Derivatives Tachometer
Options-market pressure: implied volatility levels, vol-of-vol, skew, implied correlation, and term-structure slope. Answers how much the derivatives complex is paying for protection right now.
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How our multi-asset engine quantifies cross-asset stress, regime states, and risk postures.
“Price tells you where markets have been. Volatility, correlation, and tail risk tell you how fragile the system is right now.”
Options-market pressure: implied volatility levels, vol-of-vol, skew, implied correlation, and term-structure slope. Answers how much the derivatives complex is paying for protection right now.
Plumbing and cash-market stress: rates volatility, credit spreads, funding conditions, FX volatility, and physical commodity vol. Answers whether real balance-sheet stress is confirming the options tape.
The cross-asset systemic pressure score on a 0–10,000 RPM scale, blending the two sub-engines with winsorized (±3σ) Z-scores so a single dislocated print cannot dominate the composite.
Low systemic stress. Cross-asset vol, credit, and funding are all inside benign bands — standard or expanded gross exposure.
Standard baseline conditions. No broad confirmation of stress; run normal VaR limits and treat isolated spikes as idiosyncratic.
Systemic stress, multi-flag consensus, or a mid-band score cross-confirmed by an overlay flag. Trim gross, tighten stops, favour convexity.
Extreme cross-asset dislocation. Multiple buckets printing top-5% historical readings simultaneously — de-risking regime, not a dip.
Overlay flags are discrete Boolean tripwires (credit-vol expansion, funding stress, curve dislocation, dispersion collapse). A single isolated flag on an otherwise calm composite renders a visual alert badge — it does not force a portfolio-wide Risk-Off. Escalation requires either a second flag or a mid-band score that cross-confirms the flag.
Base stance unchanged — the composite score alone governs the desk posture.
Risk-On retained. Badge only (▲ 1 FLAG) — isolated overlay on a calm composite.
Neutral. Badge only — no forced Risk-Off without score confirmation.
Risk-Off. Score and flag cross-confirm each other.
Risk-Off. Multi-flag stress is treated as broad-market consensus.
Every hero regime badge is driven by the metric's spot percentile against a rolling one-year sample of its own history (with absolute domain anchors as a cold-start fallback). Horizon tabs (1M / 3M / 6M / 1Y) show the true windowed rank for that sample and never alter the hero badge.
Bottom third of the rolling one-year sample. Compressed vol, wide-and-healthy curves, benign credit.
Mid-band. The metric is behaving inside its own historical routine — no signal.
Upper third. Stress building but not yet confirmed across the asset class.
Top decile-and-a-half. Term structures inverting, spreads gapping, sentiment capitulating.
Top 5% of the one-year distribution. Historic dislocation for that specific series.
Not investment advice · engine outputs are decision-support signals only.