Short squeeze by the numbers
12 February 2021
Sam Pierson
- Estimating short interest in real-time
- GameStop illustrates data and methods
- Interpretation key for short interest & equity finance
A well-known use for US equity finance data is the estimation of the Short Interest published by US exchanges in between the bi-monthly publications of that dataset. This can be done effectively and result in a timeliness and level of insight unavailable from the Exchange Short Interest (SI) data alone. There are important considerations when applying these methods, which we’ll discuss here. These considerations are critical for market participants, highlighted by the January short squeeze when a demand for real-time insights faced the real-world challenge of providing them. Estimating Exchange SI with a model has advantages and drawbacks which are revealed by reviewing the model output in the context of the inputs.
The full article is available at https://ihsmarkit.com/research-analysis/short-squeeze-by-the-numbers.html