Clarifying Short Sale Data
FINRA has issued guidance to prevent misperceptions regarding its daily short sale volume files. These files capture trades reported to TRFs and the ADF for public dissemination. Crucially, they do not include non-public trading activity and are not consolidated with exchange-specific data. To obtain a complete picture of short volume, market participants must aggregate data from all TRFs, the ADF, and individual exchanges.
Flow vs. Position
There is a fundamental difference between the daily short sale volume files and the bi-monthly short interest reports. The daily files reflect the aggregate volume of trades executed as short sales on a specific date (flow), whereas short interest reflects the total number of open short positions at a specific moment in time (stock). Confusing these two metrics can lead to significant errors in sentiment analysis.
Signal data sourced from FINRA. This post is an original analysis prepared by The Forensic Ledger from publicly available data. Not investment advice.
Not investment advice. This is original reporting and analysis prepared by The Forensic Ledger from publicly available data. Nothing here is a recommendation to buy, sell, or hold any security. Always consult the original source and a licensed professional. See our full disclaimer and source-citation policy.