The New #204 Most Shorted S&P 500 Component: XL Group

The most recent short interest data has been released by the NASDAQ for the 06/30/2014 settlement date, and we here at Dividend Channel like to sift through this fresh data and order the underlying components of the S&P 500 by "days to cover." There are a number of ways to look at short data, for example the total number of shares short; but one metric that we find particularly useful is the "days to cover" metric because it considers both the total shares short and the average daily volume of shares typically traded. The number of shares short is then compared to the average daily volume, in order to calculate the total number of trading days it would take to close out all of the open short positions if every share traded represented a short position being closed.

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In our new rank based on the most recent short interest data from NASDAQ, XL Group plc ( XL) has taken over the position of #204 most shorted S&P 500 component, from Ball Corp ( BLL) which is now in the #110 spot. The "days to cover" at 06/30/2014 was 3.95 for XL, and 5.65 for BLL; this compares to the average across all S&P 500 components of 4.48 (down from the average back on the 06/13/2014 settlement date of 5.00). The chart below shows the movement over time of the "days to cover" values of both XL and BLL, versus the average S&P 500 component.

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Below is a chart showing the relative positions of XL versus BLL over time within the 500 S&P 500 components, with #1 representing the component with the highest "days to cover" value (most heavily shorted) and #500 representing the component with the lowest "days to cover" value (least heavily shorted):

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