We follow 1,940 SPAC securities (equities and warrants) that have short interest. Total short interest in the SPAC sector had been declining since late 2021 and we again saw SPAC short interest decline over the last thirty days. Digital World Acquisition Corp (DWAC) is still the only SPAC with over $100 million of short interest. Total SPAC short interest is now $577 million, a decrease of $119 million over the last thirty days.

SPAC Short Interest (as of 04.28.22)

Name

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

DIGITAL WORLD ACQ CORP

DWAC

13.72%

12.07%

53.07%

$161,760,494

GORES GUGGENHEIM INC

GGPI

7.41%

6.90%

3.57%

$64,245,601

FINTECH ACQ CORP V

FTCV

9.67%

8.82%

3.57%

$23,698,262

FAR PEAK ACQ CORP

FPAC

4.09%

3.93%

3.32%

$23,050,988

SOCIAL CAPITAL HEDOSOPHIA HLDGS CORP IV

IPOD

3.02%

2.93%

2.07%

$13,961,602

EJF ACQUISITION CORP

EJFA

4.96%

4.73%

10.57%

$13,812,330

ATLANTIC COASTAL ACQ CORP

ACAH

3.22%

3.12%

0.30%

$10,807,573

CF ACQ CORP VI

CFVI

3.09%

3.00%

3.57%

$10,522,630

SOCIAL CAPITAL HEDOSOPHIA HLDGS CORP VI

IPOF

0.86%

0.85%

0.30%

$10,020,798

NORTH MOUNTAIN MERGER CORP

NMMC

7.40%

6.89%

0.30%

$9,440,213

COHN ROBBINS HLDGS CORP

CRHC

1.04%

1.03%

0.30%

$8,485,338

VY GLOBAL GROWTH

VYGG

1.35%

1.34%

0.30%

$7,546,447

SOCIAL CAPITAL SUVRETTA HLDGS CORP III

DNAC

2.44%

2.38%

2.57%

$6,022,446

AURORA ACQUISITION CORP

AURC

2.19%

2.14%

4.32%

$5,677,166

EAST STONE ACQ CORP

ESSC

15.01%

13.05%

4.82%

$5,673,846

ARYA SCIENCES ACQ CORP IV

ARYD

3.76%

3.62%

6.82%

$5,260,613

PANACEA ACQUISITION CORP II

PANA

3.09%

2.99%

1.57%

$4,905,255

BCLS ACQ CORP

BLSA

3.76%

3.62%

3.07%

$4,872,473

HEALTH SCIENCES ACQ CORP 2

HSAQ

3.11%

3.02%

0.57%

$4,673,471

ALTENERGY ACQ CORP

AEAEU

1.97%

1.93%

0.30%

$4,514,611

Total SPAC Short Interest

6.23%

5.62%

17.08%

$577,188,738

The SPAC sector’s average Short Interest % Float is 6.23%, while the average S3 SI % Float is 5.62% (includes the synthetic longs created by every short sale in the trade float denominator). The average stock borrow fee is 17.08%. In contrast, stocks in the U.S. have a total short interest of $965 billion, SI % Float of 4.71%, S3 SI % Float of 4.26% and an average stock borrow fee of 0.68%.

Total short interest in the SPAC sector has decreased from $696 million to $577 million over the last 30 days. This $119 million decrease consisted of a -$117 million change in market value due to stock price decreases and -$2 million of new short covering.

SPAC stock prices have been relatively stable and the only SPAC with over $10 million on new short selling over the last month was Digital World Acquisition Corp (DWAC) with $12 million.

Excluding the $113 million of mark-to-market decrease in DWAC, the total mark-to-market change in the remaining 1,939 SPACs and warrants was -$4.3 million. If price volatility returns to the SPAC sector, we should see more shorting and covering in the sector.

SPAC 30 Day Change in Shares Shorted (as of 04.28.22)

Name

Ticker

Short Interest

30D Change Shares Shorted

DIGITAL WORLD ACQ CORP

DWAC

$161,760,494

$11,894,546

SOCIAL CAPITAL HEDOSOPHIA HLDGS CORP IV

IPOD

$13,961,602

$6,505,340

VY GLOBAL GROWTH

VYGG

$7,546,447

$4,247,001

ATLANTIC COASTAL ACQ CORP

ACAH

$10,807,573

$3,306,754

SPRING VALLEY ACQ CORP

$3,861,471

$2,651,772

TUSCAN HOLDINGS CORP II

THCA

$1,632,160

$1,492,772

SOUTHPORT ACQ CORP

PORT

$1,440,811

$1,440,359

CONX CORP

CONX

$2,483,943

$1,333,262

OMNICHANNEL ACQ CORP

OCA

$1,402,824

$1,321,971

AVALON ACQ INC

AVAC

$1,377,560

$1,309,110

And SPAC short covering was also muted over the last thirty days with no SPACs with more than $10 million of buy-to-covers.

Name

Ticker

Short Interest

30D Change Shares Shorted

ANGEL POND HOLDINGS CORP

POND

$138,901

($2,932,781)

ANDRETTI ACQ CORP

WNNR/U

$17,670

($2,517,560)

EAST STONE ACQ CORP

ESSC

$5,673,846

($2,468,136)

MOUNTAIN CO I ACQ CORP

MCAA

$1,043

($2,456,186)

M3BRIGADE ACQ II CORP

MBAC

$176,282

($2,447,795)

FINTECH ACQ CORP V

FTCV

$23,698,262

($2,138,528)

PERSHING SQUARE TONTINE HLDGS

PSTH

$1,114,508

($1,880,258)

CONCORD ACQ CORP

CND

$3,477,626

($1,855,954)

ARMADA ACQ CORP I

AACI

$73,854

($1,761,862)

GORES GUGGENHEIM INC

GGPI

$64,245,601

($1,256,774)

SPAC short sellers were up $84.5 million, +13.57%, in net-of-financing mark-to-market profits over the last 30 days. Un-profitable SPAC shorts outnumbers profitable SPAC shorts by 2-1, with losing trades outnumbering winning trades 60%-30% (10% had no P\L). But the average gain for the profitable trades was +26.38% versus an average loss for un-profitable trades of -0.62%. The total return for the profitable trades was skewed by the $81.5 million of mark-to-market profits in DWAC.

Most Profitable SPAC Shorts (past thirty days as of 04.28.22)

Name

Ticker

Avg Fee

Avg Short Interest

30 Day MTM P\L $

30 Day MTM P\L %

DIGITAL WORLD ACQ CORP

DWAC

63.13%

$190,476,525

$81,470,779

42.77%

GORES GUGGENHEIM INC

GGPI

3.41%

$70,231,479

$2,892,365

4.12%

CF ACQ CORP VI

CFVI

3.24%

$10,778,053

$561,849

5.21%

DIGITAL WORLD ACQ CORP

DWACU

41.93%

$923,949

$418,852

45.33%

SPRING VALLEY ACQ CORP

0.86%

$2,854,093

$247,646

8.68%

TUSCAN HOLDINGS CORP II

THCA

10.04%

$1,193,581

$162,846

13.64%

DIGITAL WORLD ACQ CORP WARRANT

DWACW

137.30%

$903,227

$97,389

10.78%

FAR PEAK ACQ CORP

FPAC

2.95%

$22,780,081

$87,906

0.39%

CF ACQ CORP VI WARRANT

CFVIW

11.36%

$123,639

$28,739

23.24%

LIONHEART ACQUISITION CORP II

LCAP

4.39%

$2,915,023

$28,451

0.98%

Least Profitable SPAC Shorts (past thirty days as of 04.28.22)

Name

Ticker

Avg Fee

Avg Short Interest

30 Day MTM P\L $

30 Day MTM P\L %

EAST STONE ACQ CORP

ESSC

5.32%

$6,428,675

($170,441)

-2.65%

SOCIAL CAPITAL HEDOSOPHIA HLDGS CORP IV

IPOD

1.59%

$11,485,160

($153,065)

-1.33%

EJF ACQUISITION CORP

EJFA

11.12%

$13,950,592

($144,107)

-1.03%

SOCIAL CAPITAL HEDOSOPHIA HLDGS CORP VI

IPOF

0.55%

$9,626,700

($131,880)

-1.37%

FINTECH ACQ CORP V

FTCV

3.74%

$24,225,809

($71,599)

-0.30%

ALTENERGY ACQ CORP

AEAEU

0.34%

$4,495,252

($50,290)

-1.12%

ATLANTIC COASTAL ACQ CORP

ACAH

0.30%

$11,018,231

($47,626)

-0.43%

VELOCITY ACQ CORP

VELO

6.74%

$3,658,621

($45,006)

-1.23%

ARYA SCIENCES ACQ CORP IV

ARYD

7.67%

$4,991,074

($38,550)

-0.77%

VY GLOBAL GROWTH

VYGG

0.41%

$6,805,413

($31,758)

-0.47%

The lack of overall stock borrow supply in the SPAC sector is highlighted in the high stock borrow fees for some of the securities in the sector. Average stock borrow fees in the sector have decreased by 9.22% over the past thirty days to a 17.08% fee. Short Interest % Float deceased from 6.23% to 5.62% in the SPAC sector, which reduced stock borrow pressure on rates in general. Most importantly, the stock borrow rate for DWAC decreased from 86.07% to 53.07% over the past thirty days.

Shorting SPACs has a peculiar issue compared to shorting most other larger cap securities. Due to the relatively high percentage of retail long shareholders, there is a lack of stock loan supply from the start. Retail shareholders are not usually in stock lending programs and tend to have fully paid holdings and do not use margin, which limits the capabilities of brokers using their positions as collateral and lending out their shares. In addition to the elevated level of retail (non-lending) long shareholders is the fact that SPAC securities are not in indexes and therefore not held in size by longer term institutional long shareholders (such as pension funds, mutual funds, ETF providers, etc.) who provide most of the lendable liquidity in the stock loan market. With these two strikes against them, short sellers may have a challenging time locating the more popular SPAC stock borrows to settle short sales and if they do, rates on those stock borrows are usually more expensive than traditional equities.

SPAC Stock Borrow Fees w/ SI over $1mm (as of 04.28.22)

Name

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

DIGITAL WORLD ACQ CORP

DWAC

13.72%

12.07%

53.07%

$161,760,494

EJF ACQUISITION CORP

EJFA

4.96%

4.73%

10.57%

$13,812,330

VELOCITY ACQ CORP

VELO

1.57%

1.54%

7.07%

$3,498,080

ARYA SCIENCES ACQ CORP IV

ARYD

3.76%

3.62%

6.82%

$5,260,613

EAST STONE ACQ CORP

ESSC

15.01%

13.05%

4.82%

$5,673,846

LIONHEART ACQUISITION CORP II

LCAP

2.31%

2.26%

4.82%

$2,848,637

LUX HEALTH TECH ACQ CORP

LUXA

0.41%

4.82%

$1,393,722

CONCORD ACQ CORP

CND

1.25%

1.24%

4.57%

$3,477,626

AURORA ACQUISITION CORP

AURC

2.19%

2.14%

4.32%

$5,677,166

TPG PACE BENEFICIAL FINANCE CORP

TPGY

0.71%

4.32%

$2,468,921

HIGHLAND TRANSCEND PARTNERS I CORP

HTPA

0.42%

0.41%

4.32%

$1,224,725

TUSCAN HOLDINGS CORP II

THCA

1.60%

1.58%

4.07%

$1,632,160

FINTECH ACQ CORP V

FTCV

9.67%

8.82%

3.57%

$23,698,262

GORES GUGGENHEIM INC

GGPI

7.41%

6.90%

3.57%

$64,245,601

CF ACQ CORP VI

CFVI

3.09%

3.00%

3.57%

$10,522,630

FAR PEAK ACQ CORP

FPAC

4.09%

3.93%

3.32%

$23,050,988

BCLS ACQ CORP

BLSA

3.76%

3.62%

3.07%

$4,872,473

MUDRICK CAPITAL ACQ CORP II

MUDS

0.33%

0.32%

3.07%

$1,032,999

SOCIAL CAPITAL SUVRETTA HLDGS CORP III

DNAC

2.44%

2.38%

2.57%

$6,022,446

VICKERS VANTAGE CORP I

VCKA

1.32%

1.31%

2.57%

$2,326,336

SPAC Short Selling Recap April 2022

SPAC Short Interest (as of 04.28.22)

SPAC 30 Day Change in Shares Shorted (as of 04.28.22)

Most Profitable SPAC Shorts (past thirty days as of 04.28.22)

Least Profitable SPAC Shorts (past thirty days as of 04.28.22)

SPAC Stock Borrow Fees w/ SI over $1mm (as of 04.28.22)

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