Tidal Markets
SLVX (Securities Lending Volatility Index)
Volatility
Delivery Frequency/Timezone
Daily/EST
History
US: from 2010, Asia: from 2014
Coverage
Global equities
Overview
The SLVX (Securities Lending Vol Index) works by continually assessing the spread of Rebate Rates to derive volatility, placing greater emphasis on the securities lending market to predict volatility on the broader market. The SLVX uses a patented formula after ingesting the securities lending transaction data to create the output. The range is from 0 to ∞.
The SLVX can be used to calculate volatility within indices or individual stocks. The SLVX has been proven to outperform the VIX as a leading indicator for volatility in the market.
Data descriptions
| Datestamp |
| ISIN Identifier |
| Name of the Security |
| SLVX Volatility Indicator |
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