Sky Bet suspend betting on Radamel Falcao's next club after seeing him backed at as short as 1/3 to join Real Madrid.
Morgan Schneiderlin has appealed to Southampton fans after a thwarted attempt to leave St Mary's.
The Pilgrims are currently in the relegation zone, announced the news on their official website.
They have been without a boss since they sacked Carl Fletcher on New Year's Day.
Sheridan has previously been in charge at Oldham and Chesterfield but has been out of work since the latter relieved him of his duties back in August.