• 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;…

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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…

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