Borrow Intensity Indicators™

Hanweck Borrow Intensity Indicators™ apply machine learning to mine equity options market data at the millisecond level to generate stock borrow rates and term curves in real time. Predictive analytic screens automatically alert users to rising or easing borrow conditions, and detect major movers intraday.

Indicators are constructed from weighted observations across the entire volatility term, providing a novel constant-maturity view across time that can serve as a powerful tool for observing intraday departures from historical patterns.

The dynamic term structure of securities borrow rates provides insight into the intensity and expected duration of stock loan hard-to-borrow conditions in the overnight market.

  • Real-time transparency across the term structure of securities lending rates
  • Rapid signals on rising shorts and squeezes
  • Unique insight into multiple financing rates in 20 minute intervals
  • Valuable data for equity trading strategies and securities lending

Actionable Insights For:

  • Securities Financing Desks
  • Custodian Banks
  • Hedge Funds
  • Asset Managers 

 

Download the Product Overview

Borrow Intensity Indicator