From the 1/22 bottom through yesterday, the average stock in the S&P 500 was up 8.96%. We broke the index into deciles (50 stocks in each decile) based on each stock's short interest as a percentage of float and then calculated the average percent change of each decile from 1/22 to 2/4. As shown below, the decile of stocks with the highest short interest was up a whopping 17.1% from the bottom, while the decile of stocks with the lowest short interest was only up 5.3%. This analysis clearly highlights that the most recent gains have come from large amounts of short covering.
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