Use the Securities Lending Dashboard to analyze short sale metrics for these and other stocks.
Our data research platform, Orbisa, offers a unique lens into the lending market showcasing data which buy-side market participants can utilize to inform their broader trading strategies. Each of our laser-focused, curated data points deliver hard-working data points to enable traders to validate market research and make trading decisions.
With 7 years of securities lending data available, users can back test historical market movements to help build a forward-looking picture of the market to best position their portfolio.
Before we dive into the nuances of our selected Orbisa datapoints, let’s look at two important tools within the Orbisa dashboard which users rely on to plan their analysis.
WATCHLIST
Create your own watchlists to monitor your portfolios daily activity in the securities lending marketplace. Set custom alerts to be notified when a name is seeing increased or decreased demand from borrowers. View overall trends and market movements across your entire portfolio.
TOP MOVER
Utilize the Top Movers widget to track securities, seeing the greatest movement day on day, week on week or month on month across key securities lending metrics. Use this tool to see when a security (in or out of your portfolio) is potentially heating up due to increased demand or easing as borrows are returned.
ORBISA DATAPOINTS
Orbisa provides buy-side market participants with 37 datapoints designed to provide transparency into the securities lending market. Seven of the most popular datapoints are defined below:
UTILIZATION
The measure of demand (On Loan Quantity) over supply (Total Inventory Quantity). Utilization serves to indicate borrow demand of a given security relative to the supply available. Increasing utilization may indicate increased borrow interest and the potential for a security to become hard to borrow.
ON LOAN QUANTITY & ON LOAN VALUE
Two metrics that are key to understanding overall securities lending demand. On Loan Quantity (OLQ), a relatively straightforward baseline metric, details how many shares are on loan for a given security.
On Loan Value (OLV) references the total market value of the On Loan Quantity and is subject to change based upon overall market demand as well as price movements in the underlying security.
NET AVAILABILITY
Net Availability shows the shares still available to be lent and is a good indicator of supply; the lower the net availability, the more difficult it may be to source shares and may result in a security trading at a more expensive rate.
DAYS TO COVER
A key metric in understanding how long it would take to close out a short position. This figure compares the On Loan Quantity to the 30-day average trading volume in the open market. The higher Days to Cover the more difficult it may be to close out a short position without paying higher prices to buy the security back.
FEE MOMENTUM & FEE VOLATILITY
Fee Volatility provides a measure of the day-on-day change in the borrowing cost for a period of 1-week, 1-month and 3-months for new loans. Movement in Fee Volatility is not necessarily directional based on activity; higher volatility indicates greater variance in fees over the selected period whereas lower volatility indicates fees have stabilized.
Fee Momentum measures the rate of change in fees for new loans in the short (1-week vs 1-month) and long (1-month vs 1 year) term. Positive momentum indicates recent trades have higher fees than past trades while negative momentum indicates recent trades have a lower fee than past trades.
Together, volatility and momentum metrics help identify the direction and variance in borrowing costs.
GET STARTED WITH ORBISA
See how these data points and the complete Orbisa universe of data can bring transparency to the securities lending markets. The strategic advantage of Orbisa can help to drive cutting edge trading and portfolio construction strategies.
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Originally Published April 12, 2022 – LASER FOCUSSED DATA FOR THE BUY-SIDE
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This material is from Orbisa and is being posted with its permission. The views expressed in this material are solely those of the author and/or Orbisa and Interactive Brokers is not endorsing or recommending any investment or trading discussed in the material. This material is not and should not be construed as an offer to buy or sell any security. It should not be construed as research or investment advice or a recommendation to buy, sell or hold any security or commodity. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.
