Methodology & glossary

What powers the intelligence tells the story; this page is the fine print. Every number on the scanner, the symbol dossiers, and the member briefs has an exact definition — the window it is measured over, the threshold that flags it, and the honest caveats. If a term in a brief or review is unclear, it is defined here.

Jump to: how to read any number · extremity · price context · retail SSI · futures COT · dealer gamma · vol & carry · correlations · predicted vol · episodes · analogues · regime banner · brief & review measures · thresholds · glossary

How to read any number here

Everything is measured against the instrument's own history. A reading is never “high” in the abstract — it is a percentile or a z-score against that instrument's own trailing window. That is what makes 35+ very different instruments comparable on one screen.

Percentiles rank the distribution, not the range. “92nd percentile of its year” means 92% of the year's daily closes were below today's — not that price sits 92% of the way between the 52-week low and high. A market that spent the year near its highs can print a high percentile while sitting mid-range.

Windows are trading days. “1y” is the trailing 365 daily observations, “90d” the trailing 90, and so on. A data gap that would silently stretch a 1y+ window across far more calendar time voids the stat rather than fabricating it.

Point-in-time, always. Historical stats, analogues, and backfills only use data that existed at the moment being measured. When we say “what happened last time,” each “last time” was scored with only its own past.

Freshness is disclosed, not papered over. Sources arrive on different clocks (prices every minute, options hourly, COT weekly). When an input is stale or too thin to compute, the surface says so — a missing reading is shown as missing, and it simply doesn't count toward extremity.

The headline number

Extremity

Extremity counts how many of an instrument's context factors are at a statistical extreme right now. Six factors are eligible; each is a yes/no test:

Factor	Counts as extreme when…
Price	its 1-year percentile is ≤ 10 or ≥ 90
Retail crowd (SSI)	\|z\| ≥ 2 vs its trailing year
Futures (COT)	\|z\| ≥ 2 vs the trailing 52 weekly reports
Volatility	the vol regime is elevated/extreme, or 30-day realized vol is ≥ 85th percentile of its year
Dealer gamma	the live gamma regime is negative (amplifying). Stale or thin chains don't count
Key level	spot is sitting on a 50-pip round level or a weekly/monthly fib (within the tolerance below)

The score is shown out of the factors that have data for that instrument (an index without SSI is scored out of fewer factors, not penalized). Extremity is a count of stretched conditions — it says how unusual the situation is, never which way it resolves.

System 1 · price

Price context

Percentile windows. Each instrument's daily close is ranked against its trailing 7d, 30d, 90d, 1y, 5y, and all-time windows (tie-averaged rank of closes). The same windows carry a z-score: today's close vs the window's mean, in standard deviations.

1-year range. The highest daily high and lowest daily low of the trailing year, with the width in pips.

Distribution histogram. The actual distribution of the last year's daily closes — not a fitted bell curve — with a marker at spot. The marker's bin placement uses the histogram's own base, so it can differ from the headline percentile by a point or two; the headline number is the authoritative one.

Round levels. The nearest 50-pip multiple — a half figure (1.0850) or whole figure (1.0900). “Sitting on” a level means spot is within 12% of the instrument's 20-day average true range of it (a volatility-scaled tolerance, so a quiet pair must be much closer than a wild one; fallback 8 pips when ADR is unavailable).

Fibonacci levels. Retracements of the trailing weekly (7-day) and monthly (30-day) high–low swing, using only the golden three ratios — 0.382, 0.5, 0.618 — with the same ADR-scaled “sitting on” tolerance. We deliberately dropped single-session swings and the minor 0.236/0.786 ratios: tested live, they put price “on a fib” most of the time, which makes the flag meaningless.

ADR (typical daily range). 20-day averages, in pips: true range (high–low, widened for overnight gaps vs the prior close) and body (open→close). True range is what a holder experienced; body is what a chart shows.

System 2 · retail positioning

Retail sentiment (SSI)

The Speculative Sentiment Index measures how the retail FX crowd is positioned. We show the share of retail traders long, and a normalized net reading (long-minus-short balance) scored against itself: the z-score and percentile are computed over the trailing year of daily readings (each daily reading is the mean of that day's hourly snapshots).

An extreme SSI reading marks a stretched crowd — a condition under which volatility events cluster. Our published research is explicit that it is not a directional edge: fading the crowd is a coin flip out of sample. That is why SSI appears here as context, never as a signal.

Some cross pairs carry a synthetic SSI derived from their USD legs when no direct feed exists; readings are normalized to one convention before scoring.

System 3 · futures positioning

Futures positioning (COT)

From the CFTC's weekly Commitments of Traders report (positions as of Tuesday, published Friday). Readings are the net position in contracts, with a percentile and z-score over the trailing 52 weekly reports. Cross pairs map to the base currency's USD futures contract; inverted contracts are sign-adjusted to match the pair's direction.

Different surfaces deliberately read different trader groups, and each labels its own: the scanner shows the classic large-speculator (non-commercial) net; the COT brief and monthly review read the leveraged-funds leg of the Traders-in-Financial-Futures report (for commodities, the money-manager leg) — the fast money most associated with pressing trends. Both are 52-week normalized.

System 4 · options

Dealer gamma (GEX)

The measure. For every strike in the listed options chain we estimate dealer gamma exposure in dollar terms from open interest and each option's gamma, with puts negated (dealers are assumed net short puts). The sum across the chain sets the regime: positive — dealer hedging leans against moves (dampening); negative — hedging chases moves (amplifying).

Walls and the flip. The call wall is the strike at or above spot with the largest positive net gamma (potential resistance); the put wall is the strike at or below spot with the deepest negative net gamma (potential support); the gamma flip is where cumulative net gamma crosses zero. Futures-scale strikes are converted to each pair's own quote scale — for USD-base pairs that inversion also swaps which side is the call wall vs the put wall; cross pairs use a two-leg synthesis.

Honest states. A chain must have at least 50 strikes carrying open interest to compute at all — thinner chains show as thin rather than pretending. A snapshot older than 30 hours shows as stale and stops counting toward extremity. Metals, indices, and oil have no listed FX chain, so their regime (never walls) comes from the matching ETF options chain, labeled as such.

System 5 · volatility & rates

Volatility & carry

Realized vol. The annualized standard deviation of daily log returns over the trailing 30 days, with a percentile vs the trailing year and vs all time. The regime label (ultra-low → low → normal → elevated → extreme) is set by the all-time percentile: extreme ≥ 95th, elevated ≥ 75th, normal ≥ 25th, low ≥ 5th.

Implied vol. Front-month at-the-money IV from the options surface, shown only when the snapshot is fresh (within 7 days), with the IV − RV spread. A strongly positive spread (options pricing more than reality is delivering) can bump the regime one tier.

Carry. The policy-rate differential, base minus quote, from official central-bank rate series, with a 1-year percentile and z-score and the 5-year range. Where a currency's series is unavailable or lagging, the reading is omitted or its confidence is reduced — not guessed.

System 6 · co-movement

Correlations & drivers

Symbol-page correlations: Pearson correlation of daily log returns over a rolling 90-day window, against every other instrument in the universe (including the cross-asset set); we show the six strongest by absolute value, each with a percentile telling you whether that relationship is unusually tight or loose vs its own year.

The daily drivers read uses a shorter 20-trading-day window against five reference markets (S&P 500, DAX, gold, silver, oil); the “dominant driver” is simply the largest absolute correlation. Both are descriptive co-movement — never lead/lag, never causation, never a forecast.

Members · the one model

Predicted volatility

The RV forecaster is the only predictive model on the surface, and it predicts size, never direction: the expected absolute move over the next 1, 2, 4, 8, 12, and 24 hours, shown as the expected move with the median and 75th-percentile outcomes, in % and pips at current spot. Forecasts are FX-only and refresh hourly.

Because it is a prediction, it is the one number we grade continuously in public — see the live calibration on What powers the intelligence. Skill concentrates at short horizons and fades toward a day out; we publish the whole curve, not the flattering end.

The event layer

Episodes — what the engine flags

An episode is a mechanically detected market event. Each type has a fixed trigger, fires point-in-time, and is then measured over a ten-trading-day window — an episode is resolved once that window has fully elapsed and its outcome is scored.

Episode type	Fires when…	Severity =
Crowd extreme	retail SSI reaches \|z\| ≥ 2 vs its year	\|SSI z\|
Gamma extreme	total dealer gamma reaches \|z\| ≥ 2 vs its full history	\|gamma z\|
Macro surprise	a high-impact release lands \|z\| ≥ 1.5 from consensus, scored against that event's own release history (min. 20 priors)	\|surprise z\| (capped at 4)
52-week extreme	a close beyond the trailing 252-day high or low	\|252-day close z\|
Month break	a close beyond the prior calendar month's high or low	\|21-day close z\|
Range expansion	the day's range reaches 2× the 20-day ATR	the ATR multiple itself

Severity. A continuous per-type score of how extreme the trigger was — a z-score for every type except range expansion, where it is the ATR multiple. Scales differ by type, so severities are never compared across types; notable means top-decile severity within the episode's own type across the full record.

Outcomes. Each episode's window records the move at fixed checkpoints, the best and worst excursions (MFE/MAE), and the realized range (highest high to lowest low, as % of the trigger price). Context episodes resolve to a volatility verdict — vol expanded (realized range beyond 1.5× the instrument's own typical ten-day range), vol normal, or vol contracted (under 0.6×). Crowd-extreme episodes instead score whether price reversed, continued, or ground sideways (a ±0.5% five-day band).

Sign conventions. Price-, gamma-, and macro-episode outcomes are raw price moves: positive means price rose from the episode-day close. Crowd-extreme outcomes are scored relative to fading the crowd. Any table that pools types together therefore uses direction-agnostic measures — |move| and realized range — never signed averages.

Members · what happened last time

Analogues & the typical path

Selection. Analogues are matched per episode type, always from strictly earlier episodes: price episodes by a standardized nearest-neighbour match on the instrument's context fingerprint (price percentile and z, crowd z, vol percentile, carry z) and by same-symbol, same-direction recency; gamma episodes on the gamma feature set (level, imbalance, distance to flip, dealer sign); macro episodes to the same country-and-release history by closeness of surprise. Typically the five to six closest matches surface.

The typical path. Across an episode's analogues we plot, at each horizon (sessions after the event), the middle half of outcomes — the 25th to 75th percentile band — with the median marked. A horizon needs at least three analogues to draw; small samples are dropped, not smoothed over. A band straddling zero means history genuinely split both ways.

What it is not. Analogue records are historical distributions, not forecasts. The past is not the future; the value is knowing the base rate — and how widely it scattered — before the market opens.

The backdrop

The regime banner

The axes. A multi-dimensional macro engine distills ~40 inputs into five axes — growth, inflation, policy, deep stress, and live sentiment. Each input is a percentile against its own history, signed toward its pole, and each axis is the average of its inputs.

The name. The named character (Goldilocks, Reflation, Stagflation, Deflation scare…) comes from the growth × inflation quadrant, computed on smoothed axis readings so the name doesn't flap day to day; inside a narrow transitional band the engine says Transitional / mixed rather than asserting a pole. Structural tags (higher-for-longer, sticky-inflation, strong-dollar…) are absolute-level flags layered on top, and a stress state (calm / elevated / stress) trips on deep-stress readings or any of a set of classic tripwires (yield-curve inversion, Sahm rule, VIX term structure…).

Free vs member. The name, axis readings, tags, stress state, and plain-English summary are free. Members additionally see the trajectory — which axes are moving, how fast — and regime analogues: the closest historical windows on the same axes, with what followed. The banner also states its own coverage depth and confidence rather than implying certainty it doesn't have.

Member briefs & the monthly review

Brief & review measures

|5d move|. The size of the net move five sessions after an event, ignoring direction, as % of the trigger price. Reviews report medians, not averages, and don't score direction — these are volatility events, not directional signals.

Was that normal?. The month's follow-through vs the full-record base rate for the same event types — median |5d| and the share of “big” moves (|5d| ≥ 1%).

Tensions. Markets where the retail crowd and leveraged funds are stretched on opposite sides — each side at |z| ≥ 1 or a top/bottom-decile reading of its year. Both z-scores cover the same trailing year: crowd from daily retail readings, funds from the 52 weekly COT reports.

Hot / cold volatility. 30-day realized vol at or above the 90th percentile of its year (hot) or at/below the 10th (cold).

Stretched and compressed (“coiled”). Instruments at a 1-year price extreme (≥ 95th or ≤ 5th percentile) while realized vol sits in the bottom quartile of its year.

Pips in reviews. Whole numbers, converted per instrument with the site's single pip library. Tables that pool many instruments stay in % — a pip means a different thing on each.

Honest fine print

One word, several thresholds

“Stretched” and “extreme” are operationalized differently by different surfaces, on purpose — a detector that opens a ten-day measurement window should demand more than a weekly digest that highlights a row. Rather than pretend there is one number, here they all are:

Surface	Rule
Episode detectors	\|z\| ≥ 2 (SSI, gamma) · \|z\| ≥ 1.5 (macro surprise)
Scanner extremity	\|z\| ≥ 2 (SSI, COT) · price percentile ≤ 10 / ≥ 90 · RV ≥ 85th
Review tensions	\|z\| ≥ 1 or top/bottom decile, opposite sides
Weekly brief highlight	\|z\| > 1.5
COT brief extreme	top/bottom decile or \|z\| ≥ 2

Other fine print worth knowing: the scanner's histogram marker and its headline percentile use slightly different bases (the headline is authoritative); the symbol page's window ladder runs 7d–5y and all-time; and the scanner's COT column reads the non-commercial leg while the briefs read leveraged funds — both are labeled where shown.

Glossary

ADR (average daily range)

The 20-day average of a market’s daily range, in pips or points. We show two measures: true range (high to low, adjusted for overnight gaps) and body (open to close).

Analogue

A past episode whose measurable context most closely matched the current one. Analogues are always selected from strictly earlier data, so each one was genuinely knowable at its own moment.

Carry (rate differential)

The base currency’s policy rate minus the quote currency’s, from central-bank rate series. Positive means holding the pair earns the differential; negative means it costs it.

COT (Commitments of Traders)

The CFTC’s weekly report of futures positioning (Tuesday’s close, published Friday). Different surfaces read different trader groups — see the futures-positioning section.

Dealer gamma (GEX)

A dollar estimate of options dealers’ hedging pressure, summed across an options chain. Positive gamma tends to dampen moves; negative gamma tends to amplify them.

Episode

A dated market event our engine detects mechanically — a positioning extreme, a gamma extreme, a macro surprise, or a price break — then measures for ten trading days. Episodes are context, never trade signals.

Extremity

The scanner’s headline count: how many of an instrument’s context factors are at a statistical extreme right now (up to six). A count, not a direction.

Gamma flip

The strike where cumulative net dealer gamma crosses zero — the level that separates the dampening (positive) side of the chain from the amplifying (negative) side.

Gamma wall

The strike concentrating the most dealer-hedging pressure on its side of spot: the call wall above (potential resistance), the put wall below (potential support).

Implied vol (IV)

The volatility priced into options. Shown only when the underlying surface snapshot is fresh (within seven days); compared to realized vol as IV − RV.

MFE / MAE

Maximum favorable / adverse excursion: the best and worst point reached during an episode’s measurement window. Their difference is the realized range.

Notable (episodes)

An episode whose severity is in the top 10% of all episodes of its own type across the full record. Severity scales differ per type, so “notable” is never compared across types.

Percentile

The share of a reading’s own history that sits below today’s value — 100 means the highest reading in the window, 0 the lowest, 50 the middle. Ties are averaged.

Pip / point

The instrument’s conventional minimum quote step (0.0001 for most FX pairs, 0.01 for JPY pairs; points for indices and metals). All pip figures on the site share one conversion library.

Point-in-time

Computed only from data that was available at that moment. Analogues, backfills, and historical stats are all held to this standard so nothing is contaminated by hindsight.

Realized range

The highest high to lowest low over an episode’s ten-day measurement window (MFE − MAE), as a % of the price when the event fired. Direction-agnostic, so it can be pooled across event types.

Realized vol (RV)

The annualized standard deviation of daily log returns over the trailing 30 days — how much the market actually moved, as opposed to implied vol (what options price in).

Regime character

The named macro backdrop from the regime engine (e.g. Goldilocks, Stagflation, Transitional), chosen from smoothed growth and inflation readings plus structural tags. The same read powers the live banner and the monthly review.

Resolved (episodes)

The episode’s fixed ten-trading-day measurement window has fully elapsed and its outcome is scored. Until then it is still inside its window.

Severity (episodes)

How statistically extreme the episode’s trigger was — a z-score against the instrument’s own history for most types; for range-expansion episodes, the day’s range as a multiple of the 20-day ATR. A continuous number, on a per-type scale.

SSI (Speculative Sentiment Index)

Retail FX positioning: the net balance of retail traders long vs short a pair. We normalize it as a ratio and score it against its own trailing year.

Tension

The retail crowd and leveraged funds stretched on opposite sides of the same market — each side at |z| ≥ 1 or a top/bottom-decile reading of its year.

True range

A day’s high–low span widened to include any gap from the prior close — the range a position actually lived through.

Typical path band

For a set of analogues, the middle half of outcomes (25th–75th percentile) at each horizon with the median marked. A historical distribution, not a forecast.

Z-score

How many standard deviations today’s reading sits from its own average over the stated window. |z| ≥ 2 is rare (roughly the outer 5% if readings were normal); the sign gives the side.

Now read the numbers with the definitions in hand.

Open the scanner →What powers it