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Historical Data

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 (Subscription)
    • Historical: Back to 2010
  • Granularity:
    • Milliseconds
  • Format:
    • CSV Files
  • Delivery Method:
    • SFTP

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

If you would like subscribe to ongoing updates of this data-set, please order the Subscription product here: Borrow Intensity Indicators - Subscription
VIX index (spot) values are the intraday values of the index only. This data is available starting from January, 1992. The frequency of the VIX index values is every minute for data prior to 2004 and every 15 seconds, including milliseconds, from 2004 and after.