Short interest, short volume, fails and borrow fees: four clocks

Four short-side numbers get quoted for a US stock, often on one screen and often under one headline: short interest, short volume, fails to deliver and the cost to borrow. They come from four different reporters, under four different rules, on four different clocks. None is a subset of another, so none can be used to check another, and a page that puts them side by side without saying which is which is inviting the reader to subtract numbers that do not share a unit of time.

This page is the mechanism: who reports each one, when, and what each excludes by construction. Getting the files into a script is in how to get short interest as data.

How it works

The first three are regulatory by-products: they exist because a rule requires a record, and the public file is the record with the account names removed. The fourth has no such record, which is why it is the one you pay for.

Short interest: positions, twice a month

Rule 4560 makes every FINRA member keep a record of total short positions in all customer and proprietary accounts, in all equity securities other than restricted equity securities, and report them for settlement dates that FINRA designates. Reports are due by the second business day after that date; FINRA's page puts the cut-off at 6 p.m. Eastern. FINRA aggregates across firms and publishes one figure per security, free, for exchange-listed and OTC stocks alike.

The 2026 calendar sets the settlement dates at mid-month and month-end and moves one that falls on a weekend to the business day before: 13 February rather than the 15th, which was a Sunday, and 30 October rather than the 31st, a Saturday. Publication lands on the seventh business day after. The 15 September 2026 figures came out on 24 September; the 30 September figures are due on 9 October; the 15 October figures on 26 October. A published number is at least seven business days old the day it appears and about three weeks old the day before the next one replaces it.

What the rule counts, and so what it does not:

• Settled shorts only. Members report "only those short positions resulting from short sales that have settled or reached settlement date by the close of the reporting settlement date". A short sale executed on the settlement date itself settles the next day and lands in the next cycle.
• Gross, per account. Each account's short position is reported on its own. A firm long in one account and short in another reports the short; the public figure nets nothing.
• Positions on a member's books, from a short sale. The rule covers short sales as Regulation SHO defines them, and long-marked sales that left an account short. FINRA's own 2026 proposal described a gap here: stock borrowed through a broker's affiliate under an "arranged financing" programme replaces the short position with a loan obligation and drops out of the report. The proposal would have added those; it was withdrawn, so they are still out.
• Delivery-intended sales and over-allotments are carved out in paragraph (c): a sale by someone who owns the stock and intends to deliver it, and an underwriter's over-allotment sale in a distribution.
• A security without a symbol on the settlement date is not reported at all. FINRA's proposal said so in terms, and proposed a final report as of the last date the symbol existed. That too went with the withdrawal.
• No names. The figure is per security, summed across every firm.

Short interest and days to cover carry the definitions; the second inherits every limit above, plus a volume window that each publisher chooses for itself.

Short volume: trades, every day, off-exchange only

FINRA's daily short sale volume files aggregate, per security, "all short sale trades executed and reported to a TRF, the ADF, or the ORF during normal market hours for public dissemination purposes". Those are FINRA's trade reporting facilities, its alternative display facility and its OTC reporting facility: the places off-exchange trades are reported. There is one file per facility and a consolidated file for exchange-listed stocks across the facilities, posted by 6 p.m. Eastern on the trade date.

The file layout has six fields: date, symbol, short volume, short exempt volume, total volume and a market code for the facility. Every volume field is regular-hours only. The layout says the volumes carry no decimals; the consolidated file for 8 October 2026 carries six, because fractional shares are reported too.

Four things are outside the daily file by design:

• Exchange trades. The files "are not consolidated with exchange data". Each exchange publishes its own short volume, and a market-wide figure means adding them all.
• Trades not publicly disseminated. FINRA's monthly files page warns that offsetting buys related to reported short sales may not be in the file, which "may result in the appearance of a higher concentration of short sale volume to total volume".
• Extended hours. The daily file stops at the close. The monthly short sale transaction files, trade by trade, include after-hours trades; on 9 October 2026 the latest set on the page was September 2026.
• Positions. FINRA says the short sale files "do not—and are not intended to—equate" to short interest. Its investor page gives the example: a short sale bought back the same day is in the volume file and never in short interest; a short held for weeks is in the volume file once and in short interest every cycle.

The short exempt column is a footprint of a separate rule. Rule 201 switches on a price test when a stock falls 10% or more from the listing market's previous close: for the rest of that day and the whole of the next, trading centres must stop short sales executing or displaying at or below the national best bid, unless the order is marked "short exempt" under one of the rule's exceptions. The rule makes that marking available only once the restriction has been triggered, so short exempt volume is a footprint of a restricted day.

Fails to deliver: a clearing-house balance, twice a month

A fail to deliver is a share that a seller's clearing broker did not deliver to the National Securities Clearing Corporation by settlement date. The SEC's fails-to-deliver files publish, for each settlement date, the aggregate net balance across all NSCC members, per security, with the CUSIP, the ticker, the issuer and the previous day's closing price.

Three properties of that balance trip readers up, and the SEC's page states all three:

• It is a stock, not a flow. Each day's figure is the fails outstanding, plus new fails, less fails that settled. "The age of fails cannot be determined by looking at these numbers", and the source of today's fails need not be the source of yesterday's.
• It is long and short together. Fails "can occur for a number of reasons on both long and short sales" and "are not evidence of abusive short selling or 'naked' short selling".
• Zero is absent. Since 16 September 2008 a security appears only on dates when its balance is above zero. A missing row means no fails, not missing data.

The clock: each month is split into two files. The first half is available at the end of the month and the second half around the 15th of the next, and the SEC says it cannot guarantee either date. On 9 October 2026 the newest file covered the first half of September. A fail on 1 September was published about four weeks later; one on 30 September will appear around 15 October.

Regulation SHO is what limits how long a fail can last, and it explains the shape of the series. Rule 204 makes the clearing participant close out a fail from a short sale by the start of regular trading hours on the settlement day after settlement date, and one from a long sale or bona fide market making by the start of the third consecutive settlement day. A participant that misses the deadline cannot accept short sales in that stock without first borrowing or arranging to borrow, until the close-out has cleared.

Rule 203 adds the threshold list. A security goes on it after five consecutive settlement days with aggregate fails of at least 10,000 shares and at least 0.5% of shares outstanding, and comes off after five consecutive days below. A fail in a threshold security that lasts 13 consecutive settlement days must be closed out by purchase. The lists are published daily by the self-regulatory organizations, not the SEC: each listing market for its own stocks (Nasdaq's is on its Regulation SHO page) and FINRA for OTC equities. So a stock can be a threshold security today on a fails history the SEC will not publish for another two weeks.

Borrow fee and utilisation: a price nobody has to publish

Short interest, short volume and fails all exist because a rule makes someone file them. The cost to borrow does not. Securities lending is a bilateral market between lenders, agent lenders, prime brokers and borrowers, and the US rule that would make its terms public is not yet in force. Every borrow fee you see is somebody's own book or somebody's model.

One broker's quote. Interactive Brokers' short-securities page describes its figure as the "current indicative borrow rate (the rate at which dealers in the Securities Lending/Borrowing Market are willing to transact today)", alongside quantity available and the number of lenders, updated "periodically throughout the day". iBorrowDesk republishes that broker's files free, refreshed about every fifteen minutes for North America, and ChartExchange serves the same broker's fee by API. Both say what it is, and it is one broker's inventory.

A lending-pool estimate. ORTEX and S3 Partners build their figures from lending data sent to them, ORTEX from agent lenders, prime brokers and broker-dealers, S3 from custody and prime-broker feeds, and publish cost to borrow and availability from that pool. ORTEX splits cost to borrow between all loans and new loans; S3 publishes three rates, the offer a borrower pays, the bid custody banks charge prime brokers and the last rate for new shares, plus utilisation: the share of the lendable supply that is out on loan, measured against S3's own pool. Both vendors also turn the lending data into a daily short interest estimate. It counts loans rather than short positions, it is not the FINRA figure, and S3 documents that its own series is restated after the fact.

Rule 10c-1a was written to change this. It requires lenders to report loans to a registered national securities association, which would publish them. The SEC's December 2025 order exempts the reporting until 28 September 2028 and the public dissemination until 29 March 2029. Until then, two vendors' borrow fees for one stock are two samples of a private market and can disagree without either being wrong.

What changed in 2026, and what waits for 2028

FINRA's weekly proposal was withdrawn. On 1 May 2026 FINRA filed SR-FINRA-2026-012. The notice of 18 May 2026 describes four changes to Rule 4560: weekly reporting instead of twice a month, a one business day turnaround instead of two, "allow[ing] short interest data to be published weekly, five business days after the reporting settlement date"; arranged-financing positions added; a final report for deleted symbols; and a clarified scope. It also proposed a new Rule 4321, under which members would report to FINRA each month their daily allocations of fails to deliver to correspondent firms. That was a regulatory feed for FINRA, not a public file. On 30 June the SEC extended its deadline to act to 14 August 2026. FINRA withdrew the filing on 5 August 2026, before that date. Its filing page reads "This filing has been withdrawn", and on 9 October 2026 FINRA's list of 2026 rule filings ran to SR-FINRA-2026-021 with no refiled version among them. The twice-monthly calendar is the rule.

Form SHO waits for 2028. Rule 13f-2 requires an institutional investment manager to file Form SHO within 14 calendar days after each month for any reporting company's stock where its monthly average gross short position was $10 million or more, or 2.5% or more of shares outstanding; for a non-reporting issuer the trigger is $500,000 on any settlement day. The SEC would publish the data aggregated per security, not per manager. The Fifth Circuit remanded the rule without vacating it on 25 August 2025, and the SEC's December 2025 order exempts compliance until 2 January 2028. The first reports, for January 2028, fall due 14 calendar days after that month ends. Nothing in the order changes FINRA's short interest.

What it costs

The three regulatory series cost nothing at source. FINRA publishes short interest and the daily and monthly short volume files free, and the SEC publishes fails to deliver free; the fetch is in the how-to. What vendors sell on top is joining, history and derived fields: ChartExchange re-serves all three with the trade date and a 35-day date added to the fails file, by API from $29.95 a month according to its card. Borrow data is the part with no free public source. One broker's fee is free through iBorrowDesk; ORTEX's platform starts at $49 a month, or $39 billed annually, and S3 is priced by contract only. Fintel puts short interest and short volume inside a broader ownership subscription.

What you can do about it

Label each number with its reporter and its date before using it. A short interest figure needs its settlement date and its publication date; a short volume figure needs its trade date and the facility; a fail needs its settlement date and the date the SEC posted the file; a borrow fee needs its source and its timestamp. If a site shows one date, find out which it is.

Never divide one dataset by another without matching the clock. Short volume over short interest, fails over short interest, short interest over a vendor's volume: each mixes a daily flow with a twice-monthly snapshot, or one source's universe with another's. If you need a ratio, compute it inside one dataset, as FINRA does for days to cover, or state both windows.

Read the short volume file as off-exchange and regular-hours only. A short percentage from FINRA's daily file describes trades reported to FINRA's facilities between the open and the close. For a market-wide figure you need each exchange's own file as well, and the result still leaves out trades that were never publicly reported.

Treat a fails series as a balance with no age. Do not sum it across days, and do not infer who failed or why. If a stock is on a threshold list, the list is the authoritative fact and the SEC file is the delayed history behind it.

Ask a borrow-data vendor three questions: whose loans the figure is built from, whether it is the rate on all open loans or on new ones, and whether past values are ever restated. The cards for ORTEX, S3 and iBorrowDesk answer what their vendors have published; the rest of the shelf is in insider, 13F and congressional trade trackers.

Expect the calendar to hold until a new FINRA filing appears. The weekly proposal went through the Federal Register before it was withdrawn, and a successor would too. Until then, the 2026 calendar on FINRA's page is the schedule, and no Form SHO report is due before February 2028. For the other disclosure clocks in this category, see when a trade shows up in the public record.