Financial Conditions

CBOE Volatility Index: VIX

CBOE measure of expected 30-day volatility in the S&P 500, derived from options prices. The market's fear gauge. Spikes during crises and risk-off events. Use for risk sentiment analysis, hedging signal generation, and regime detection. Daily frequency with full history.

Chicago Fed National Financial Conditions Index

Chicago Fed composite index of 105 financial indicators covering money markets, debt, equity, and banking. Positive = tighter than average conditions, negative = looser. Weekly frequency, provides a single number summarizing broad financial conditions. Use for macro regime assessment and risk model inputs.

St. Louis Fed Financial Stress Index

St. Louis Fed composite stress index measuring strain in U.S. financial markets. Constructed from 18 weekly data series including rates, spreads, and equity measures. Zero = normal conditions, positive = above-average stress. Weekly frequency, useful for crisis detection and risk-off signals.