Since 1990, the VIX has crossed 30 twenty-four times, 50 eight times, and 80 three times. Each spike documents a specific market dislocation; none repeats identically. TL;DR The 2008 crisis remains the VIX's absolute record at 89.53 intraday, yet post-spike…
The VIX curve articulates the spot index and nine CFE VIX futures expirations. Its shape — contango or backwardation — provides a regime signal distinct from the spot level and historically more robust for identifying acute stress phases. TL;DR The…
The VIX and the high-yield credit spread were correlated at 0.65-0.80 over 2000-2019, equity mirror of the same stress signal. That correlation collapsed at end-2023: both indicators are simultaneously compressed, but their historical synchronicity has vanished. TL;DR Correlated at 0.65-0.80…
The VIX is calculated from a basket of SPX options through a variance swap formula published by the CBOE in 2003. The precise mechanics — inverse-square weighting of strikes, truncation, 30-day interpolation — explain why the VIX behaves the way…
The VIX aggregates premiums paid on S&P 500 options and projects expected volatility over the next thirty days. Reducing it to a fear index obscures the three components — sentiment, skew, market-maker liquidity — that make it useful as a…
May 2026: NFCI at −0.55, a compression rarely observed after a monetary tightening phase. Fed-to-financial-conditions transmission appears to operate differently than in previous cycles. TL;DR Two years into a rate-cutting cycle, with QT still running, the NFCI reads -0.55 in…
NFCI spans 55 years of weekly data since 1971. It is one of the rare U.S. financial indicators reaching back through every major shock since Bretton Woods, allowing each crisis to be measured in the same statistical unit. TL;DR Spanning…
Three indicators recur in every conversation about U.S. financial stress — NFCI, VIX, HY OAS — and they do not measure the same thing. Reading their divergences is more informative than choosing the best of the three. TL;DR Each of…
“NFCI above 0.5 means stress signal”: the rule has circulated in strategist notes for a decade. The Chicago Fed never decreed it — it emerged empirically, and its conditions of validity deserve explicit framing. TL;DR Every NBER recession since 1971…
The aggregate NFCI masks its internal machinery. Beneath the composite score, the Chicago Fed publishes three sub-indices in parallel — risk, credit, leverage — each built from a subset of 105 weekly series. TL;DR A zero NFCI can mean two…
