We follow 1,785 SPAC securities (equities and warrants) that have short interest. Total short interest in the SPAC sector has been declining since late 2021 and Digital World Acquisition Corp (DWAC) continues to be the only SPAC with over $50 million of short interest. Total SPAC short interest is now $506 million, an increase of $10 million over the past thirty days. Average Short Interest % of Float is 2.70% and S3 SI % Float (which includes synthetic longs created by every short sale in the Float number) is 2.49%, while the average stock borrow fee is 6.48%. As a comparison, U.S. equities have an average SI % Float of 4.69%, S3 SI % Float of 4.24% and average stock borrow fee of 0.64%.

SPAC Short Interest (as of 11.07.22)

SPAC

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

DIGITAL WORLD ACQ CORP

DWAC

12.79%

11.34%

45.82%

$60,335,610

FREEDOM ACQ I CORP

FACT

4.73%

4.52%

0.30%

$16,262,310

KKR ACQ HOLDINGS I CORP

KAHC

1.09%

1.08%

0.94%

$15,017,575

FORTRESS VALUE ACQ CORP IV

FVIV

1.67%

1.64%

0.30%

$10,829,776

CONX CORP

CONX

1.40%

1.38%

1.44%

$10,249,662

SVF INVESTMENT CORP

SVFA

2.15%

2.10%

0.30%

$10,028,826

KKR ACQ HOLDINGS I CORP

KAHC/U

0.72%

0.71%

0.30%

$9,888,008

JAWS MUSTANG ACQ CORP

JWSM

0.78%

0.30%

$8,060,553

TCW SPECIAL PURPOSE ACQ CORP

TSPQ

1.69%

1.66%

0.30%

$7,681,247

CONCORD ACQ CORP

CND

2.65%

2.58%

2.57%

$7,610,345

VECTOIQ ACQ CORP II

VTIQ

2.22%

2.18%

0.30%

$7,174,617

BROADSCALE ACQ CORP

SCLE

2.02%

1.98%

0.30%

$6,980,940

COMPUTE HEALTH ACQ CORP

CPUH

0.86%

0.85%

0.69%

$6,792,656

PONTEM CORP

PNTM

0.98%

0.97%

0.30%

$6,766,199

ARES ACQ CORP

AAC

0.68%

0.30%

$6,763,409

ACCELERATE ACQ CORP

AAQC

1.61%

1.59%

0.30%

$6,418,327

FIGURE ACQ CORP I

FACA

2.18%

2.13%

0.30%

$6,187,640

GORES HOLDINGS VII INC

GSEV

1.13%

1.12%

0.30%

$6,150,261

AURORA ACQ CORP

AURC

2.49%

2.43%

0.30%

$6,003,253

DRAGONEER GROWTH OPPORTUNITIES CORP III

DGNU

1.26%

1.24%

0.30%

$5,283,224

Total SPAC Short Interest

2.70%

2.49%

6.48%

$505,583,516

Total short interest in the SPAC sector has increased from $496 million to $506 million over the past 30 days. This $10 million increase consisted of a $1 million decrease in market value due to stock price moves and $11 million of new short selling.

There was only one SPAC with over $10 million on new short selling over the last thirty days.

SPACs: Largest Shares Shorted

SPAC

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

30D Change Shares Shorted

FREEDOM ACQ I CORP

FACT

4.73%

4.52%

0.30%

$16,262,310

$10,725,418

MALACCA STRAITS ACQ CO

MLAC

7.73%

7.18%

1.44%

$3,700,263

$3,427,641

ALTITUDE ACQ CORP

ALTU

6.42%

6.03%

11.07%

$3,174,142

$2,534,312

PONTEM CORP

PNTM

0.98%

0.97%

0.30%

$6,766,199

$2,120,851

ORION ACQUISITION CORP

OHPA

0.48%

0.30%

$1,990,611

$1,895,380

M3BRIGADE ACQ II CORP

MBAC

0.51%

0.50%

0.30%

$1,956,797

$1,871,351

VECTOIQ ACQ CORP II

VTIQ

2.22%

2.18%

0.30%

$7,174,617

$1,837,358

INDEPENDENCE HLDGS CORP

ACQRU

3.57%

3.45%

0.30%

$2,527,855

$1,651,774

PATHFINDER ACQ CORP

PFDR

1.44%

1.42%

0.30%

$4,419,043

$1,579,958

SUPERNOVA PARTNERS ACQ CO III

STRE/U

0.77%

0.30%

$2,146,997

$1,547,269

And SPAC short covering was also muted over the past thirty days, with no SPACs with more than $5 million of buy-to-covers.

SPACs with the Largest Short Covering

SPAC

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

30D Change Shares Shorted

CF ACQ CORP VIII

CFFE

0.01%

26.07%

$21,962

($3,869,577)

DRAGONEER GROWTH OPPORTUNITIES CORP III

DGNU

1.26%

1.24%

0.30%

$5,283,224

($2,877,788)

AURORA ACQ CORP

AURC

2.49%

2.43%

0.30%

$6,003,253

($2,682,736)

CRUCIBLE ACQ CORP

CRU

1.71%

1.68%

0.30%

$4,427,971

($2,174,071)

TLG ACQ ONE CORP

TLGA

0.69%

0.68%

1.07%

$2,740,031

($2,159,893)

ONE EQUITY PARTNERS OPEN WATER I CORP

OEPW

1.04%

1.03%

0.30%

$3,561,000

($2,024,432)

CONX CORP

CONX

1.40%

1.38%

1.44%

$10,249,662

($1,818,792)

BROADSCALE ACQ CORP

SCLE

2.02%

1.98%

0.30%

$6,980,940

($1,560,589)

ACCELERATE ACQ CORP

AAQC

1.61%

1.59%

0.30%

$6,418,327

($1,390,731)

IG ACQ CORP

IGAC

0.06%

0.30%

$177,167

($1,326,924)

SPAC SI % Float increased by +0.06% (2.64% to 2.70%) and S3 SI % Float increased by +0.05% (2.45% to 2.49%) over the last thirty days. Digital World Acq Corp (DWAC) is the only SPACs with SI & S3 % Float over 10%.

SPACs: Traditional Short Interest vs. S3 Short Interest

SPAC

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

DIGITAL WORLD ACQ CORP

DWAC

12.79%

11.34%

45.82%

$60,335,610

MALACCA STRAITS ACQ CO

MLAC

7.73%

7.18%

1.44%

$3,700,263

EAST STONE ACQ CORP

ESSC

6.81%

6.38%

4.82%

$1,996,356

ALTITUDE ACQ CORP

ALTU

6.42%

6.03%

11.07%

$3,174,142

FREEDOM ACQ I CORP

FACT

4.73%

4.52%

0.30%

$16,262,310

HEALTH SCIENCES ACQ CORP 2

HSAQ

4.14%

3.98%

2.82%

$2,577,994

INDEPENDENCE HLDGS CORP

ACQRU

3.57%

3.45%

0.30%

$2,527,855

ARYA SCIENCES ACQ CORP IV

ARYD

3.52%

3.40%

6.32%

$5,002,245

PANACEA ACQ CORP II

PANA

3.05%

2.96%

1.19%

$4,891,635

CONCORD ACQ CORP

CND

2.65%

2.58%

2.57%

$7,610,345

AURORA ACQ CORP

AURC

2.49%

2.43%

0.30%

$6,003,253

VECTOIQ ACQ CORP II

VTIQ

2.22%

2.18%

0.30%

$7,174,617

FIGURE ACQ CORP I

FACA

2.18%

2.13%

0.30%

$6,187,640

SVF INVESTMENT CORP

SVFA

2.15%

2.10%

0.30%

$10,028,826

BROADSCALE ACQ CORP

SCLE

2.02%

1.98%

0.30%

$6,980,940

QUANTUM FINTECH ACQ CORP

QFTA

1.87%

1.84%

5.32%

$3,972,238

CRUCIBLE ACQ CORP

CRU

1.71%

1.68%

0.30%

$4,427,971

TCW SPECIAL PURPOSE ACQ CORP

TSPQ

1.69%

1.66%

0.30%

$7,681,247

FORTRESS VALUE ACQ CORP IV

FVIV

1.67%

1.64%

0.30%

$10,829,776

BRIGHT LIGHTS ACQ CORP

BLTS

1.67%

1.64%

0.30%

$3,851,197

Total SPAC Short Interest

2.70%

2.49%

6.48%

$505,583,516

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 +0.43% fee over the last thirty days to 6.46% fee. The largest change in stock borrow fees was in the Digital World Acq. Corp (DWAC) which increased from 41.32% fee to 45.82% fee.

Shorting SPACs has a peculiar issue than 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 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 Borrow Fees

SPAC

Ticker

SI % Float

S3 SI % Float

Fee

Short Interest

DIGITAL WORLD ACQ CORP

DWAC

12.79%

11.34%

45.82%

$60,335,610

ALTITUDE ACQ CORP

ALTU

6.42%

6.03%

11.07%

$3,174,142

OCA ACQ CORP

OCAX

0.68%

0.67%

8.57%

$1,026,003

ARYA SCIENCES ACQ CORP IV

ARYD

3.52%

3.40%

6.32%

$5,002,245

QUANTUM FINTECH ACQ CORP

QFTA

1.87%

1.84%

5.32%

$3,972,238

EAST STONE ACQ CORP

ESSC

6.81%

6.38%

4.82%

$1,996,356

KAIROS ACQ CORP

KAIR

0.53%

0.52%

4.82%

$1,351,808

BRIDGETOWN HLDGS LTD

BTWN

0.63%

4.57%

$3,715,853

GLOBAL STAR ACQ INC

GLSTU

1.36%

1.34%

3.57%

$1,159,704

HEALTH SCIENCES ACQ CORP 2

HSAQ

4.14%

3.98%

2.82%

$2,577,994

CONCORD ACQ CORP

CND

2.65%

2.58%

2.57%

$7,610,345

CHURCHILL CAPITAL CORP VII

CVII

0.18%

2.32%

$2,508,831

VICKERS VANTAGE CORP I

VCKA

1.22%

1.20%

2.07%

$1,571,228

CONX CORP

CONX

1.40%

1.38%

1.44%

$10,249,662

MALACCA STRAITS ACQ CO

MLAC

7.73%

7.18%

1.44%

$3,700,263

HEALTHCARE SERVICES ACQ CORP

HCAR

0.32%

1.44%

$1,046,423

SCION TECH GROWTH I

SCOA

0.87%

0.86%

1.32%

$4,956,894

LEAD EDGE GROWTH OPPORTUNIES LTD

LEGA

0.37%

1.32%

$1,170,572

PANACEA ACQ CORP II

PANA

3.05%

2.96%

1.19%

$4,891,635

SIMON PROPERTY GRP ACQ HLDGS INC

SPGS

1.36%

1.35%

1.19%

$4,640,815

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 are no SPACs which are in the Crowded range at the moment but may become Crowded if short selling in these names increases. Digital World Acq Corp (DWAC) has the highest Crowded score at 55.00/100.00.

Most Crowded SPACs

SPACs

Ticker

Short Interest

Crowded Score

DIGITAL WORLD ACQ CORP

DWAC

$60,335,610

55.00

SPAC short sellers were down $3.98 million, -0.72%, in net-of-financing mark-to-market losses in October-November. There are no outsized winners or losers in this sector, with only two stocks with over +$100k of profits and six stocks with over -$100k of losses in October-November.

Most Profitable SPAC shorts in October-November

SPAC

Ticker

Avg Fee

Avg Short Interest

Oct\Nov MTM P\L

P\L %

EAST STONE ACQ CORP

ESSC

4.93%

$2,604,671

$594,528

22.83%

BGP ACQ CORP

BGPPF

0.70%

$391,289

$253,895

64.89%

Least Profitable SPAC shorts in October-November

SPAC

Ticker

Avg Fee

Avg Short Interest

Oct\Nov MTM P\L

P\L %

DIGITAL WORLD ACQ CORP

DWAC

40.31%

$61,968,989

($656,703)

-1.06%

FORTRESS VALUE ACQ CORP IV

FVIV

0.34%

$12,986,218

($243,097)

-1.87%

KKR ACQ HOLDINGS I CORP

KAHC

0.80%

$13,659,112

($231,329)

-1.69%

KKR ACQ HOLDINGS I CORP

KAHC/U

0.30%

$9,933,430

($167,298)

-1.68%

BROADSCALE ACQ CORP

SCLE

1.14%

$7,981,359

($130,711)

-1.64%

FREEDOM ACQ I CORP

FACT

0.46%

$14,254,411

($107,903)

-0.76%

SPAC Short Selling Recap

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