A Securities Lending Derived Volatility Indicator
Frequently Asked Questions
What is the SLVX?
The securities lending volatility indicator (SLVX) is a volatility indicator derived through the calculation of securities lending transactional data.
How can the SLVX be utilized?
The SLVX can be used to calculate volatility within indices (e.g. SP500) or individual stocks (e.g. Lockheed Martin, Under Armour, etc.)
How is the SLVX calculated?
The SLVX is constructed using a patent pending mathematical formula by Tidal Markets LLC.
What is the methodology behind the calculation?
The SLVX is calculated based on a proprietary modified standard deviation equation of volume weighted lending and borrowing rates for all open securities transactions, at a given time in the securities lending market.
How does the SLVX work?
By utilizing the methodology of the SLVX, we are given a qualified measure of standard deviation (volatility) of rates between participants within the securities lending markets. By measuring the spread of variability, we are given a statistical spread of the “unknown” within the securities lending markets.
Where does the SLVX derive its underlying data set?
The SLVX analyzes data provided by Benzinga, produced in distribution from Fidelity Information Services (FIS) Astec Analytics – the largest aggregator of securities lending data. FIS Astec Analytics amalgamates securities lending transactional data from nearly 100 data providers including the largest banks in the world.
How much underlying data exists behind the calculation of the SLVX?
Although this is dependent upon the respective SLVX indicator being analyzed (e.g. indices or individual stocks), the FIS Astec Analytics dataset contains over 2.1 billion shares of outstanding securities loans daily, spanning across 40,000 securities and 70 industries.
What are the advantages of the SLVX to Stock Market Participants?
By utilizing the SLVX, stock market participants are able to measure upstream securities lending market rebate rate volatility to provide advanced warning indication of impending downstream activity in equity markets. The ability for brokerage firms running proprietary trading desks, or hedge funds or asset managers trading equities, the correlation between wholesale securities lending market activity and retail equity markets is statistically evident at both stock indices, as well as per security levels.
What are the advantages of the SLVX to Securities Lending Participants?
By utilizing the SLVX, securities lending market participants are able to acknowledge the widening gap in securities lending rates when market activity changes direction. The ability of the SLVX to fundamentally illustrate when events of significance occur, assists both lenders and borrowers on assessing their respective position within the lending markets.
For lending agents who are actively loaning securities to garner additional returns for themselves and on behalf of their beneficial owners, the ability to have the insight when market rates change provides greater overall transparency. On the contrary and for borrowers such as prime brokers who are borrowing securities to facilitate the borrowing needs of their own clients, by evaluating the SLVX as securities lending activity ensues, prime brokers can continually assess their holdings and attempt to lock in lower rates with lenders before or at the time volatile activity rises.
Who is Tidal Markets LLC?
Tidal Markets LLC is a data research firm focused on the securities lending markets. As a research practice, we amalgamate securities lending transactional data and study its correlation to market activity. Our research and data service offering enables lending agents, brokerage firms, hedge funds, asset managers, and equity traders with a unique perspective to interpret securities lending market volatility and its implications. Tidal Markets research is available on a request basis only, unless publicly disclosed at the discretion of the company. Tidal Markets also provides end-of-day and intraday data file offerings on a subscription basis. For more information, please email us directly at: firstname.lastname@example.org