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S3 Research

August ETF Short Activity

With interest rates and worldwide markets surprisingly volatile during the supposed summer doldrums, ETF short side activity has been volatile as well.

SPY, IWM and QQQ remain the top three most shorted ETFs, as they have been for years, but there have been some changes in the rest of the constituents. There are five Bond ETF presently in the top 20, but since January the Spider Bloomberg Barclays High Yield Bond ETF (JNK) had 11.0 million shares ($1.19 billion) in short covering and now has $1.28 billion in total short interest. Even though there is one less fixed income ETF in the Top 20, short interest of the five that remain is $857 million larger than the six in January’s Top 20. Two other ETFs that are missing since January, the iPath S&P 500 VIX ST Futures ETF (VXX) and the Spider S&P Regional bank ETF (KRE). Replacing these three ETFs are the Spider DJIA ETF (DIA), the Vanguard Real Estate ETF (VNQ) and the iShares U.S. Real Estate ETF (IYR).

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Cannabis Shorts up on Tilray 2nd Quarter Loss

Tilray Inc (TLRY US) reported a larger than expected 2nd quarter loss despite beating analysts’ revenue expectations. An increase in operating expenses due to expansion was the main driver to the increase in expenses. TLRY is down over 12% on the news and virtually all the larger stocks in the Cannabis Sector are trending downward as well.

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Stock Loan Money Makers

Short sellers pay a stock borrow expense for every short position they have in their portfolios based on the amount of shares shorted, price of the stock and borrow fee of that particular stock. These financing expenses are revenues for counterparties that help supply the stock borrows for short sellers. The stocks with the largest daily revenues are:

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CRM Short Covering May be Signaling Price Floor

After hitting its year-to-date high of $166.95/share on March 21st, Salesforce.com Inc’s (CRM) stock price has slid almost -16% to $140.72/share. CRM continues to be the most shorted stock in the Application Software sector with nearly double the short exposure than runner-up Adobe Systems Inc.

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UBER & LYFT Shares Slam into Reverse

Uber Technologies Inc (UBER) and Lyft Inc (LYFT) shares prices had been strengthening recently, but after UBER reported a larger than expected $5.24 billion second quarter loss, both stocks are down for the day. UBER and LYFT are the largest shorts in the domestic Trucking Sector and today’s performance will certainly increase the amount of short selling in both stocks.

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Shorts up $192 Million as Whiting Petro Hits Historical Low

Whiting Petroleum Corp (WLL) hit a historical low today as it reported a second quarter loss of ($0.28)/share versus an expected gain of $0.27/share. According to Raymond James analysts the loss was due to high operating costs, weak natural gas prices and poor oil volumes. In response Whiting will be cutting a third of its workforce and scaling back its exploration schedule. Shorts have been increasing their exposure to the oil exploration and production stock since its last earnings report and were rewarded with a 39% return on today’s price drop.

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Cannabis Short Interest Higher in July

We track short interest for 150 securities with $111 billion of market cap in our Cannabis Portfolio to get an overview into short selling activity in the market. These U.S. and Canadian stocks and ETFs have over $5.1 billion of total short interest, an average short interest % of float of 8.25% and 16.75% average stock loan fee. We’ve seen increased short selling activity in this sector throughout all of 2019 with 99.5 million of net shares shorted worth $1.40 billion. In July, short selling was a bit muted, with 7.2 million shares of new short selling worth $169.7 million.

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Stocks with Highest Short Interest % Float

There are 35 domestic stocks with Short Interest % of Float greater than 40% and total short interest greater than $25 million. These are stocks which have a greater chance of a short squeeze if stock loan supply gets tight; stock borrow rates negatively impact net of financing expected Alpha; mark-to-market losses mount if the security rallies; or recalls start hitting the street. The Offer Rate is the market stock borrow rate for the security and the Last Rate is today’s stock borrow rate for the security. The higher the Offer Rate the less stock borrow supply there is on the street while a higher Last Rate indicates that supply is diminishing quickly and rates on existing short positions will increase. Using the Screening Tool in the S3 App, you can access this data on a daily basis on your own.

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Shopify Year Long Short Squeeze Continues

Shopify Inc. (SHOP US & SHOP CN) is the second largest short in the Internet Services & Infrastructure Sector but shares shorted have been declining for most of 2019 as its stock price has rallied +127%. Shopify Inc. is a dually listed security, trading on both the U.S. and Canadian exchanges. Total SHOP short interest is $1.41 billion; 4.49 million shares shorted; 4.56% of its float; 0.30% (general collateral) borrow fee.

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