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Comments

What is your data source for % of S&P shares sold short? Thanks

RA:
% shares sold short is the short interest divided by the shares outstanding. Birinyi Associates provided the data.

It is impossible to know for sure, but one would assume that this effect would be more pronounced in microcaps, given that they are both thinly traded and more volatile in nature. And in fact, the iShares Russell Microcap (IWC) is down nearly 12% over this period while the S&P 500 is off a little under 4%.
Both the recent sell-off as well as the mid-late July decline seem to be causes for the divergence (decline in the IWC was more severe in both cases).

Again, the IWC is historically more volatile than the SPY, and there is far too little data to suggest that the uptick rule is having an effect in this way. Just thought it was interesting nonetheless.

That is why there will never be a short squeeze, as there are more shares created every week based on the demand.

It occurs to me that short interest in the spy cannot accurately reflect the true number of shorts in this ETF. This is because of the existance of contra models such as the Proshares Ultrashort S&P, ticker SDS.

Don:
I did mention that the SPY ETF represented only about 6% of the total money indexed to the S&P 500. I should also point out that investors are both long and short the SDS ETF, so the interaction is quite complex.

One other thing I didn't mention: the SPDRs opperate in the equity market. In other words the fund owns stock in the S&P 500 companies. The UltraShort ProShares funds (SDS, QID, DXD) opperate in the futures markets. An SPY short might both a liquidity and a safety play by funds not wanting to invest in a thinner trading ETF or in futures.

Very interesting comments and to
few of them for this important
topic-Short Interest in SPY vis-a-
vis the 'new' uptick rule. I'd think there would be 100's of comments. Be that as it is, there
lurks underneath Cleve's thesis. I
sense there is 'more' that he wishes to expound on. And perhaps
he has. IF SO would a reader please post to that affect.
Thank You, klauden-

Interesting Graph,good points brought forth by the commenters.Looking forward to read more replies..
Thanks

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