As discussed here, I have resurrected a scan that focuses on companies that are heavily shorted. The purpose is to find stocks that could be in the midst of a potential short covering rally. More details about the methodology are listed below and more information on short interest is here.

Companies included in today's scan are: Ambac Financial Group (ABK), Midwest Banc (MBHI), MBIA Inc (MBI), Horizon Lines, Inc. (HRZ), FuelCell Energy (FCEL), CompuCredit (CCRT), Opnext, Inc. (OPXT), Century Aluminum (CENX), AirTran Holdings Inc (AAI), SunPower Corporation (SPWRA), AMR Corp. (AMR), Continental Airlines (CAL), Swift Energy (SFY), RF Micro Devices Inc (RFMD), Alaska Air Group (ALK), Anchor BanCorp Wisconsin (ABCW), Banner Corp. (BANR), South Financial Group (TSFG), American Railcar Industries, Inc. (ARII), Delta Air Lines (DAL), Consolidated Water Co. Ltd (CWCO), Stein Mart (SMRT), Presstek (PRST), JetBlue Airways Corp (JBLU), American Vanguard (AVD).

Methodology - the query scans my database of companies which has some basic filters to eliminate penny stocks and those that don't trade frequently. The table above lists stocks that have at least 10 percent of their float sold short and then shows the top gainers from the previous trading day. This can be a useful tool for finding situations where stocks with heavy short interest have begun to move.