Although not absolute proof a stock being on Regsho threshold list failures to deliver day after day from sellers not delivering shares happens from naked shorting.
That's true. And HMNY is indeed on the threshold list. As you say, though, it isn't entirely clear why. Fails can be long as well as short. And any exchange-listed stock's threshold is determined on the basis of its shares issued and outstanding. If the o/s has increased considerably since it was last reported--which was on 31 July--the threshold now may be too low.
And so we await more information. Which is, after all, important for price discovery.
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