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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
CFE OHLC data is an end of day summary file that contains the volume traded, open interest, open, high, low and last sale price along with last bid and last ask of each VIX futures contract obtained from the Cboe Futures Exchange (CFE). The historical data is available by month back to April 2004.
CFE VIX Tick data includes trades and quotes of all VIX futures contracts (VX) from the Cboe Futures Exchange (CFE). The historical data is available back to April 2004. Timestamps prior to and including February 23, 2018 are stated in U.S. Central (CST) and in Greenwich Mean Time (GMT) afterwards.

* VIX TAS data is not included

Historical end of day quotes and trade summary for S&P 500 (SP) and e-mini futures (ES) from the Chicago Mercantile Exchange.
Historical S&P 500 (SP) and e-mini futures (ES) trades from the Chicago Mercantile Exchange.
Timestamped audit trail including analyst days dates and times.
10/2008 – present