Understanding Short Sale Volume Data on FINRA’s Website

by Julie S. Mendel, SILA-A, CDEi | Jun 16, 2020
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Since 2009, FINRA has published a Monthly Short Sale Transaction File that includes pertinent information on every off-exchange short sale transaction including time, price and number of shares. Late in 2009, FINRA began publishing a Daily Short Sale Volume File for both off-exchange trades and trades in non-exchange-listed securities.

In an Information Notice published on May 10, 2019[i], FINRA provides explanation of published short sale volume data and provides several key points for market participants to consider when evaluating the data in an effort to assist market participants to better understand and make informed conclusions about the data.  Key points outlined by FINRA include:

  • The data in the files does not include any trades that are not publicly disseminated.This results in some offsetting buying activity related to short selling being left out of the Data File and could result in it appearing there is a higher concentration of short sale to total volume; and
  • The data in the files is not consolidated with exchange data. This means that in order to get a complete picture of short sale volume market participants should combine FINRA data with data published by the exchanges; and
  • The data in the files does not—and is not intended to—equate to reported bi-monthly short interest position information. While some websites redistribute the Daily File and refer to the data as “short interest,” it is not, in fact, the equivalent of reported short interest information and while the two data sets are related, they are not connected.

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