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The short interest ratio (also called days-to-cover ratio) [1] represents the number of days it takes short sellers on average to cover their positions, that is repurchase all of the borrowed shares. It is calculated by dividing the number of shares sold short by the average daily trading volume, generally over the last 30 trading days.
Short interest can reflect general market sentiment toward a stock by indicating the number of shares sold short that remain outstanding. When measured it can be a useful but imperfect indicator ...
Tree returning the OAS (black vs red): the short rate is the top value; the development of the bond value shows pull-to-par clearly . A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written .
The model implies a log-normal distribution for the short rate and therefore the expected value of the money-market account is infinite for any maturity. In the original article by Fischer Black and Piotr Karasinski the model was implemented using a binomial tree with variable spacing, but a trinomial tree implementation is more common in ...
In the 1970s and 1980s high inflation and high interest rates encouraged large companies to draw funds from remote banks to benefit from "transportation float" which was called "remote disbursement". In 1973, the daily float average was $2.7 billion, and between 1975 and 1979, float more than tripled to a daily average of $6.6 billion. [1]
With an inverse floater, as interest rates rise the coupon rate falls. [1] The basic structure is the same as an ordinary floating rate note except for the direction in which the coupon rate is adjusted. These two structures are often used in concert. As short-term interest rates fall, both the market price and the yield of the inverse floater ...
The short interest in the stocks with the largest positions as of August 15: Bank of America Corp. (NYSE: BAC) down 2% to 220 million shares. Nokia Corp. (NYSE: NOK) up 8% to 218 million. Johnson ...
Short squeezes may also be more likely to occur when a large percentage of a stock's float is short, and when large portions of the stock are held by people not tempted to sell. [7] Short squeezes can also be facilitated by the availability of inexpensive call options on the underlying security because they add considerable leverage.