JPM Sees ‘Implicit Short Vol Trade’ In Record-Low ETF Short Interest

Short interest on the two predominate ETFs tracking the most important US equity indices has never been lower. In fact, it continues to make new lows, likely lending support to the benchmarks and enabling a succession of record highs, which in turn squeezes out more shorts in a self-fulfilling prophecy. The figure below, from JPMorgan, shows the trend. The inexorable trend. "Short interest has been declining in a rather steady manner since the second quarter of 2023," the bank's Nikolaos Pa