Sold by: S3 Partners
Deployed on AWS
S3 Intraday Short Interest Risk Analytics & Securities Financing Data provide the necessary tools to view how Short Interest, short side crowdedness, short squeezability,Financing Rates, and crowded trades affect price action. Clients rely on this dataset for accurate Short Interest analytics and to identify crowded long and short trades. S3’s data provides transparency to the true spread of the borrow/loan market, with the only unbiased bid, offer, and last rates for Securities Finance.
Overview
S3 Intra day Short Interest Enhanced Risk Analytics & Securities Financing Data
- Access the only independent Short Interest and Securities Finance data set available. Use this data to understand bearish bets, conviction levels and what is driving price action, and identify which trades are crowded and why for over 65,000 global securities.
- Eliminate delays in exchange-reported data and seamlessly integrate data into existing systems and workflows.
- Trust S3’s holistic and unbiased data collection and contribution methodology. Gain a complete dataset sourced from proprietary software and data, bank and broker inventory feeds from all major market participants, regulatory filings from every public exchange globally and an in-house service desk that performs live confirmation of intraday rates from voice brokered financing markets.
Use Cases
- Get Intraday data including corporate action data adjustmets.
- Identify hidden risk in your portfolios or trading strategies
- Distinguish institutional vs. retail positioning
- Measure total amount of short sales in the market
- Understand borrow and shorting capacity
- Improve position sizing and timing decisions
- Explain short-term sector and factor rotation
- Identify crowding, short squeezes and market disruptions
- Minimize risk in volatile markets
Feed Details
| Description | Value |
|---|---|
| Update Frequency | Hourly (Morning 8AM is SOD data and then hourly updates from 9AM - 5PM ET) |
| Data Source(s) | Custody Data, Prime Broker Inventory feeds, Regulatory filings and Exchange Data. |
| Geographic coverage | Global |
| Time period coverage | Since 2015 |
| Is historical data “point-in-time” | YES |
| Data Set(s) Format(s) | CSV |
Feed Coverage
| Asset Class | Count | Type | Start Date |
|---|---|---|---|
| Equity | 44,000 + | Securities | 2015 |
| CORP | 10,500 + | Securities | 2015 |
| ETF / FUND | 7,500 + | Securities | 2015 |
| GOVT | 1,500 + | Securities | 2015 |
| ADR | 2000 + | Securities | 2015 |
| TOTAL | 65,000+ | Securities | 2015 |
Key Data Points
| Field | Description |
|---|---|
| Business Date | Effective date for the rate. |
| Security IDs | Security Identifiers contain Sedol, ISIN, FIGI, Ticker, Bloomberg ID. |
| Name | Security Name. |
| Offer Rate | Market composite financing fee paid for existing short positions |
| Bid rate | Market composite lending fee earned for existing shares on loan by long holders |
| Last rate | Market composite lending fee earned for incremental shares loaned on that date (Spot Rate) |
| Short Momentum | The momentum indicator measures daily shorting and covering events relative to the market float |
| Short Interest | Real-time short interest expressed in shares |
| ShortInterestNotional | ShortInterest * Price (USD) |
| ShortInterestPct | Real-time short interest expressed as a percentage of equity float. |
| S3Float | The number of tradable shares including synthetic longs created by short selling. |
| SI Pct S3 Float | Real-time short interest projection divided by the S3 float. |
| IndicativeAvailability | S3 projected available lendable quantity |
| S3 Utilization | Real-time short divided by Total Lendable supply |
| DaystoCover10Day | It is a liquidity measure = Short Interest / 10 day average ADTV |
| DaystoCover30Day | It is a liquidity measure = Short Interest / 30 day average ADTV |
| DaystoCover90Day | It is a liquidity measure = Short Interest / 90 day average ADTV |
| Crowded Score | S3’s proprietary multi-factor model which ranks the short side crowdedness of a security based on its short interest, float, stock loan liquidity and trading liquidity |
| Squeeze Risk | S3’s proprietary multi-factor model which ranks the potential short squeezability of a security based on its short interest, float, stock loan liquidity, trading liquidity and mark-to-market profitability |
| Daily MTM PL | Daily Mark to Market Profit and Loss for a stock factoring in the price change and SI |
| Daily NET MTM PL | Daily Net Mark to Market Profit and Loss for a stock factoring in price change, SI and borrow financing cost |
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No Refunds Allowed
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Delivery details
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Additional details
You will receive access to the following data sets.
Data set name | Type | Historical revisions | Future revisions | Sensitive information | Data dictionaries | Data samples |
|---|---|---|---|---|---|---|
Intraday Data File - S3 Short Interest Enhanced Risk Analytics & Securities Financing Data | All historical revisions | All future revisions | Not included | Not included | ||
Historical Intraday Data File - S3 Short Interest Enhanced Risk Analytics & Securities Financing Data | All historical revisions | All future revisions | Not included | Not included |
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S3 Short Interest Enhanced Risk Analytics & Securities Financing Data provide the necessary tools to view how Short Interest, short side crowdedness, short squeezability, Financing Rates, and crowded trades affect price action. Clients rely on this dataset for accurate Short Interest analytics and to identify crowded long and short trades. S3’s data provides transparency to the true spread of the borrow / loan market, with the only unbiased bid, offer, and last rates for Securities Finance.
S3's Revised Short Interest and Securities Finance data provide the necessary tools to view how Short Interest, Financing Rates, and crowded trades affect price action. Clients rely on this unique dataset for accurate Short Interest analytics and to identify crowded long and short trades.
The dataset is refreshed on each dissemination date, incorporating the most recent Short Interest (SI) figures as reported directly by the relevant exchanges.
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