×
Borrow Intensity Indicators
  • Options
  • Indices
  • equities
  • etfs

Cboe Hanweck Borrow Intensity Indicators describe constant maturity synthetic lending rates derived from real-time option analytics.

Borrow Intensity Indicators are a proprietary calculation based upon implied borrow, enhanced with machine learning using characteristics including relative liquidity and term in order to create constant maturities of 45, 60, 90, 180, and 360 days.

Borrow Intensity Indicators may enhance:

  • Equity trading strategies
    • Higher frequency and timeliness than equity risk model short interest factors
  • Securities lending price discovery
    • Informs on levels and trends in overnight stock-borrow loan rates, highlighting rising shorts or other conditions in the collateral market such as persistent mildly hard-to-borrow securities

Borrow Intensity Indicator Attributes:

  • Includes:
    • Securities underlying US listed options (approximately 4,000 symbols)
    • Raw and smoothed form
    • Confidence measures supporting interpretation for every observation
  • Availability:
    • Current: 20 minute intervals, intraday
    • Historical: Back to Sept 2014
  • Granularity:
    • Milliseconds
  • Format:
    • CSV Files
  • Delivery Method:
    • SFTP


For the file specifications, please click here
For the methodology overview, please click here

Note that all fields are provided for Borrow Intensity constant maturities of 45, 60, 90, 180, 270, and 360 days:

  • Indicator raw
  • Indicator raw confidence
  • Indicator smooth
  • Indicator smooth confidence
  • Mapped smooth confidence

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.

Purchase this Product

*

Warning: Data is unavailable for either specific dates or symbols from your selection. Show excluded symbols and dates here.
Subtotal: $0.00
Contact Us
For technical support or to discuss how DataShop can help your business:
OR
Phone
+1 800 307-8979 U.S.
+1 312 786-7400 Global

Your message was successfully sent.

Thank you for your inquiry. We will respond to your request shortly.

Please use the form below to get in touch with us. Select the appropriate category for your message to contact the right department.

*Required fields

We're sorry, an error occurred.