Research

Security Sector Analysis

This research report examines securities lending volatility on a per security basis, based upon the sector which the security is classified within. Similar to our other research report titled, “Securities Lending Volatility: Research and Results” dated January 2022, we construct…

Exploiting A New Volatility Indicator

This research report examines a new type of volatility indicator derived from the securities lending market. The securities lending volatility indicator measures the variation of rates charged to borrow securities; average weighted by the outstanding shares being transacted. After this…