Daily data for short interest as a percentage of shares outstanding?
Author: mikesblack
Creation Date: 4/16/2013 2:21 PM
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mikesblack

#1
-Is there a data source that you know of that contains daily changes to short interest as a percentage of shares outstanding? Thanks
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mikesblack

#2
Fidelity's fundamental data has it, but I am interested in a data source that contains daily changes. Appreciate any thoughts here? Thank you.
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Eugene

#3
1. Raw short sale data for all Naz/NYSE symbols can be downloaded from this website on a day by day basis (last year):

April 2013 Reg SHO Daily Files

To utilize this data source, you'd have to create a downloader for grabbing hundreds of files, parsing, extracting the data on a symbol basis, appending to a database (preferred solution) or a CSV file to build the historical short sales series for a symbol.

2. Bi-weekly data on a symbol basis:

http://www.nasdaq.com/symbol/a/short-interest

Loss of precision but way easier to get there. Finally, a collection of short selling volume data for securities from the SEC:

SHORT SALE VOLUME AND TRANSACTION DATA
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mikesblack

#4
Thanks!
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Eugene

#5
On their website (NOT in our data provider), YCharts provides the following items for their paid subscribers: Short Interest, Days to Cover Short, Percent of Float Short, Percent of Shares Outstanding Short.
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Eugene

#6
Wealth-Lab Developer users will soon have the short interest data, too:

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Eugene

#7
The short interest data (on a bi-weekly basis) has become available through new Nasdaq.com suite consisting of static, streaming and fundamental providers.