A monopolist data intermediary strategically collects and sells consumer information to competing firms in a product market for price discrimination purposes. He charges a price of information and chooses the optimal information partition that maximizes the willingness to pay for information of firms. Different selling mechanisms are compared: take it or leave it offers, sequential bargaining, and auctions. The intermediary always prefers to sell information through auctions, whereas consumer surplus is maximized with sequential bargaining and take it or leave it offers. We discuss regulatory tools to reconcile the interests of the data intermediary and of regulators over which selling mechanism to use.