Questions tagged [short-selling]

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39 views

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 ?
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1answer
61 views

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 ...
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1answer
26 views

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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2answers
232 views

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 ...
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1answer
80 views

What does Short Volume in FINRA RegSho actually measure?

When reading RegSho, I see a table like this: ...
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1answer
24 views

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 ...
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2answers
3k 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 ...
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7answers
6k 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.
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98 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 ...
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1answer
466 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?
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1answer
126 views

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 ...
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2answers
177 views

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 ...
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0answers
160 views

Why would Citadel LLC and Point72 Asset Management invest $2.75B into Melvin Capital? [closed]

How can Citadel and Point72 make money from bailing out of Melvin Capital Management with $2.75 Billion? The influx of cash is expected to help stabilize Melvin, which in 2021 has lost 30% through ...
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2answers
108 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?...
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2answers
128 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 ...
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0answers
81 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, ...
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1answer
1k 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/...
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1answer
155 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 ...
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1answer
60 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 ...
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0answers
50 views

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 ...
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1answer
206 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 ...
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49 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 ...
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0answers
76 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 ...
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0answers
25 views

How to short Turkey? How to get exposure to local currency-denominated debt?

After some research, I decided to open a short position on Turkish Lira (TRY), and I'm also looking to short TRY-denominated debt. To short the TRY-denominated debt, I'd need to short-sell a TRY-...
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1answer
41 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 $...
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2answers
103 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 ...
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0answers
55 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 ...
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2answers
80 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 ...
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1answer
244 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 ...
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0answers
49 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 ...
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35 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?
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1answer
632 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 ...
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0answers
28 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 ...
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0answers
64 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 ...
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1answer
66 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 ...
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2answers
2k views

Compute allocation given long-short portfolio weights

The amount of capital allocated in each asset given long only weights is calculated as $allocation_i \ = K\cdot w_i$. ...
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2answers
368 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 ...
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1answer
511 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?
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1answer
61 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 ...
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1answer
51 views

Short selling limits and institutional ownership

Why is Institutional holding considered a proxy for short-sale costs? In other words, Why are firms with lower institutional ownership more likely to be a subject of short-sale constraints? For ...
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2answers
590 views

How does short selling affect the leverage of a portfolio?

I know that if you short a stock you borrow it from a broker, immediately sell it, and then buy it back at (hopefully) a lower price. But I don't understand how it impacts the leverage of a portfolio....
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1answer
89 views

What incentivises short selling? [closed]

The borrower of the asset is incentivised by the belief that the relative value of the asset will go down (he can then sell it at high price now and buy back cheaper later). But what incentivises the ...
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0answers
936 views

How is the number of shorted shares for a given company publicly known?

I wonder how the number of shorted shares for a given company is publicly known. For example, http://www.wsj.com/mdc/public/page/2_3062-nasdaqshort-highlites.html (mirror) indicates the percentage of ...
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5k views

Equity short Interest data source

I'm looking for short interest data (those disclosed on 15 days basis to FINRA) As far as I know FINRA publishes only OTC data (http://otce.finra.org/ESI). Nasdaq.com contains only nasdaq traded ...
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1answer
120 views

Short selling volume reports

I'm researching short selling volume data reports from NYSE, NASDAQ and BATS (Sources: FINRA + BATS website). And my question is: Why are those numbers so high? Is it really just a speculative short ...
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1answer
1k views

How variance dispersion trades become short volatility

From this document, http://quantlabs.net/academy/download/free_quant_instituitional_books_/[JP%20Morgan]%20Variance%20Swaps.pdf, on page 56, it states that Losses from short correlation through ...
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1answer
912 views

How come SNAP does not have option chain?

I want to buy put options on the newly issued SNAP stock (Snapchat). How come the option chain is still empty? it's been a few days since the IPO.
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1answer
195 views

Efficient way to short Tesla

I believe that at 45B$ Tesla is massively overpriced. The thing is that I don't know how long it will take it to trade on fundamentals, maybe a couple of years after launching model 3. So I want to ...
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1answer
364 views

short selling with collateral accounting

I don't know how the accounting works for short selling with collateral: For example if a stock is \$10 a share and turn out to be $15 a share a week later. At time 0, you borrow and sell 10 shares ...
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1answer
748 views

How are ETF fees deducted? What happens if you short an ETF?

When I buy an ETF, the ETF issuer wants a certain management fee (expense ratio). How is this usually paid? I've read that this might be deducted from dividends - is this the case? How does it work ...