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.
Please visit our blog to see the Borrow Intensity Indicators in action:
Or read a more detailed overview: