Short Interest Update

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1

I’m getting more info in the issue with Short Interest discussed here

  • The exchanges need time to collect the data & disseminate it. Minimum lag is 9 days.
  • The lag is not new, but unfortunately we have no way to re-create it precisely since Compustat never tagged ‘when’ the data was disseminated.
  • Our data is from the exchanges (just like it was with Reuters)
  • There are costly providers ($$$) that specialize in short interest data with faster updates, higher frequency (daily) and better accuracy (so they claim).

Given the degradation most of you saw with the new artificial lag, and that data without most of the lag appears to be available if you are willing to pay, it seem logical that it does indeed have value. I will inquiry about costs, but most likely it will be very expensive. If there’s a way to get it it will probably have to be offered at additional cost to those who want it.

ALSO

I will need to do a revision on the artificial lag that is in place. I found some problems caused by the lag that in some cases make the current month = to the previous month due to different number of days in a month.

Thank you for your patience

2

Marco,

I really appreciate this fix. A few comments:

  • What about using the 8 business/trading days lag to determine the exact dissemination date? Or is this a bit too complex?
  • I am certainly interested in improved short interest data as I expect it will improve my ports more than the additional $$$.
  • Data Explorers seems to be the leading provider from what I have heard. This company should also be able to provide the data required for our short sims (e.g. borrowing rates, lending availablity)

Regards,
Hedgehog