Risk Appetite Index
Our own transparent market-risk-appetite proxy, scored from 0 to 100 using public U.S. government data. Not the CNN Fear & Greed Index, not equity-implied volatility, not live market prices, and not a prediction of future stock returns.
Latest verified reading
Checking official CFTC and Treasury inputs…
The CFTC report is delayed relative to Treasury session dates.
Four signals, with published weights
Each factor is compared with its own recent official history using a percentile rank. High scores mean relatively stronger observed risk appetite. Scores are not absolute probabilities or forecasts.
Data are not yet available.
Historical risk appetite
Daily points use the last CFTC report known as of that session and the matching Treasury yield observation. Blank history means insufficient verified data.
Transparent methodology · SRAI-1
- 35% · Institutional futures positions: CFTC E-mini S&P 500 asset manager long minus short contracts, divided by open interest; ranked over up to 52 weekly reports.
- 25% · Leveraged futures positions: same calculation for leveraged fund holdings; ranked over up to 52 weekly reports. Short positions can be hedges, not necessarily bearish bets.
- 20% · Treasury yield curve: 10-year minus 3-month government bond yields; ranked over 126 daily observations. A steeper curve is treated as more favorable financial conditions, a simplification.
- 20% · Treasury yield volatility: standard deviation of daily changes in 10-year yields over 20 sessions, reversed and ranked relative to up to 126 observations. This measures rate stability, not VIX or equity volatility.
Each input maps to a historical 0–100 empirical mid-rank percentile before applying the fixed 35/25/20/20 weights. The combined score is a descriptive indicator of reported positions and rate conditions, not a direct reading of emotions, an equity-market breadth index, investment advice, or a mechanically actionable signal. Model weights are original, exploratory choices, not backtested or statistically calibrated. Weekly CFTC Tuesday positions are only used for Friday and later daily observations, avoiding look-ahead.
Data availability: CFTC positions are generally published weekly on Friday for Tuesday; Treasury par yields are daily on trading days. Missing, obsolete or inconsistent source data result in no updated reading, never a made-up value. Historical data may be revised.