Daily short volume

What it is

A short sale is a sale of shares the seller has borrowed or has yet to receive, rather than shares they already own. Each trading day FINRA, which oversees US brokers, publishes for every stock how many shares were sold short and how many shares traded in all, counting only the trades reported to FINRA instead of to a stock exchange. Those are the trades matched in dark pools and other alternative trading systems, and the ones a broker fills itself, such as the orders a wholesale market maker fills for a retail broker. This feed shows, for each stock, the short shares (Short), the shares reported off-exchange (Total) and DPI, which is Short divided by Total, beside the stock's DPI averaged over its last 5 and 20 trading days.

Who files it

Brokers and trading venues report every trade to FINRA, which adds them up by stock and publishes one file a day.

How current

FINRA posts each day's file by about 6 p.m. Eastern time, and we collect it that evening, so the latest day is the last trading day.

Terms

Short saleA sale of shares the seller has borrowed, or has yet to receive, rather than shares they already own.Off-exchangeA trade done away from the stock exchanges, for example by a wholesale market maker filling a retail order, or matched in a dark pool. FINRA collects these reports. Trades on the exchanges themselves are not in the file.DPIShort volume divided by total off-exchange volume, as a percentage: 50% means half of the shares reported off-exchange that day were sold short. FINRA's off-exchange files include dark pools and broker internalization (such as retail orders filled by a market maker) together, so DPI does not isolate dark pools. It is a share of one day's off-exchange trades, not of the shares investors hold short, and not of all trading in the stock.Dark poolA private trading venue, run by a broker or an exchange group, where orders are matched without being shown first. FINRA's daily files put dark pools and broker internalization (a broker filling its own customers' orders) in the same off-exchange total, so they cannot tell the two apart.Market makerA firm that stands ready to buy and sell a stock throughout the day. It often sells shares it does not hold yet to fill a customer's order, then buys them back soon after.

Worth knowing

Total is the volume reported off-exchange to FINRA. It is not all the trading in the stock, which also happens on the exchanges, so the figures say nothing about a stock's whole day. This is not short interest either: short interest counts the positions investors still hold open, twice a month, while short volume counts the short sales in one day's trades. Many of those short sales are market makers selling shares they do not yet own to fill a customer's buy order, or hedging other positions, so a high DPI does not by itself mean investors are betting against a stock. A DPI of 40% to 60% is ordinary for many stocks. This is also not the volume of each dark pool: FINRA publishes that by venue every week, with a delay, and we do not show it here. Funds (ETFs) often have the highest DPI of all, because market makers trade them off-exchange all day, so the list covers listed companies unless you ask for everything. Stocks with under 1 million shares reported are left out unless you lower the minimum, because on thin volume the ratio swings with a few trades. A 5-day or 20-day average is blank when the stock was not reported on each of those days.

Not to be confused with

Short interest: the shares investors have sold short and not yet bought back, a position counted twice a month.

This comes from FINRA's daily short sale volume files.