XLF Bears Return: Short Interest and Borrow Costs Surge

Why this matters: Six days ago, XLF bears were in full retreat. Availability had exploded past 1,000% and the borrow squeeze of August seemed finished. That narrative has reversed. Hard.

The Reversal in Numbers

Availability has collapsed from over 1,000% last week to 144% today. That is an 82% tightening in seven days. It is the fastest move back toward stress conditions since the August squeeze built.

Cost to borrow has jumped 121% on the week to 0.85%. That is still low in absolute terms. But the direction and speed matter. A week ago CTB was drifting near 0.29%. It has tripled since.

Short interest is now 13.9% of the free float. That is up 9.1% in a single week and 25% over the past month. The September 16 article described 12.2% as elevated. The bears have added to that position.

Options Market Confirms the Shift

The put/call ratio sits at 1.47 — still elevated in absolute terms, but the more important signal is the z-score of -2.69. That means the PCR has dropped sharply relative to its 20-day mean of 1.57. Fewer puts are being bought relative to calls. Options traders are not piling into new bearish protection at these levels, even as short sellers are.

The 52-week PCR range runs from 0.88 to 1.98. At 1.47, there is still significant put interest. But the direction of the move is notable.

Corroborating Context

The ORTEX short score stood at 63.8 as of September 18. That is up sharply from 51.9 on September 16 — a 12-point jump in two days. The score had been trending down from above 66 in early September before the bears retreated. Now it is climbing again.

JPMorgan Chase, the largest disclosed holder with 12.5% of shares, trimmed 20.7 million shares as of June 30. Bank of America cut 5.4 million shares over the same period. Major holders in the fund were already reducing exposure heading into this volatility window.

The fund is down 2.7% over the past month and 2.0% on the week, closing at $55.90 on September 21.

Data Summary

• Short interest: 13.9% of free float, +9.1% week-on-week, +25.1% month-on-month
• Availability: 144% — tight, down from 1,000%+ last week; 52-week low is 47%
• Cost to borrow: 0.85%, up 121% on the week
• Put/call ratio: 1.47, z-score -2.69 vs. 20-day mean
• Short score: 63.8 (up from 51.9 on September 16)
• Price: $55.90, -2.7% over 30 days

Watch: Whether availability continues tightening toward the 52-week floor of 47%. That level, reached in late August, marked the peak of the prior borrow squeeze.