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Can you hedge against a short squeeze with call options?

https://finance.zacks.com/high-short-interest-ratio-potential-sizable-short-squeeze-3371.html claims you can hedge against being squeezed out of your short position by buying call options with a ...
user2845840's user avatar
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2 answers
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Simple concepts around return, VaR, etc

In a simple setup, let's say $(w_1,w_2)$ are weights invested in assets $1$ and $2$ with prices $S_1$, $S_2$. I only saw discussions when $w_1 + w_2 = 1$, even if short selling is allowed. Suppose $...
Jo''s user avatar
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Arbitrage between gamma and delta on smaller timescale in options selling

I have observed that sometimes (mostly for OTM options) near expiration, an increase in option price cannot be fully explained by delta and theta(given volatility is constant). The gamma spiked the ...
Dsp guy sam's user avatar
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Does FINRA have an FTP dump of historical short interest? [duplicate]

I am interested in downloading historical short interest data from Finra for analysis but I cannot find where they keep dump files. They have the data for OTC companies but not for all of the ...
Nothingbetter's user avatar
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2 answers
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Are risk-free-rate bonds and cash fungible?

I had a thought experiment: suppose you wanted to borrow an equity security from me (perhaps to short sell it). I ask you for collateral and a borrow fee, and in exchange you get the stock. If you ...
actinidia's user avatar
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1 answer
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Gamma squeeze - mathematical explanation

I am trying to understand from a mathematical and financial point of view the mechanism behind the so-called gamma squeeze. Is there a good source to read about this/ My questions are: what are the ...
fwd_T's user avatar
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1 answer
226 views

How to correctly explain the current price action in a trading chart with the Hurst Exponent found?

I watched this video tutorial to learn how to estimate the Hurst Exponent using an Excel spreadsheet and a time series sample of 1025 data. I decided to use futures 1H markPriceKlines data from ...
Noah Verner's user avatar
1 vote
1 answer
132 views

What limits the maximum possible returns when shorting crypto?

I'm new to finance and crypto and this question is more of a thought experiment so I would like to hear both theoretical as well as practical considerations. Suppose I would like to short a particular ...
AstronautThis's user avatar
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1 answer
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Is it possible to short publicly traded mutual funds?

I'm curious whether it's possible to short mutual funds in any way? I have given it some thought and I guess that in principle, it is possible using a total return swap. However, I'm sure that the ...
T123's user avatar
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How do financial analytics firms estimate the earnings from short sellers on an ETF or stock?

I read on https://www.reuters.com/markets/europe/russia-etf-draws-meme-stock-like-trading-frenzy-2022-03-02/ (mirror): The ETF's tumble has been a boon for bearish investors. RSX shorts are up $299 ...
Franck Dernoncourt's user avatar
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Theoretical returns are not matching empirical ones in my backtest

I'm trying to implement a Backtest for my quant strategy but the calculated theoretical returns are not matching the returns from my implementation. Here's the example: On a given day I have 1 million ...
mathguy_666's user avatar
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Strategies for trading on a forecast

I have been experimenting with multiple methods of forecasting the daily high and low for a certain security. I have found a very basic ensemble of several common forecasting approaches is, well, ...
andrewH's user avatar
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1 answer
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Is it possible to calculate logarithmic return for short position? [closed]

In the book "Python for Algorithmic Trading" by Yves Hilpisch, it calculates the logarithmic return by summing up all the log values. When calculates the profit for long position: log(...
starriet 주녕차's user avatar
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Maximum Adverse Excursion Formula - Short Trade Position?

Is the formula for the Maximum Adverse Excursion for a Short Selling Trade the (Open - High) / Open, or (High - Open) / Open ?
Calculate's user avatar
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Basic stock shorting question [closed]

So im just a little cloudy on how shorting a stock drops the share price. I understand that you borrow, or set aside shares from your brokerage to then buy later at the origional price. My guess was ...
TheAdmin's user avatar
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1 answer
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How can short-interest ratio be decreasing when price of a stock is decreasing and amount shorted is increasing?

So I am looking a particular amount shorted of a stock on bloomberg. The first panel clearly shows that SI ratio is decreasing on the last data point. Also simultanously it shows the price of the ...
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1 vote
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Stock borrow cost timeseries

I am looking to increase the robustness of some equity strategies that I am working on. Apart (maybe) from brokers is there anywhere online (and preferably for free) that has historic stock borrow ...
Stacey's user avatar
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What does Short Volume in FINRA RegSho actually measure?

When reading RegSho, I see a table like this: ...
Tim C's user avatar
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1 answer
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Enforcement method of short contract

A stock short seller promises to pay back a stock at a certain date, but what is the mechanism that actually forces them to buy the stock? I've read that it is the broker who will do a margin call and ...
user1122069's user avatar
9 votes
2 answers
4k views

Without Bloomberg, how can retail investors know how many shares have been shorted daily?

Many friends can't afford a Bloomberg terminal, particularly when the pandemic has unemployed some of them. This answer can't assist them. How else can amateur investors determine the number of ...
user avatar
17 votes
8 answers
7k views

Why do institutional Traders prefer Short Selling instead of Buying Puts?

Why is it more common for Institutional Traders to short sell stocks when they have a bearish stance instead of Buying Puts? The limited loss potential of Buying Puts seems like a better choice.
Anirban Saha's user avatar
1 vote
0 answers
206 views

What happens to a short seller if there are no shares available for sale under any price when it is time to return the shares they borrowed?

Assumptions: There is a limited number of shares in any given company. Someone that holds shares cannot be forced to sell them if they don't want to. In theory, it's possible for someone to buy out ...
WirthLuce's user avatar
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4 votes
1 answer
551 views

How can anyone know how many shares have been shorted?

(Disclaimer: I'm not in finance. I'm just curious) Some news sources were saying today that 140% of GameStop shares have been shorted. How can the journalists or anyone else know this number?
MWB's user avatar
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3 votes
1 answer
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Why is naked short selling "difficult to measure"?

The Wikipedia article on naked short selling says It is difficult to measure how often naked short selling occurs. Fails to deliver are not necessarily indicative of naked shorting, and can result ...
usul's user avatar
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2 answers
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How quickly can someone pull out of their short?

Investors who short a company might get into trouble if a group of passionate online day traders (who like the shorted company) decide to boost its stock value by coordinated investments. How quickly ...
Cybernetic's user avatar
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2 answers
134 views

Derivatives to short municipal bonds based on cryptocurrency [closed]

Can you short municipal bonds with a cryptocurrency derivative? This is notoriously impractical in traditional finance, but there could be a crypto-based derivative designed around it. Is this a thing?...
user46252's user avatar
1 vote
2 answers
934 views

Standard deviation formula with Short selling- Markowitz model

I have 2 fast quastions. Before I begin I want to show you that I found minus before SD of bills in the book Principles of corporate finance(1.screen). I know SD of bills is zero and minus in this ...
Miroslav Holub's user avatar
1 vote
0 answers
96 views

Can arbitrage arguments be rearranged to avoid selling? (Hull, Chapter 5)

Suppose forward contracts are traded on a consumption asset, so there aren't necessarily people ready and willing to sell the asset to jump on an arbitrage opportunity. Suppose the asset has no yield, ...
Barry's user avatar
  • 111
4 votes
1 answer
3k views

Portfolio Optimization sum of weights constraint with short selling

For mean-variance portfolio optimization with short-selling allowed I have seen 2 ways to specify the portfolio constraint. In most resources I've seen, such as https://www.coursera.org/learn/...
Astro Boy's user avatar
2 votes
1 answer
275 views

Backtesting short-selling strategy using pandas dataframe

I would like to make a simple backtest for one of my short-selling strategies. I am using pandas dataframes. So I have a dataframe like the following, that indicates how many positions to open/close ...
Alfonso_MA's user avatar
1 vote
1 answer
87 views

Normal VaR for short bond

So I'm short a GBP denominated zero-coupon bond which has a face value of 1 million pounds and a remaining maturity of 6 months. Furthermore, I have to assume that the daily return of a 6-month zero ...
Mee98's user avatar
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1 vote
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How do Hedge Funds account for returns from short selling?

I was going over my notes from an Asset Pricing module yesterday and came across something interesting I hadn't thought about in a while. It was how Hedge Funds can over inflate their performance by ...
Hamish Gibson's user avatar
3 votes
1 answer
264 views

short squeeze basic questions

I have a question that might appear simple for the more experienced here. I'm trying to understand the concept behind short squeezes and i'm a little lost. From what I understood: Short selling ...
Jorisdrees's user avatar
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0 answers
83 views

Modeling short-selling accounts

I am having trouble modeling short selling mechanics in my backtesting system. When I sell stock short, I make the following changed to account variables: Credit Balance += 200% of the stock value ...
nijshar28's user avatar
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0 answers
119 views

Market neutral without short selling

Would it be possible to design a market neutral strategy without short selling? According to Investopedia: Market-neutral strategies are often attained by taking matching long and short ...
Alfonso_MA's user avatar
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1 answer
61 views

Is this the present value of a short position on an option?

Consider a European put option, whose price at time $0$ is $\Pi_0$. Set: $$\mathcal{L}_0=\Pi_0 - P(0,t_M)\Pi_{t_M}$$ where 0 < $t_M$ and $P(0, t_M)$ is the discount factor from time $0$ to time $...
Strictly_increasing's user avatar
0 votes
2 answers
126 views

European Call option combined with Short selling

How would I calculate the abitrage profit from a combination of buying the $10 European call option and short selling X number of shares at t=0 and the coming out with a profit at expiry no matter ...
Jacob Mitch's user avatar
1 vote
0 answers
61 views

Can scientific discovery be used to short stock without being considered insider trading?

Let's say you make a scientific discovery that destroys the business model of a publicly traded company, for example you find a way to factor large integers in polynomial time (destroying the business ...
Luke Hutchison's user avatar
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2 answers
91 views

How and why is there a restriction on short sales?

I'm taking a course on the fundamentals of financial mathematics. This is my first quantitative finance course, so I'm still getting acquainted with a lot of the ideas. We covered the notion of a ...
Stijn D'hondt's user avatar
4 votes
1 answer
289 views

Futures short interests vs open interests

I came across this article talking about "short interests" in VIX futures. My question is what does "short interest" even mean here? My understanding is that the futures are not "issued" (opposite ...
CuriousMind's user avatar
2 votes
0 answers
65 views

Cheapest instrument choice for low frequency long/short equity

I am trading a market neutral long/short equity portfolio. Right now I am trading cash equities, but I am interested in replacing some or all of the cash equities with derivatives, either single stock ...
ontic's user avatar
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0 answers
37 views

Short Interest for CBOE

Does anyone know why websites (yahoo finance, morningstar etc) do not show short-interest for CBOE after Sept 14th 2018?
user42728's user avatar
0 votes
1 answer
1k views

How equity dilution could be profitable for short sellers?

I am trying to understand the concept of dilution. According to https://www.investopedia.com/terms/d/dilution.asp, dilution is Dilution is a result of a reduction in the ownership percentage of ...
fgauth's user avatar
  • 329
1 vote
0 answers
34 views

Comparing short selling profits across positions

For academic purposes I try to estimate the profitability of a short position while not knowing the margins and cost associated with shorting, thus I am only interested in the gains or losses made ...
Hjalmar's user avatar
  • 21
2 votes
0 answers
69 views

How did this after hours massive NFLX short/long strategy make a profit? [closed]

I’ve seen thus market action 2 times now in the past few months. The first was before ADBE earnings release, and most recently was NFLX release. The setup: Earnings release pending after hours ...
Keith Knauber's user avatar
0 votes
1 answer
98 views

Short sale and zero investmest strategy

Suppose I want to build a pairs trading strategy. Theory says that we can create a zero-investment portfolio by going long stock A and short-selling stock B, given a certain hedge ratio. My question ...
alexbougias's user avatar
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2 votes
2 answers
3k views

Compute allocation given long-short portfolio weights

The amount of capital allocated in each asset given long only weights is calculated as $allocation_i \ = K\cdot w_i$. ...
Nipper's user avatar
  • 359
1 vote
2 answers
638 views

Short position returns with negative NAV

I am using data on the opening, change and closing of short positions, but I am interested in when the profit/losses are made. Hence, I calculated daily the value of the short position by taking the ...
Hjalmar's user avatar
  • 21
1 vote
1 answer
652 views

How to hedge a short VIX position with SPY

Assuming it's Nov 15th, and the SPY is trading at 217.2. Suppose I sell 11 contracts with Dec. 21 maturity. How many shares of SPY do I buy to hedge my VIX futures position?
Stephanie Albert's user avatar
1 vote
1 answer
71 views

If by selling short assets, you get extra capital for your longs, can you actually be dollar neutral?

I have a strategy where I short index ETF worth 80% of my portfolio, it shows up in leverage because I've borrowed the asset to short, but now I have 1.8 times the initial capital because of short ...
Rahul Rai's user avatar