Short Pressure Composite
In plain terms
A composite index of borrow cost, short volume, and options skew cleanly separates squeeze candidates from persistent short-overhang shorts.
How it works
A composite of short volume ratio, borrow cost trend, and implied volatility skew (put/call IV spread) combines squeeze risk with overhang signal and options-market hedging demand. The composite separates tactical squeeze longs from structural short-overhang shorts.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Finra short volume
A data feed this strategy reads, refreshed on its normal schedule.
- Borrow rates
Daily borrow-fee curve from prime-broker feeds.
- Options surface daily
End-of-day OPRA option chains used by IV-skew family.
Expected edge
- Tested over
- 2004-2014 (Engelberg-Reed-Ringgenberg)
Composite short pressure index: long-short spread ~5-8% ann. in the tails.
Related families
Stocks with high short interest and rapidly rising borrow costs are primed for short squeezes -- a tactical long opportunity.
When informed short sellers maintain heavy positioning for weeks without triggering a squeeze, the persistent overhang is a reliable bearish signal.
Explore Short Pressure Composite on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.