Methodology: Russian market fear and greed index
Version 1.0.0
What the indicator shows
Sentiment in the Russian stock market on a 0 to 100 scale: the lower the value, the stronger the fear; the higher, the stronger the greed.
- What it is measured on
- The MOEX Russia Index and liquid Russian stocks
- Updates
- Once a day, after the market closes
Components
The mapping to the 0–100 scale is the same for every component. The rank of the current value among its own values over the last 504 trading days (a percentile); at least 252 observations are required.
| Component | What it measures | Direction | Weight, % |
|---|---|---|---|
| Market momentum | The MOEX Russia Index against its 125-day moving average | A rise in the measure moves the index towards greed | 14.3 |
| Stock price strength | Stocks at 52-week highs minus stocks at 52-week lows, as a share of all stocks | A rise in the measure moves the index towards greed | 14.3 |
| Stock price breadth | The running difference between the turnover of rising and falling stocks | A rise in the measure moves the index towards greed | 14.3 |
| Put and call options | The ratio of put volume to call volume, averaged over 5 days | A rise in the measure moves the index towards fear | 14.3 |
| Market volatility | The Russian market volatility index (RVI) | A rise in the measure moves the index towards fear | 14.3 |
| Safe haven demand | Stock returns minus government bond returns over 20 days | A rise in the measure moves the index towards greed | 14.3 |
| Credit risk appetite | Corporate bond returns minus government bond returns over 20 days | A rise in the measure moves the index towards greed | 14.3 |
How the number is built
The indicator is the average of the scores of all available components: each carries the same weight.
A value is published when at least 5 of the 7 components are available. Otherwise there is no value for the day: the middle of the scale is never substituted for it.
The result is stored to three decimal places; the page shows one.
Zones of the scale
| Zone | Value |
|---|---|
| Extreme Fear | 0–25 |
| Fear | 25–45 |
| Neutral | 45–55 |
| Greed | 55–75 |
| Extreme Greed | 75–100 |
The lower bound belongs to the zone: a value of 45 is already “neutral”.
What is published
The indicators section and the indicators resource of the programmatic interface publish the indicator value and the component scores on a 0–100 scale — the results of our own calculation. The underlying figures the scores are derived from (prices, turnover, exchange index levels) are not part of them.
Method versions
Each version of the method is described on its own page, and that page does not change. If the calculation changes, a new version gets its own page and this one stays at its address.
The indicator reflects market statistics and does not constitute individual investment advice.