We follow 1,871 SPAC securities (equities and warrants) that have short interest. Total short interest in the SPAC sector had been declining in late 2021, but we have seen a slight bump up in short selling in the sector recently. However, Digital World Acquisition Corp (DWAC) remains the only SPAC with over $100 million of short interest. Total SPAC short interest is now $957 million, an increase of +$116 million over the last thirty days.

A View of Short Interest Among SPACs (as of 01.20.22)

SPAC Short Interest

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

DIGITAL WORLD ACQ CORP

DWAC

12.98%

11.49%

76.57%

$323,728,355

GORES GUGGENHEIM INC

GGPI

7.75%

7.19%

2.07%

$68,517,692

PERSHING SQUARE TONTINE HLDGS

PSTH

0.84%

0.30%

$33,374,684

FINTECH ACQ CORP V

FTCV

13.05%

11.55%

11.07%

$31,943,756

FAR PEAK ACQ CORP

FPAC

4.19%

4.02%

2.57%

$23,582,531

POWER DIGITAL INFRASTRUCTURE ACQ CORP

XPDI

5.93%

5.60%

1.82%

$19,915,319

CITIC CAPITAL ACQ CORP

CCAC

6.78%

6.35%

3.32%

$17,558,484

SOCIAL CAPITAL HEDOSOPHIA HLDGS CORP VI

IPOF

1.49%

1.47%

0.94%

$17,047,720

PIONEER MERGER CORP

PACX

3.74%

3.60%

4.82%

$14,636,388

CONCORD ACQ CORP

CND

5.04%

4.80%

5.07%

$14,090,237

OMNICHANNEL ACQ CORP

OCA

5.83%

5.51%

3.57%

$11,986,287

IVANHOE CAPITAL ACQ CORP

IVAN

3.93%

3.78%

4.07%

$10,727,727

SPORTS ENTERTAINMENT ACQ CORP

SEAH

2.34%

2.28%

1.57%

$10,447,513

GORES METROPOULOS II INC

GMII

2.77%

2.69%

10.32%

$10,194,056

TAILWIND TWO ACQ CORP

TWNT

2.89%

2.81%

0.69%

$9,860,103

ARYA SCIENCES ACQ CORP IV

ARYD

6.87%

6.43%

9.32%

$9,629,458

SUPERNOVA PARTNERS ACQ CO II

SNII

2.82%

2.75%

0.30%

$9,464,236

COHN ROBBINS HLDGS CORP

CRHC

1.14%

1.12%

1.45%

$9,199,687

LONGVIEW ACQUISITION CORP II

LGV

1.35%

1.33%

1.20%

$8,994,594

TPG PACE BENEFICIAL FINANCE CORP

TPGY

2.43%

2.37%

9.07%

$8,356,729

Total SPAC Sector

6.62%

5.97%

28.52%

$957,391,294

The SPAC sector’s average Short Interest % Float is 6.62%, while the average S3 SI % Float of 5.97% (which includes the synthetic longs created by every short sale in the trade float denominator) with an average stock borrow fee of 28.52%. In contrast, stocks in the U.S. have a total short interest of $975 billion, SI % Float of 4.54%, S3 SI % Float of 4.11% and an average stock borrow fee of 0.62%.

Total short interest in the SPAC sector has increased from $841 million to $957 million over the last 30 days. This +$116 million increase consisted of a +$144 million change in market value due to stock price increases and -$28 million of new short covering.

There are no SPACs with over $10 million on new short selling over the last month as SPAC stock prices were relatively stable. Excluding the $148 million of mark-to-market increase in DWAC, the total mark-to-market change in the remaining 1,740 SPACs and warrants was -$3.4 million. If price volatility returns to the SPAC sector, we should see more shorting and covering in the sector.

And SPAC short covering was also muted over the last thirty days with only two SPACs with more than $10 million of buy-to-covers, Digital World Acquisition Corp (DWAC) and Genesis Growth Tech Acquisition Corp (GGAAU).

SPACs with Higher 30 Day Change in Shares Shorted (as of 01.20.22)

SPAC Short Interest

Ticker

Short Interest

30D Ch Shares Shorted*

TAILWIND TWO ACQ CORP

TWNT

$9,860,103

$6,393,228

LONGVIEW ACQUISITION CORP II

LGV

$8,994,594

$5,305,341

MERIDA MERGER CORP I

MCMJ

$6,819,853

$4,711,750

ATLANTIC COASTAL ACQ CORP

ACAH

$4,826,382

$4,663,845

NORTHERN STAR INVESTMENT CORP II

NSTB

$5,965,377

$3,526,537

OMNICHANNEL ACQ CORP

OCA

$11,986,287

$3,490,321

TREBIA ACQ CORP

TREB

$5,247,608

$3,290,078

PERSHING SQUARE TONTINE HLDGS

PSTH

$33,374,684

$3,132,070

VAHANNA TECH EDGE ACQ I CORP

VHNAU

$4,026,504

$3,060,835

NORTH MOUNTAIN MERGER CORP

NMMC

$3,868,541

$2,848,874

* Represents dollar value of the change in shares shorted, calculated by # of shares shorted multiplied by stock price as of 01.20.22

SPACs with Higher 30 Day Change in Shares Shorted (as of 01.20.22)

SPAC Short Interest

Ticker

Short Interest

30D Ch Shares Shorted*

DIGITAL WORLD ACQ CORP

DWAC

$323,728,355

($27,941,974)

GENESIS GROWTH TECH ACQ CORP

GGAAU

$5,614

($26,074,249)

FTAC HERA ACQUISITION CORP

HERA

$956,770

($5,904,238)

EVEREST CONSOLIDATOR ACQ CORP

MNTN/U

$171,413

($5,420,181)

SCION TECH GROWTH I

SCOA

$216,044

($4,465,274)

RXR ACQUISITION CORP

RXRA

$267,909

($3,350,698)

SUPERNOVA PARTNERS ACQ CO II

SNII

$9,464,236

($2,610,676)

CF ACQ CORP VI

CFVI

$3,579,079

($2,516,560)

SOCIAL CAPITAL HEDOSOPHIA HLDGS CORP VI

IPOF

$17,047,720

($2,216,962)

SVF INVESTMENT CORP

SVFA

$3,200,332

($2,022,868)

* Represents dollar value of the change in shares shorted, calculated by # of shares shorted multiplied by stock price as of 01.20.22

SPAC short sellers were down -$138 million, -16.52%, in net-of-financing mark-to-market losses over the last 30 days. Surprisingly, profitable SPAC shorts outnumbers unprofitable SPAC shorts by almost 2-1. But the average gain for the profitable trades was +2.68% versus -26.60% for the unprofitable trades. As can be seen in the charts below, the total return for the unprofitable trades was skewed by the -$140 million mark-to-market loss in DWAC.

SPACs: Mark-to-Market Profit and Loss (01.20.22)

SPAC 30 Day MTM P\L

Ticker

Avg Short Interest

30D MTM

P\L $

30D MTM

P\L %

GORES METROPOULOS II INC

GMII

$11,426,241

$1,489,774

13.04%

POWER DIGITAL INFRASTRUCTURE ACQ CORP

XPDI

$18,697,432

$990,317

5.30%

TREBIA ACQ CORP

TREB

$4,851,843

$793,008

16.34%

ADTHEORENT HOLDINGS CO INC

ADTH

$981,766

$562,106

57.25%

CONCORD ACQ CORP

CND

$14,668,012

$546,393

3.73%

SUPERNOVA PARTNERS ACQ CO II

SNII

$11,257,619

$342,389

3.04%

EAST STONE ACQ CORP

ESSC

$5,159,386

$310,936

6.03%

SOCIAL CAPITAL HEDOSOPHIA HLDGS CORP VI

IPOF

$16,506,932

$260,578

1.58%

FAR PEAK ACQ CORP

FPAC

$23,665,917

$234,273

0.99%

BAKKT HOLDINGS INC WARRANT

BKKT/WS

$263,852

$222,277

84.24%

SPAC 30 Day MTM P\L

Ticker

Avg Short Interest

30D MTM

P\L $

30D MTM

P\L %

DIGITAL WORLD ACQ CORP

DWAC

$209,860,878

($140,415,844)

-66.91%

DIGITAL WORLD ACQ CORP WARRANT

DWACW

$1,136,991

($1,358,090)

-119.45%

DIGITAL WORLD ACQ CORP

DWACU

$1,667,831

($1,073,090)

-64.34%

PERSHING SQUARE TONTINE HLDGS

PSTH

$31,987,554

($348,331)

-1.09%

GORES GUGGENHEIM INC

GGPI

$66,755,026

($200,224)

-0.30%

CF ACQ CORP VI

CFVI

$4,043,560

($187,362)

-4.63%

GREENROSE ACQUISITION CORP

GNRS

$466,182

($94,263)

-20.22%

CITIC CAPITAL ACQ CORP

CCAC

$15,632,269

($82,666)

-0.53%

GENESIS GROWTH TECH ACQ CORP

GGAAU

$6,959,023

($67,444)

-0.97%

OMNICHANNEL ACQ CORP

OCA

$10,099,673

($62,097)

-0.61%

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 risen +30% over the last thirty days to 28.72% 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 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 Borrowing Costs (as of 01.20.22)

SPAC Short Interest

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

DIGITAL WORLD ACQ CORP

DWAC

12.98%

11.49%

76.57%

$323,728,355

DIGITAL WORLD ACQ CORP

DWACU

0.09%

48.82%

$2,709,659

DIGITAL WORLD ACQ CORP WARRANT

DWACW

0.00%

33.07%

$2,565,642

VAHANNA TECH EDGE ACQ I CORP

VHNAU

2.00%

1.96%

13.32%

$4,026,504

TLGY ACQ CORP

TLGYU

1.36%

1.34%

13.32%

$3,141,276

FINTECH ACQ CORP V

FTCV

13.05%

11.55%

11.07%

$31,943,756

ARTISAN ACQ CORP

ARTA

0.45%

0.44%

10.57%

$1,133,028

GORES METROPOULOS II INC

GMII

2.77%

2.69%

10.32%

$10,194,056

MERIDA MERGER CORP I

MCMJ

5.89%

5.56%

9.57%

$6,819,853

ARYA SCIENCES ACQ CORP IV

ARYD

6.87%

6.43%

9.32%

$9,629,458

TPG PACE BENEFICIAL FINANCE CORP

TPGY

2.43%

2.37%

9.07%

$8,356,729

EAST STONE ACQ CORP

ESSC

14.70%

12.82%

8.57%

$5,452,263

NOVUS CAPITAL CORP II

NXU

1.79%

1.76%

6.32%

$5,059,587

MEDTECH ACQ CORP

MTAC

1.57%

1.54%

6.07%

$3,882,909

MUDRICK CAPITAL ACQ CORP II

MUDS

1.17%

1.15%

5.82%

$3,675,003

QUEENS GAMBIT GROWTH CAPITAL

GMBT

0.43%

5.82%

$1,477,328

NORTH MOUNTAIN MERGER CORP

NMMC

2.97%

2.88%

5.57%

$3,868,541

BURGUNDY TECHNOLOGY ACQ CORP

BTAQ

0.52%

5.57%

$1,807,917

CONCORD ACQ CORP

CND

5.04%

4.80%

5.07%

$14,090,237

VELOCITY ACQ CORP

VELO

1.49%

1.47%

5.07%

$3,321,265

Total SPAC Sector

6.62%

5.97%

28.52%

$957,391,294

With 95% utilization levels in DWAC, DWACU and DWACW there will not be much new short selling in this high cost-to-borrow SPAC and rates should continue to climb if short demand continues to increase.

Short Selling and SPACs: What's in Store for 2022?

A View of Short Interest Among SPACs (as of 01.20.22)

SPACs with Higher 30 Day Change in Shares Shorted (as of 01.20.22)

SPACs with Higher 30 Day Change in Shares Shorted (as of 01.20.22)

SPACs: Mark-to-Market Profit and Loss (01.20.22)

SPAC Borrowing Costs (as of 01.20.22)

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