borrow rate spike short

When the cost to borrow a stock spikes, it signals either (a) shorts have HIGH conviction despite paying premium — bearish continuation — or (b) utilization is hitting recall risk — bullish squeeze setup. Two readings: Z-SCORE BREAKOUT (borrow fee z > +2 vs 60d baseline → short the stock) and SQUEEZE TRIGGER (borrow fee at extreme AND price reverses up → long the squeeze). Sourced from `stock_borrow_rates` (iborrowdesk daily, ~1y depth).

Stocks that are expensive-to-borrow earn -3.7%/month abnormal return — the shorting premium of Drechsler-Drechsler 2014. The expensive borrow signals binding short-sale constraints; the costlier the borrow, the more the bearish belief is kept out of price, leaving the optimist tail to dominate.

Two complementary readings of FINRA's daily short-sale volume. (1) CONTINUATION: when short_volume z-score is positive AND price is weak, shorts are adding aggressively into a falling tape — bearish continuation. (2) SQUEEZE-FADE: when short_volume hits extreme highs THEN reverts, the market is clearing stale shorts — bullish for longs. Anchored in Boehmer-Huang-Jiang (2010) and Diether-Lee-Werner (2009): FINRA short_volume captures intent and leads bi-weekly NYSE/NASDAQ short-interest snapshots by ~10-14 days.