Methodology: US market fear and greed index
Version 2
What the indicator shows
Sentiment in the US 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 S&P 500, the VIX, Treasuries and corporate bonds, equity options and US stocks
- Updates
- Once a day, after the market closes
Components
| Component | What it measures | How it is mapped to the 0–100 scale | Direction | Weight, % |
|---|---|---|---|---|
| Market momentum | The S&P 500's deviation from its 125-day moving average | A linear scale: a value of −10 gives 0 and a value of 10 gives 100; beyond those limits the score stays at the end of the scale. | A rise in the measure moves the index towards greed | 14.3 |
| Market breadth | The share of stocks trading above their 200-day moving average | A linear scale: a value of 0 gives 0 and a value of 1 gives 100; beyond those limits the score stays at the end of the scale. | A rise in the measure moves the index towards greed | 14.3 |
| 52-week highs and lows | New 52-week highs as a share of all new 52-week extremes | A linear scale: a value of 0 gives 0 and a value of 1 gives 100; beyond those limits the score stays at the end of the scale. | A rise in the measure moves the index towards greed | 14.3 |
| Market volatility | The VIX volatility index | A linear scale: a value of 40 gives 0 and a value of 10 gives 100; beyond those limits the score stays at the end of the scale. | A rise in the measure moves the index towards greed | 14.3 |
| Safe haven demand | Stock returns minus long-dated Treasury returns over 20 days | A linear scale: a value of −10 gives 0 and a value of 10 gives 100; beyond those limits the score stays at the end of the scale. | A rise in the measure moves the index towards greed | 14.3 |
| Put and call options | The ratio of put volume to call volume in equity options, 5-day average | A linear scale: a value of 0.90 gives 0 and a value of 0.30 gives 100; beyond those limits the score stays at the end of the scale. | A rise in the measure moves the index towards greed | 14.3 |
| Junk bond demand | High-yield bond returns minus investment-grade bond returns over 20 days | A linear scale: a value of −3 gives 0 and a value of 3 gives 100; beyond those limits the score stays at the end of the scale. | 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 4 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 to keep in mind
In composition the index is close to CNN's Fear & Greed Index — the same seven sides of the market — but it is calculated from our data and by our rules, so the values of the two indices differ.
Under this version of the methodology the index has been calculated daily since 2 October 2026. Values for earlier dates were reconstructed with the same rules from historical data; each date is calculated only from trading days up to and including it.
The put/call ratio enters with a lag of one trading day: the day's statistics are published after the index is calculated. Demand for high-yield bonds is measured from the prices of exchange-traded funds rather than from the yield spread of the bonds themselves.
Market breadth and 52-week highs and lows for past years are based on the stocks whose history we hold. Stocks delisted before our records begin are not included, so the share of rising stocks in past periods may be slightly overstated.
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.