Fear & Greed Index 2.0 — Design Brief

Goal

Build a composite market sentiment gauge (0–100) combining 10 weighted categories into a single score. Unlike CNN's Fear & Greed Index (~7 inputs, widely criticized for lagging and oversimplifying), this uses 10 granular categories with more inputs per category to produce a nuanced, institutional-quality reading.

Composite Score

Final Score = Σ (Category_Score × Category_Weight)

Each category scores 0–100 (0 = Extreme Fear, 100 = Extreme Greed). The weighted sum produces the composite index.

10 Categories

Score Labels

Header Metrics (10 key stats)

Data Sources

All sources are free with no paid API keys required.

Already Available (read from Redis)

New FRED Series (add to seed-economy.mjs)

New External Sources

Yahoo Finance Symbols (22 total)

Uses query1.finance.yahoo.com/v8/finance/chart — no API key, User-Agent header only.

Notes:

• $S5TH from Barchart is the implemented % above 200-day MA input; ^MMTH is not fetched by the current seeder.
• Advance/decline ratio is currently null. Breadth drops ad_score and reweights to breadth_score * 0.57 + rsp_score * 0.43.
• Fallback: VIX can fall back to FRED VIXCLS; Yahoo failures for ETF symbols leave their derived categories neutral or degraded.

Scoring Formulas

1. Sentiment (10%)

inputs: CNN_FG, AAII_Bull, AAII_Bear, cryptoFg  (AAII is LOW reliability — blocks bots)

// Normal path (CNN + AAII available):
score = (CNN_FG * 0.4) + (AAII_Bull_Percentile * 0.3) + ((100 - AAII_Bear_Percentile) * 0.3)

// CNN unavailable but AAII available:
score = (AAII_Bull_Percentile * 0.5) + ((100 - AAII_Bear_Percentile) * 0.5)

// Degraded path (AAII unavailable — store aaiBull/aaiBear as null, not 0):
score = CNN_FG  // 100% weight on CNN F&G; crypto F&G from Redis as secondary signal if CNN also fails; neutral 50 if both are absent
// aaiBull and aaiBear fields: null (not 0 — zero skews score toward Extreme Fear)

// CNN unavailable, AAII available:
score = (AAII_Bull_Percentile * 0.5) + ((100 - AAII_Bear_Percentile) * 0.5)

AAII survey inputs are anchored to deliberately conservative historical stress ceilings:

AAII_Bull_Percentile = clamp(bull% / 60 * 100, 0, 100)
AAII_Bear_Percentile = clamp(bear% / 55 * 100, 0, 100)

The 60% bull and 55% bear anchors treat unusually one-sided survey readings as the 100-point reference instead of letting rare extremes stretch the scale on ordinary weeks.

Reliability notes: CNN F&G is MEDIUM reliability. If both CNN and AAII fail, use cryptoFearGreed from Redis (already seeded via macro-signals) as a proxy — it is directionally correlated. Mark unavailable: true only if all three sentiment sources are absent.

2. Volatility (10%)

inputs: VIX, VIX_Term_Structure
vix_score = clamp(100 - ((VIX - 12) / 23) * 100, 0, 100)  // VIX 12=100, VIX 35=0
term_score = contango ? 70 : backwardation ? 30 : 50
score = vix_score * 0.7 + term_score * 0.3

3. Positioning (15%)

inputs: Put_Call_Ratio, Options_Skew
pc_score = clamp(100 - ((PC_Ratio - 0.7) / 0.6) * 100, 0, 100)  // 0.7=greed, 1.3=fear
skew_score = clamp(100 - ((SKEW - 100) / 50) * 100, 0, 100)
score = pc_score * 0.6 + skew_score * 0.4

4. Trend (10%)

inputs: SPX_Price, SMA20, SMA50, SMA200
above_count = count(price > SMA20, price > SMA50, price > SMA200)
distance_200 = (price - SMA200) / SMA200
score = (above_count / 3) * 50 + clamp(distance_200 * 500 + 50, 0, 100) * 0.5

5. Breadth (10%)

inputs: Pct_Above_200DMA from Barchart $S5TH, Advance_Decline, RSP_SPY_Divergence
breadth_score = Pct_Above_200DMA  // already 0-100
ad_score = clamp((AD_Ratio - 0.5) / 1.5 * 100, 0, 100)
rsp_score = clamp(RSP_SPY_30d_diff * 10 + 50, 0, 100)
score = breadth_score * 0.4 + ad_score * 0.3 + rsp_score * 0.3
// implemented degraded path when AD_Ratio is null:
score = breadth_score * 0.57 + rsp_score * 0.43

6. Momentum (10%)

inputs: Sector_RSI_Spread, SPX_ROC_20d
rsi_score = clamp((avg_sector_rsi - 30) / 40 * 100, 0, 100)
roc_score = clamp(SPX_ROC_20d * 10 + 50, 0, 100)
score = rsi_score * 0.5 + roc_score * 0.5

7. Liquidity (15%)

inputs: M2_YoY_Change, Fed_Balance_Sheet_Change, SOFR_Rate
m2_score = clamp(M2_YoY * 5 + 50, 0, 100)
fed_score = clamp(Fed_BS_MoM * 20 + 50, 0, 100)
sofr_score = clamp(100 - SOFR * 15, 0, 100)
score = m2_score * 0.4 + fed_score * 0.3 + sofr_score * 0.3

8. Credit (10%)

inputs: HY_Spread, IG_Spread, HY_Spread_Change_30d
hy_score = clamp(100 - ((HY_Spread - 2.0) / 8.0) * 100, 0, 100)
ig_score = clamp(100 - ((IG_Spread - 0.4) / 2.6) * 100, 0, 100)
trend_score = HY_narrowing ? 70 : HY_widening ? 30 : 50
score = hy_score * 0.4 + ig_score * 0.3 + trend_score * 0.3

9. Macro (5%)

inputs: Fed_Rate, Yield_Curve_10Y2Y, Unemployment_Trend
rate_score = clamp(100 - Fed_Rate * 15, 0, 100)
curve_score = T10Y2Y > 0 ? 60 + T10Y2Y * 20 : 40 + T10Y2Y * 40
unemp_score = clamp(100 - (UNRATE - 3.5) * 20, 0, 100)
score = rate_score * 0.3 + curve_score * 0.4 + unemp_score * 0.3

10. Cross-Asset (5%)

inputs: Gold_vs_SPY_30d, TLT_vs_SPY_30d, DXY_30d_Change
gold_signal = Gold_30d > SPY_30d ? fear : greed
bond_signal = TLT_30d > SPY_30d ? fear : greed
dxy_signal = DXY_rising ? slight_fear : slight_greed
score = weighted combination with mean reversion

Computed Metrics (derived from fetched data, no extra API calls)

Header Financial Stress Ratio

The Fear & Greed header also publishes a small inline stress ratio:

F&G Header FSI = (HYG / TLT) / (VIX * HY_OAS / 100)

It is computed from the latest HYG and TLT Yahoo prices, live VIX, and the FRED high-yield option-adjusted spread. Labels are:

This is a bespoke Fear & Greed header metric only. It is not the Financial Stress panel's KCFSI or ECB CISS/EU FSI composite.

Seed Script: seed-fear-greed.mjs

Follows the existing pattern: Railway cron → fetch external APIs → compute scores → atomic publish to Redis → server handler reads from Redis.

Redis Keys

market:fear-greed:v1              # Composite index + all category scores
seed-meta:market:fear-greed       # Metadata (fetchedAt, recordCount, sourceVersion)
seed-lock:market:fear-greed       # Concurrency lock

market:fear-greed:history:v1 is a planned sorted set for daily sparkline snapshots. The current seeder does not write or read it yet, so operators should not treat it as a live key.

TTL: 64800s (18h) — 3× the 6h cron interval. Required to survive 2 missed cron cycles (Railway downtime, deploy gaps). runSeed() extends this same TTL on both fetch-failure and empty-data paths. Cron: 0 0,6,12,18 * * * (every 6h) health.js maxStaleMin: 720 (12h) — 2× interval. One missed cycle never fires a spurious WARN; the 20min self-heal from runSeed() retry covers transient failures.

composite.previous requires a pre-write Redis GET. Before calling runSeed(), read market:fear-greed:v1 from Redis, extract composite.score, pass it into publishTransform as previous. runSeed() then overwrites the key atomically. Do NOT compute previous after the write — the key is already overwritten.

API Call Budget

Estimated runtime: ~3.3s (Yahoo sequential) + ~2s (Barchart/CNN/AAII parallel) + ~1s (Redis) = ~6-7s per run

Timeouts: Set AbortSignal.timeout(8000) on AAII scrape (frequently stalls). AAII failure must not block the entire seed run — wrap in try/catch, log warn, continue with degraded Sentiment scoring.

Output Schema (stored in Redis)

{
  "timestamp": "2026-03-24T12:00:00Z",
  "composite": {
    "score": 38.7,
    "label": "Fear",
    "previous": 41.2
  },
  "categories": {
    "sentiment": { "score": 19, "weight": 0.10, "contribution": 1.9, "inputs": { "cnnFearGreed": 16, "aaiBull": 30.4, "aaiBear": 52.0, "cryptoFg": 27 }, "degraded": false },
    // degraded: true when AAII unavailable; aaiBull/aaiBear: null (not 0) when AAII fetch fails
    "volatility": { "score": 47, "weight": 0.10, "contribution": 4.7, "inputs": { "vix": 26.78, "vix9d": 28.1, "vix3m": 24.5, "termStructure": "backwardation" } },
    "positioning": { "score": 34, "weight": 0.15, "contribution": 5.1, "inputs": { "putCallRatio": 1.01, "skew": 135 } },
    "trend": { "score": 52, "weight": 0.10, "contribution": 5.2, "inputs": { "spxPrice": 5667, "sma20": 5580, "sma50": 5520, "sma200": 5200, "aboveMaCount": 3 } },
    "breadth": { "score": 40, "weight": 0.10, "contribution": 4.0, "inputs": { "pctAbove200d": 43.93, "rspSpyRatio": -2.1, "advDecRatio": null } },
    "momentum": { "score": 13, "weight": 0.10, "contribution": 1.3, "inputs": { "spxRoc20d": -3.2, "sectorRsiAvg": 38 } },
    "liquidity": { "score": 26, "weight": 0.15, "contribution": 3.9, "inputs": { "m2Yoy": 1.2, "fedBsMom": -0.8, "sofr": 5.31 } },
    "credit": { "score": 68, "weight": 0.10, "contribution": 6.8, "inputs": { "hySpread": 3.27, "igSpread": 1.15, "hyTrend30d": "narrowing" } },
    "macro": { "score": 44, "weight": 0.05, "contribution": 2.2, "inputs": { "fedRate": 3.625, "t10y2y": 0.15, "unrate": 4.1 } },
    "crossAsset": { "score": 72, "weight": 0.05, "contribution": 3.6, "inputs": { "goldReturn30d": 4.2, "tltReturn30d": 1.8, "spyReturn30d": -2.1, "dxyChange30d": -1.5 } }
  },
  "headerMetrics": {
    "cnnFearGreed": { "value": 16, "label": "Extreme Fear" },
    "aaiBear": { "value": 52, "context": "6-wk high" },
    "aaiBull": { "value": 30.4, "context": "Below avg" },
    "putCall": { "value": 1.01, "context": "vs 0.87 yr avg" },
    "vix": { "value": 26.78, "context": "+11.31%" },
    "hySpread": { "value": 3.27, "context": "vs LT avg" },
    "fsi": { "value": 0.7421, "label": "Elevated Stress", "hygPrice": 79.46, "tltPrice": 83.66 },
    "pctAbove200d": { "value": 43.93, "context": "Down from 68.5%" },
    "yield10y": { "value": 4.25 },
    "fedRate": { "value": "3.50-3.75%" }
  },
  "unavailable": false
}

Implementation Plan

Phase 1: Data Layer

1. Add BAMLC0A0CM and SOFR to seed-economy.mjs FRED_SERIES array
   • Note: SOFR is weekly cadence from FRED, not daily — Liquidity formula is stable between releases
2. Validate C:ISSU symbol returns advance/decline data via Yahoo /v8/finance/chart — confirm before building Breadth formula around it
3. Create seed-fear-greed.mjs:
   • TTL: 64800s (18h = 3× interval)
   • AAII fetch: AbortSignal.timeout(8000), wrapped in try/catch — failure uses degraded Sentiment scoring
   • Pre-write step: GET market:fear-greed:v1 from Redis, extract composite.score as previous, pass via publishTransform
   • runSeed() calls process.exit(0) — all extra key writes (e.g. history key) must use the extraKeys option, NOT code after the runSeed() call
4. Register with bootstrap 4-file checklist:
   • cache-keys.ts — add market:fear-greed:v1
   • api/bootstrap.js — register the key
   • health.js — classify as BOOTSTRAP_KEYS (seeded, CRIT if empty); set maxStaleMin: 720 (12h = 2× interval)
   • gateway.ts — wire GetFearGreedIndex RPC

Phase 2: Proto + RPC

5. New proto: proto/worldmonitor/market/v1/fear_greed.proto
   • GetFearGreedIndex RPC
   • Messages for composite score, category scores, and header metrics
6. New handler: server/worldmonitor/market/v1/get-fear-greed-index.ts
   • Reads computed data from Redis, returns structured response

Phase 3: Frontend Panel

7. New component: src/components/FearGreedPanel.ts
   • Gauge — semicircular 0–100 dial with color gradient (red→yellow→green)
   • Header grid — 9 key metrics with contextual annotations
   • Category breakdown — expandable cards per category (score, weight, contribution, bar)
   • Handle degraded: true on Sentiment card (show "AAII unavailable" note)
8. Register in finance variant panel config

Phase 4: Polish

9. Historical sparklines — append daily snapshot to market:fear-greed:history:v1 (sorted set, score = UNIX timestamp, member = ISO date + composite score JSON). Write via extraKeys in Phase 1 seeder. TTL: 90 days (7776000s). Frontend reads this key for trend sparkline.
10. Alerts on threshold crossings (e.g. score drops below 20)

MVP Path

Build the initial version using only data we already have + easy additions:

1. Volatility — VIX from FRED
2. Credit — HY + IG spread from FRED
3. Macro — Fed rate + yield curve + unemployment from FRED
4. Trend — SPX price vs computed MAs from Yahoo
5. Liquidity — M2 + Fed balance sheet from FRED + SOFR
6. Sentiment — CNN F&G endpoint + crypto F&G (already have)
7. Momentum — Sector ETF returns from Yahoo
8. Cross-Asset — GLD/TLT/SPY/DXY returns from Yahoo
9. Positioning — Barchart $CPC put/call + SKEW from Yahoo
10. Breadth — Barchart $S5TH + RSP/SPY divergence, with advance/decline currently null

All 10 categories covered from day one. No paid sources needed.