Borrow Intensity IndicatorsTM
Cboe 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.
- Securities Financing Desks
- Custodian Banks
- Hedge Funds
- Asset Managers