The "most shorted" stocks have fallen for 6 of the last 7 days, dropping almost 6% - the biggest in 3 months - as the S&P 500 fell just 1%.
Year-to-date, 'shorts' are outperforming with "most shorted" down 3.3% compared to the broad market's unchanged return.
As Credit Suisse noted, short squeeze pain appears to be abating... 3 data points suggest shorts are re-establishing themselves:
- Our short basket in energy today underperforming by 60 bps... materials short basket underperforming by ~100 bps
- Prime service data --Losses associated with the covering of crowded energy shorts appears to be slowing as measured by the recent Outperformance of the top 100 shorts driven by Energy shorts, a first in 2016 –Connors Prime Services
- Futures desk -- EU equity shorts, after being squeezed for several weeks, re-established themselves in a big way last week as we fell back through 3000... US equity shorts also increased as macro figures disappointed –Glanville
Of course only one thing really matters... The Fed's "concerned-ness" level...