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, but we saw some new short selling over the past 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 $694 million, an increase of $101 million over the last thirty days. Average Short Interest % of Float is 6.23% and S3 SI % Float (which includes synthetic longs created by every short sale in the Float number) is 5.62%, while the average stock borrow fee is 17.08%. As a comparison, U.S. equities have an average SI % Float of 4.91%, S3 SI % Float of 4.40% and average stock borrow fee of 0.78%.

SPAC Short Interest (as of 05.31.22)

Name

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

DIGITAL WORLD ACQ CORP

DWAC

17.39%

14.82%

100.82%

$225,540,311

GORES GUGGENHEIM INC

GGPI

9.90%

9.01%

5.57%

$80,990,429

FAR PEAK ACQ CORP

FPAC

4.05%

3.90%

3.32%

$22,879,089

FINTECH ACQ CORP V

FTCV

9.32%

8.53%

3.32%

$22,743,946

PERSHING SQUARE TONTINE HLDGS

PSTH

0.36%

0.30%

$14,064,375

SOCIAL CAPITAL HEDOSOPHIA HLDGS VI

IPOF

1.13%

1.11%

0.30%

$12,884,480

CC NEUBERGER PRINCIPAL HLDGS II

PRPB

1.39%

1.37%

1.69%

$11,464,728

CF ACQ CORP VI

CFVI

3.37%

3.26%

2.82%

$11,099,271

ATLANTIC COASTAL ACQ CORP

ACAH

3.30%

3.20%

0.30%

$11,065,146

CONCORD ACQ CORP

CND

3.73%

3.59%

4.07%

$10,302,425

NORTH MOUNTAIN MERGER CORP

NMMC

7.26%

6.77%

0.30%

$9,499,849

SOCIAL CAPITAL HEDOSOPHIA HLDGS IV

IPOD

2.03%

1.99%

0.82%

$9,263,401

VY GLOBAL GROWTH

VYGG

1.45%

1.43%

0.30%

$8,113,367

REDBALL ACQUISITION CORP

RBAC

1.51%

1.49%

0.30%

$7,955,599

BRIDGETOWN HLDGS LTD

BTWN

1.03%

1.02%

2.32%

$6,037,540

SOCIAL CAPITAL SUVRETTA HLDGS CORP III

DNAC

2.43%

2.37%

2.32%

$5,982,900

AURORA ACQUISITION CORP

AURC

2.10%

2.05%

5.07%

$5,429,792

BCLS ACQ CORP

BLSA

4.01%

3.86%

3.57%

$5,185,491

EAST STONE ACQ CORP

ESSC

14.08%

12.34%

5.57%

$5,156,037

ARYA SCIENCES ACQ CORP IV

ARYD

3.67%

3.54%

6.57%

$5,105,450

Total SPAC Short Interest

8.06%

7.06%

34.66%

$693,614,045

Total short interest in the SPAC sector has increased from $593 million to $694 million over the last 30 days. This $101 million decrease consisted of a +$10 million change in market value due to stock price increases and $101 million of new short selling.

There were only two SPACs with over $10 million on new short selling over the thirty days. And SPAC short covering was also muted over the last thirty days with just one SPAC with more than $10 million of buy-to-covers.

30 Day Change in Shares Shorted (as of 05.31.22)

Name

Ticker

Short Interest

30D Change Shares Shorted

DIGITAL WORLD ACQ CORP

DWAC

$225,540,311

$34,883,559

GORES GUGGENHEIM INC

GGPI

$80,990,429

$13,526,299

CC NEUBERGER PRINCIPAL HLDGS II

PRPB

$11,464,728

$7,465,429

SOCIAL LEVERAGE ACQ CORP I

SLAC

$4,943,874

$4,897,871

CONCORD ACQ CORP

CND

$10,302,425

$4,414,037

SVF INVESTMENT CORP 3

SVFC

$4,458,335

$4,390,269

REDBALL ACQUISITION CORP

RBAC

$7,955,599

$3,493,641

HAYMAKER ACQ CORP III

HYAC

$3,592,179

$3,487,689

SLAM CORP

SLAM

$2,770,713

$2,670,710

NORTH ATLANTIC ACQ CORP

NAAC

$4,033,370

$2,667,180

Name

Ticker

Short Interest

30D Change Shares Shorted

EJF ACQUISITION CORP

EJFA

$3,299,653

($10,198,195)

COHN ROBBINS HLDGS CORP

CRHC

$485,626

($4,255,202)

ALTENERGY ACQ CORP

AEAEU

$1,990

($1,133,090)

BYNORDIC ACQ CORP WARRANT

BYNOU

$52,180

($880,303)

WESTERN ACQ VENTURES CORP

WAVS

$43,053

($821,019)

HUDSON EXECUTIVE INVESTMENT CORP III

HIII

$85,737

($804,740)

EAST STONE ACQ CORP

ESSC

$5,156,037

($784,971)

FINTECH ACQ CORP V

FTCV

$22,743,946

($723,218)

AEABRIDGES IMPACT CORP

IMPX

$198,733

($709,385)

B RILEY PRINCIPAL 150 MERGER CORP

BRPM

$4,257,104

($664,474)

SPAC SI % Float increased by +1.28% (6.78% to 8.06%) and S3 SI % Float increased by +0.74% (6.70% to 7.44%) over the last thirty days. This +19% and +11% increase is mainly due to Digital World Acq. Corp’s (DWAC) +2.69% increase and Gores Guggenheim Inc’s (GGPI) +1.65% increase over the last thirty days. The largest SI % Float and S3 SI % Float in the SPAC sector are below.

Traditional Short Interest vs S3 Short Interest (as of 05.31.22)

Name

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

DIGITAL WORLD ACQ CORP

DWAC

17.39%

14.82%

100.82%

$225,540,311

EAST STONE ACQ CORP

ESSC

14.08%

12.34%

5.57%

$5,156,037

GORES GUGGENHEIM INC

GGPI

9.90%

9.01%

5.57%

$80,990,429

FINTECH ACQ CORP V

FTCV

9.32%

8.53%

3.32%

$22,743,946

NORTH MOUNTAIN MERGER CORP

NMMC

7.26%

6.77%

0.30%

$9,499,849

FAR PEAK ACQ CORP

FPAC

4.05%

3.90%

3.32%

$22,879,089

BCLS ACQ CORP

BLSA

4.01%

3.86%

3.57%

$5,185,491

CONCORD ACQ CORP

CND

3.73%

3.59%

4.07%

$10,302,425

ARYA SCIENCES ACQ CORP IV

ARYD

3.67%

3.54%

6.57%

$5,105,450

CF ACQ CORP VI

CFVI

3.37%

3.26%

2.82%

$11,099,271

ATLANTIC COASTAL ACQ CORP

ACAH

3.30%

3.20%

0.30%

$11,065,146

HEALTH SCIENCES ACQ CORP 2

HSAQ

3.14%

3.04%

0.30%

$4,825,999

PANACEA ACQUISITION CORP II

PANA

3.09%

2.99%

1.32%

$4,882,412

ACE CONVERGENCE ACQ CORP

ACEV

2.72%

2.65%

4.82%

$2,238,999

SOCIAL CAPITAL SUVRETTA HLDGS CORP III

DNAC

2.43%

2.37%

2.32%

$5,982,900

B RILEY PRINCIPAL 150 MERGER CORP

BRPM

2.43%

2.37%

1.44%

$4,257,104

BENESSERE CAPITAL ACQ CORP

BENE

2.32%

2.27%

1.32%

$2,319,335

TUSCAN HOLDINGS CORP II

THCA

2.13%

2.09%

4.32%

$1,104,096

AURORA ACQUISITION CORP

AURC

2.10%

2.05%

5.07%

$5,429,792

SOCIAL CAPITAL HEDOSOPHIA HLDGS IV

IPOD

2.03%

1.99%

0.82%

$9,263,401

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 increased by 16.96% (+96%) over the last thirty days to a 34.66% fee. The largest changes in stock borrow fees were in the Digital World Acq. Corp (DWAC) and Gores Guggenheim Inc (GGPI) SPACS. DWAC stock borrow fee increased by 47.75% fee while GGPI increased by 2.00% Fee.

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. They also tend to 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 Borrow Fees (as of 05.31.22)

Name

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

DIGITAL WORLD ACQ CORP

DWAC

17.39%

14.82%

100.82%

$225,540,311

DIGITAL WORLD ACQ CORP

DWACU

0.08%

40.57%

$1,267,028

VELOCITY ACQ CORP

VELO

1.60%

1.57%

8.57%

$3,549,011

ARYA SCIENCES ACQ CORP IV

ARYD

3.67%

3.54%

6.57%

$5,105,450

GORES GUGGENHEIM INC

GGPI

9.90%

9.01%

5.57%

$80,990,429

EAST STONE ACQ CORP

ESSC

14.08%

12.34%

5.57%

$5,156,037

TPG PACE BENEFICIAL FINANCE CORP

TPGY

0.84%

0.83%

5.57%

$2,899,289

NORTH ATLANTIC ACQ CORP

NAAC

1.20%

1.19%

5.32%

$4,033,370

AURORA ACQUISITION CORP

AURC

2.10%

2.05%

5.07%

$5,429,792

VICKERS VANTAGE CORP I

VCKA

1.92%

1.88%

5.07%

$3,376,273

ACE CONVERGENCE ACQ CORP

ACEV

2.72%

2.65%

4.82%

$2,238,999

TUSCAN HOLDINGS CORP II

THCA

2.13%

2.09%

4.32%

$1,104,096

CONCORD ACQ CORP

CND

3.73%

3.59%

4.07%

$10,302,425

BCLS ACQ CORP

BLSA

4.01%

3.86%

3.57%

$5,185,491

FAR PEAK ACQ CORP

FPAC

4.05%

3.90%

3.32%

$22,879,089

FINTECH ACQ CORP V

FTCV

9.32%

8.53%

3.32%

$22,743,946

CF ACQ CORP VI

CFVI

3.37%

3.26%

2.82%

$11,099,271

G SQUARED ASCEND I INC

GSQD

1.24%

1.23%

2.82%

$3,751,097

BRIDGETOWN HLDGS LTD

BTWN

1.03%

1.02%

2.32%

$6,037,540

SOCIAL CAPITAL SUVRETTA HLDGS CORP III

DNAC

2.43%

2.37%

2.32%

$5,982,900

SI % Float and stock borrow costs are just two of the variables in our multi-factor Crowded Score metric along with the overall size of the short, stock borrow liquidity and trading liquidity. There is only one SPAC, Digital World Acq. Corp (DWAC), that can be considered Crowded and two SPACS that are not considered Crowded today but may become Crowded if short selling in these names increases.

The Most Crowded SPACs (as of 05.31.22)

Name

Ticker

Short Interest

S3 Crowded Score

DIGITAL WORLD ACQ CORP

DWAC

$225,540,311

70.00

FINTECH ACQ CORP V

FTCV US

$22,743,946

55.00

GORES GUGGENHEIM INC

GGPI US

$80,990,429

45.00

SPAC short sellers were up $32.5 million, +4.91%, in net-of-financing mark-to-market profits in May. Profitable SPAC shorts outnumbers profitable SPAC shorts by almost 4-1, with profitable trades outnumbering winning trades 75%-21% (4% had no P\L). The average mark-to-market gain for the profitable trades was +5.89% versus the average loss for un-profitable trades was only -0.36%. The total return for the profitable trades was skewed by the $22.4 million of mark-to-market profits in Digital World Acq. Corp (DWAC).

Most Profitable SPAC Shorts ($): May 2022

Name

Ticker

Avg Fee

Avg Short Interest

May MTM P\L $

P\L %

DIGITAL WORLD ACQ CORP

DWAC

83.69%

$203,401,639

$22,366,448

11.00%

GORES GUGGENHEIM INC

GGPI

4.86%

$80,428,219

$3,205,000

3.98%

CF ACQ CORP VI

CFVI

3.70%

$12,006,485

$1,795,424

14.95%

APOLLO STRATEGIC GROWTH CAPITAL

APSG

0.94%

$4,387,511

$1,273,147

29.02%

REDBALL ACQUISITION CORP

RBAC

0.96%

$7,558,649

$636,971

8.43%

NORTH ATLANTIC ACQ CORP

NAAC

3.48%

$3,419,843

$451,804

13.21%

DIGITAL WORLD ACQ CORP WARRANT

DWACW

151.29%

$828,424

$389,643

47.03%

HAYMAKER ACQ CORP III

HYAC

0.58%

$2,230,895

$364,449

16.34%

SOCIAL CAPITAL HEDOSOPHIA HLDG VI

IPOF

0.30%

$12,904,846

$338,685

2.62%

BIOTECH ACQ CO

BIOT

0.77%

$1,398,846

$229,470

16.40%

Least Profitable SPAC Shorts ($): May 2022

Name

Ticker

Avg Fee

Avg Short Interest

May MTM P\L $

P\L %

EJF ACQUISITION CORP

EJFA

5.23%

$6,792,182

($65,833)

-0.97%

TIGA ACQ CORP WARRANT

TINV/WS

4.36%

$17,246

($33,912)

-196.64%

SVF INVESTMENT CORP 3

SVFC

0.63%

$2,554,849

($24,832)

-0.97%

CC NEUBERGER PRINCIPAL HLDGS II

PRPB

1.25%

$11,516,645

($21,607)

-0.19%

VICKERS VANTAGE CORP I

VCKA

4.38%

$3,379,660

($19,131)

-0.57%

HORIZON ACQ CORP II

HZON

1.76%

$3,415,229

($10,646)

-0.31%

LUX HEALTH TECH ACQ CORP

LUXA

4.99%

$2,569,861

($8,748)

-0.34%

CONCORD ACQ CORP

CND

3.48%

$7,853,041

($8,560)

-0.11%

VELOCITY ACQ CORP

VELO

5.88%

$3,770,716

($8,391)

-0.22%

DYNAMICS SPECIAL PURPOSE CORP

DYNS

18.93%

$422,268

($7,354)

-1.74%

SPAC Short Selling Recap May 2022

SPAC Short Interest (as of 05.31.22)

30 Day Change in Shares Shorted (as of 05.31.22)

Traditional Short Interest vs S3 Short Interest (as of 05.31.22)

SPAC Borrow Fees (as of 05.31.22)

The Most Crowded SPACs (as of 05.31.22)

Most Profitable SPAC Shorts ($): May 2022

Least Profitable SPAC Shorts ($): May 2022

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