OptionMetrics Announces IvyDB Borrow Rate to Assess Short-Selling Opportunities and Risks

September 20, 2021 at 09:35 AM EDT

Dataset enables quants, traders, academia to analyze dynamic borrowing conditions, pinpoint short-selling pressure

OptionMetrics, an options database and analytics provider for institutional investors and academic researchers worldwide, announces IvyDB Borrow Rate offering insights on the options-implied costs of short-selling individual securities computed intraday across maturities. The new dataset gives institutional investors and academia valuable information to pinpoint short-selling pressure, analyze dynamic borrowing conditions, and improve research on short-selling positions.

Announcement of this new product comes as interest in short-selling (or borrowing shares of a stock to sell with hopes to buy it back cheaper) continues to grow, with GameStop and other meme stocks hitting trading highs earlier this year as just one example. Understanding dynamic borrowing costs is essential to analyzing the risks involved with short-selling opportunities.

OptionMetrics’ new dataset includes borrow rates for every equity and ETF in the OPRA universe from January 2016 onward. Short rates are constructed for each maturity with arbitrage conditions across put-call pairs. Proprietary smoothing reduces noise from early exercise features and bid/ask spreads.

“At OptionMetrics, we have always been focused on giving institutional investors, traders, and academia the data they need to make the most informed decisions. With IvyDB Borrow Rate, we continue this tradition in providing the cleanest, most reliable data, which is straightforward and easy to interpret to assess risk,” says OptionMetrics CEO David Hait, Ph.D.

With over 20 years as the premier provider of historical options and implied volatility data, OptionMetrics also offers comprehensive options data for the US, Europe, Asia-Pacific, and Canada, as well as settlement price data for the most liquid US futures.

View charts and analysis on Borrow Rate and meme stocks here. For more information, email info@optionmetrics.com.