Interesting thing I'm considering is strategies to go long changes in the borrow rate. You can do this pretty trivially with options. Long the ATM put, short the ATM call, and buy the stock. You're delta neutral but sensitive to changes interest rate (not really efficient here)
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Replying to @nope_its_lily
Yeah this seems really capital inefficient. Even if you can overcome costs, which is not a priori obvious, I think you’d need access to a lot of cheap financing to juice it enough to be attractive.
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Replying to @macrocephalopod
Is there another way to directly trade the borrow rate term structure tho?
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Replying to @nope_its_lily
As retail? I don’t think so. As an institution you can probably get a bank to package it, or you could go long/short the underlying and the equity swap (you’d still need a cheap source of financing to leverage it though).
12:33 PM - 29 Dec 2021
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