Market Data
Three Signals. One Source of Truth.
Volatility, Velocity, and Short Interest — three proprietary signal families derived from the U.S. securities lending market. Validated across 8.8 million observations and six years of data. Delivered every trading day before the open.
Live Market Snapshot
All U.S. Equities Volatility — 60 Trading Days
Market-capitalization-weighted securities lending rate volatility across the full U.S. equity universe. Updated daily from Tidal’s underlying transaction data.
Hover the chart to view daily values. This is one of three signal families Tidal produces.
Signal Architecture
From Transaction Data to Daily Signal
1.2 million daily lending transactions are aggregated across 100+ reporting entities, then processed into three signal families measuring distinct dimensions of borrowing pressure.
Signal 01
Volatility
Measures dispersion in securities lending rates at the security level. High Volatility identifies unstable borrow conditions — a precursor to elevated drawdown risk and forward return underperformance.
Signal 02
Velocity
Measures the rate-of-change in lending market activity for each security. Velocity captures acceleration in borrowing pressure that Volatility alone cannot — a complementary, force-multiplier signal.
Signal 03
Short Interest
Direct measure of institutional shorting pressure derived from lending activity — the strongest single-signal predictor of large drawdowns in Tidal's research. The signal works across every institutional cap tier, with the strongest effect in Mega cap.
The Research Behind the Signals
Every signal in Tidal's program has been pre-specified, statistically tested, and validated across regimes.
The Three Together
Each signal is independent. Together, they compound.
Volatility, Velocity, and Short Interest measure three structurally distinct dimensions of lending market pressure. Volatility captures rate dispersion. Velocity captures the rate-of-change. Short Interest captures the directional pressure of institutional shorts.
In Tidal's research, Volatility and Short Interest are nearly orthogonal (Spearman r = -0.17). Volatility and Velocity move together moderately (r = 0.43) but capture different temporal slices of borrowing stress. The result: securities ranking high on all three signals (the "triple-high" cohort) underperform the broader universe by 5–7x what any single signal predicts.
This compounding behavior strengthens post-2022, in the rate environment institutional investors are navigating today. The signals are most powerful as a system.
Request the full research documentation.
Methodology, evidence tables, and event studies for each signal family — shared with prospective clients during evaluation.
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