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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 our securities lending volatility indicator based upon the variation of rates charged to borrow securities; average weighted by the outstanding shares being transacted. After this raw value is computed, we apply a proprietary formula to normalize the data, and then group the securities based on the sector they exist within. The underlying securities lending transactional dataset provided to Tidal Markets…
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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 raw value is aggregated, we apply a proprietary formula to normalize the data. The underlying securities lending transactional dataset provided to Tidal Markets contains over 16 billion shares of outstanding securities loans daily, spanning over 5,000 securities. Within this report we examine the securities lending volatility of US equities. We back test securities lending volatility to nearly 8 years of…
