Borrow Intensity Indicator™

The Hanweck Borrow Intensity Indicator™ mines data from the equity options market to derive stock borrow rates and term curves in real-time, available throughout the trading day. 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.

  • Real-time transparency into securities lending rates
  • Rapid signals on rising shorts and squeezes
  • Unique insight into multiple financing rates across time
  • Valuable data for risk estimation and factor models, portfolio construction,
    and smart beta approaches.

Please visit our blog to see the Borrow Intensity Indicator in action:

Or read a more detailed overview in the latest issue of Securities Finance Monitor:

Actionable Insights For:

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

 

Download the Product Overview

Borrow Intensity Indicator