RE:RE:RE:RE:Not the ShortsHi Adam,
We can estimate the percentage short volume that is generated by this normal MM activity based by looking at total short volume over a period and comparing to the build or dip in overall short position. For most stocks MM activity is the majority of the short volume.
This can then be used to estimate the amount of true short volume (amount NOT generated by normal MMs creating liquidity). And this estimate can give us an idea of the build in short positions.
This is not an exact calculation, as there is noise, it is a probabilistic estimate. It is possible to isolate the signal of the non-MM short volume. Of course predictions give us greater accuracy the longer the period we are measuring (due to law of large numbers).
This enabled me to predict we would see a relatively large build in short position the previous 2 reporting periods. I didn't post at the time as wasn't as confident in the model, but with more data has come more confidence.
GLTA
Marcel
adamchess wrote: hi Marcel, thanks so much for all the information and insights you are providing. However, I am now as confused as ever about these short sales trades. If the MM can be doing this on a regular basis, it complicates things unless there are some rules for the MM that prevents him from going over a certain percentage, etc. at the end of the day? Can he be net short at the end of the day and if so by how much? It sounds like he could be the source of most of the short selling in theory. best regards, Adam