending inventory, from $39 a month, with the official delayed figure beside it. S3 Short Interest Data does the institutional version by contract and presents its number as a replacement for the filing rather than a supplement. Both are inferring positions from loans, which is a related quantity and not the same one — a lending-derived figure sees only the inventory of participating lenders, and sees loans rather than short positions.

Cost to borrow, which is neither. iBorrowDesk republishes one broker's shortable-shares files free, and its own FAQ states plainly that it is not a source of short-interest data. Fintel folds short interest and short volume into an ownership product across thirty-odd markets from $7.95 a month billed annually.

The test to apply before paying is one question: which of the three is this, and is the vendor willing to say so on the page? A product that publishes a daily "short interest" series without naming its source is asking to be read as the filing. And whatever the source, the ratio built on top of it — days to cover — inherits every limitation above plus one of its own.