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Short Interest Ratio (SIR)


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Is there someplace I could look up the average SIR for all stocks in an index such as the SPX?


Also is there a site that just lists SPX stocks by SIR?


I did find one site where I can enter tickers and get the historic SIR.




The reason I am asking is that I have been reading Quantitative Value and there is a section that talks about performance versus SIR. So I want to start watching SIR to see if it might be something useful.


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finviz.com lets you download short interest data.


Here's an old analysis I did based on that data:



Interactive brokers also has a list of rebate fees by stock. 


You can put that data into a Google Drive spreadsheet to grab market caps.



In my opinion, I think that rebate fees are a better indicator of future share price performance than short interest.

For small caps, rebate fees are a better indicator.  This is because some of the best shorts have a very limited number of shares being lent out.

For large caps, this effect is less.  IPOs tend to have very high rebate fees because of people flipping their IPO shares.  The short selling is driven more by arbitrage than by how awful the stock is.

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