This week, we are taking a broad look at the application of Hanweck’s new Borrow Intensity IndicatorTM. Companies highlighted below showed significant relative changes in their 45-day Borrow Intensity (BI), where we screen for moves that are statistically significant relative to their recent history of changes. This particular screening method is sensitive to even small changes if the name has shown recent stability in BI but has departed from that pattern either positively or negatively.
Chart 1: Hanweck Borrow Intensity 45-Day Term Relative Major Movers (as of 4.30.18)
Altisource Portfolio Solutions (ASPS) has been steadily trending to less hard-to-borrow (HTB) even prior to recent earnings in late April, and the previous week showed another move in that same direction, exhibiting short-squeeze behavior while the stock still remains moderately HTB across both short and long terms.
Chart 2: Altisource Portfolio Solutions (ASPS) - Borrow Intensity Snapshot
Vuzix Corp (VUZI) is extremely HTB with recent measures near -15%, but is showing easing towards reduced Borrow Intensity as we approach the earnings date. VUZI is a low priced stock (approx. $6.38 as of this writing), which can make the Borrow Intensity series less stable, but the recent trend is consistent with 45-day and 180-day values converging as the Borrow Intensity moves toward -15%.
Chart 3: Vuzix Corp (VUZI) - Borrow Intensity Snapshot
AMC Entertainment Holdings (AMC) has remained steadily hard-to-borrow, with a recent rising short condition evident as earnings approach. The 45-day series is showing greater momentum in the move towards -8%, but even the 180-day has been sticky near the -4% level, suggesting a long-term dislocation in the lending market for AMC.
Chart 4: AMC Entertainment Holdings (AMC) - Borrow Intensity Snapshot
Additional highlights of absolute large changes in the 180-day Borrow Intensity Series are shown below:
Chart 5: Hanweck Borrow Intensity 180-Day Term Absolute Major Movers (as of 4.30.18)
Some of these names such as Energous Corp (WATT) are widely recognized as significantly HTB. There are some names however, that are showing signs of becoming or returning to HTB conditions. Trupanion (TRUP) is shown below as a significant rising short, with 45 and 180 day Borrow Intensities moving below -2.5%.
Chart 6: Trupanion (TRUP) - Borrow Intensity Snapshot
** If you are attending this week's Options Industry Conference, look more for information on the Hanweck Borrow Intensity Indicator in your conference registration bag or speak to one of the Hanweck team in attendance at the conference - we'd love to chat.