Hanweck, a leading provider of real-time risk analytics on global derivatives markets, has enhanced its Borrow Intensity Indicators™ with the addition of five years of historical data and new real-time liquidity metrics. Launched earlier this year, the Borrow Intensity Indicators apply machine learning to mine data from the equity options market to generate stock borrow rates and term curves in real time. Indicator data is available for all securities that have listed options.
Borrow Intensity Indicators now include up to five years of historical data for backtesting. Firms that are considering deployment of the Borrow Intensity Indicators will have access to the full data history for trial purposes, including both raw and signal-processed data.
The Borrow Intensity Indicator data now also can be delivered with real-time liquidity metrics that enable users to assess the quality of the underlying options markets at the time the indicators were derived. Weighted aggregate size and spread measures are generated based upon the options markets most closely related to each Borrow Intensity Indicator maturity. These new metrics along with the current Confidence Index, measuring underlying market quality on a scale from 0 to 100, provide insight into the liquidity of the markets driving the analytics.
Robert Levy, Head of Business Development, said, “Since launching the Borrow Intensity Indicators earlier this year, we have received substantial interest from firms interested in using this data as an input for their equity trading strategies. Backtesting is a critical part of this process, and offering five years of Indicator history will be important in developing these types of alpha generating strategies.”
Hanweck Borrow Intensity Indicators rely upon proprietary calculations that transform real-time implied borrow data into time-series with constant maturity characteristics. They are updated at 20 minute intervals throughout the trading day, providing maximum transparency into the typically opaque securities lending market.
For more information about Hanweck’s Borrow Intensity Indicators, please click here.