Cboe Global Markets

Borrow Intensity IndicatorsTM

Find out more about the top Borrow Intensity Major Movers.

Download Product Overview

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.

Features

  • 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:

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

Check out Quantpedia’s newest research paper, Synthetic Lending Rates Predict Subsequent Market Return, with analysis using Cboe Borrow Intensity based synthetic lending rates. Quantpedia finds evidence of valuable information in the Borrow Intensity data, with predictive value on subsequent market returns in the modeled case. Click here to read the independently published whitepaper today.

Major Movers

The Major Movers Top 50 is a limited daily view based upon data from the real-time Borrow Intensity Indicators. Click here to view.

For methodology, file specifications or a sample visit DataShop today.

The information in this webpage is provided for general education and information purposes only. No statement(s) within this webpage should be construed as a recommendation to buy or sell a security or futures contract, as applicable or to provide investment advice. Supporting documentation for any claims, comparisons, statistics or other technical data in this webpage is available by contacting Cboe Global Markets at www.cboe.com/Contact.

Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of “Characteristics and Risks of Standardized Options.” Copies are available from your broker or from The Options Clearing Corporation at 125 South Franklin Street, Suite 1200, Chicago, IL 60606 or at www.theocc.com.