jaxstraw I think the "riskless principal" transaction that the market makers utilize can go both ways. Whether the customer's order is to buy or sell there will always be a short sale component of the riskless principal trade. So honestly, I don't think you can infer much information at all from the daily RegSHO numbers. Although, I would argue that a high % of short sales vs total sales would be indicative of a very thin market assuming that the short sales are riskless principal transactions and not pure short sales. In our case here I really can't fathom a true short sale occurring but I suppose it's possible.
A302.1: For purposes of OTC transaction reporting requirements applicable to equity securities, a "riskless principal" transaction is a transaction in which a member, after having received an order to buy (sell) a security, purchases (sells) the security as principal and satisfies the original order by selling (buying) as principal at the same price (the offsetting "riskless" leg). Generally, a riskless principal transaction involves two orders, the execution of one being dependent upon the receipt or execution of the other; hence, there is no "risk" in the interdependent transactions when completed. See NTM 99-65 (August 1999).
