The SEC's FTD data set has been updated to include the second half of March. A few interesting slices of the new dataset as well as the beginning of March dataset are below. GME and IJR aren't present in the list of highest "carried" volume of FTDs this time, probably due to the deep ITM calls and other shenanigans HFs appear to be using to reset the FTD count.
I plan on making these posts every time there's a new FTD data dump so that we can spot anomalies in the FTD trends for GME.
My previous FTD posts:
(I didn't post for the first half of March so I'm including that below as well.)
If you'd like to see something else or spot an error please feel free to make a suggestion on the script that generates this report.
An important note from the SEC's website about the dataset:
Fails to deliver on a given day are a cumulative number of all fails outstanding until that day, plus new fails that occur that day, less fails that settle that day. The figure is not a daily amount of fails, but a combined figure that includes both new fails on the reporting day as well as existing fails.
This is an incredibly stupid way to report this number, almost suspiciously obtuse... (Unless I'm missing something, someone please help me out here...)
The upshot is that we can't just sum up the "Failed value" column to get a total FTD count since we might be double-counting fails that remain outstanding for a few days.
So all we can do is assume that there will be a similar ratio of these multi-day FTD carries across different symbols, then we can compare them to get a sense for relative FTD volume. If the similar ratio assumption turns out to be wrong then analysis on this dataset is pointless, unless I'm missing something...
SYMBOL | QUANTITY (FAILS) | PRICE | FAILED VALUE |
---|---|---|---|
QQQ | 17,539,229 | 3,119 | 5,453,300,281 |
IEMG | 27,877,784 | 585 | 1,811,350,491 |
SPY | 4,284,327 | 3,850 | 1,657,807,761 |
SNOW | 5,421,712 | 1,938 | 1,209,116,967 |
ASZU | 85,017,239 | 41 | 871,413,691 |
DASH | 5,445,366 | 1,504 | 769,742,304 |
VOO | 2,111,140 | 2,842 | 758,941,181 |
RBLX | 10,203,610 | 74 | 754,046,779 |
HYG | 7,206,700 | 779 | 622,841,457 |
MCHI | 6,703,735 | 858 | 572,723,679 |
APPH | 18,515,329 | 236 | 375,210,971 |
JNK | 3,396,685 | 973 | 367,582,512 |
XHB | 5,782,826 | 636 | 360,137,875 |
IGV | 1,025,018 | 3,099 | 352,910,090 |
TSLA | 526,887 | 6,557 | 348,458,428 |
BBIN | 6,061,636 | 570 | 344,632,135 |
LQD | 2,452,151 | 1,175 | 318,433,878 |
BHP | 4,093,265 | 767 | 314,113,790 |
ARKK | 2,400,905 | 1,243 | 310,302,805 |
NCLH | 10,183,588 | 304 | 301,365,189 |
FAILED VALUE
count 11,975
mean 4,175,218
std 60,253,958
min 0
25% 14,641
50% 108,782
75% 785,846
max 5,453,300,281
SETTLEMENT DATE SYMBOL QUANTITY (FAILS) PRICE FAILED VALUE
20210301 GME 82,708 102 8,414,712
20210302 GME 26,373 120 3,175,309
20210303 GME 15,394 118 1,819,263
20210304 GME 20,176 124 2,505,456
20210305 GME 33,363 132 4,415,593
20210308 GME 1,907 138 262,670
20210309 GME 17,382 194 3,380,799
20210310 GME 22,839 247 5,638,949
20210311 GME 10,818 265 2,866,770
20210312 GME 155,658 260 40,471,080
SETTLEMENT DATE SYMBOL QUANTITY (FAILS) PRICE FAILED VALUE
20210301 IJR 123 105 12,926
20210302 IJR 296,623 108 32,136,136
20210303 IJR 428 106 45,565
20210304 IJR 217 107 23,137
20210305 IJR 10,649 105 1,114,631
20210308 IJR 17,957 107 1,922,297
20210309 IJR 1,209 109 131,902
20210310 IJR 1,090 110 120,085
20210311 IJR 1,367 112 153,719
SYMBOL | QUANTITY (FAILS) | PRICE | FAILED VALUE |
---|---|---|---|
SPY | 14,661,585 | 4,723 | 5,784,404,934 |
QQQ | 10,794,598 | 4,107 | 3,409,889,088 |
EEM | 22,826,662 | 694 | 1,219,908,252 |
ARKK | 5,694,276 | 1,567 | 649,107,869 |
IWM | 2,819,288 | 2,441 | 618,148,553 |
CHPT | 19,704,321 | 302 | 483,206,976 |
BNFT | 32,081,855 | 72 | 471,711,041 |
VTI | 1,808,012 | 2,677 | 371,432,050 |
INMD | 4,674,418 | 773 | 328,537,577 |
VOO | 882,120 | 2,535 | 319,178,767 |
DISCA | 6,370,030 | 711 | 310,384,026 |
XBI | 2,131,545 | 1,428 | 309,391,888 |
TLT | 2,208,491 | 1,367 | 301,886,024 |
HYG | 3,316,375 | 1,124 | 286,748,856 |
NEM | 4,558,562 | 494 | 277,738,518 |
SLG | 3,821,827 | 736 | 274,701,230 |
FUTU | 1,968,331 | 1,691 | 272,082,661 |
IEMG | 4,182,773 | 709 | 270,763,750 |
JNK | 2,407,754 | 1,295 | 259,784,910 |
VIAC | 3,080,197 | 902 | 259,686,367 |
FAILED VALUE
count 12,426
mean 4,513,376
std 64,143,120
min 0
25% 17,585
50% 133,243
75% 1,020,899
max 5,784,404,934
SETTLEMENT DATE SYMBOL QUANTITY (FAILS) PRICE FAILED VALUE
20210315 GME 46,344 264 12,257,988
20210316 GME 140,554 220 30,941,558
20210317 GME 47,597 208 9,908,267
20210318 GME 32,220 210 6,760,078
20210319 GME 637 202 128,515
20210322 GME 17,163 200 3,437,234
20210323 GME 83,058 194 16,153,950
20210324 GME 38,387 182 6,976,837
20210325 GME 20,295 120 2,442,300
20210326 GME 62,109 184 11,412,529
20210329 GME 86,859 181 15,721,479
20210330 GME 17,841 181 3,234,573
20210331 GME 14,031 194 2,728,468
SETTLEMENT DATE SYMBOL QUANTITY (FAILS) PRICE FAILED VALUE
20210315 IJR 215 115 24,727
20210316 IJR 362,514 115 41,612,982
20210324 IJR 54 106 5,724
20210325 IJR 100 104 10,415
20210326 IJR 7,712 107 822,793
20210329 IJR 162,532 109 17,763,122
20210330 IJR 218,376 107 23,276,698
20210331 IJR 106,230 108 11,486,650