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| Driving distress | Score | Z | Δ 5d |
|---|---|---|---|
10Y Real Yield Rates & Curve | 98 | +2.12 | +2 |
Consumer Sentiment Sentiment & Macro | 95 | −1.68 | 0 |
CCC-BB OAS Diff Credit Spreads | 94 | +1.55 | -1 |
BTC Drawdown Crypto / BTC | 93 | — | -7 |
Financials / S&P 500 Intermarket Ratios | 93 | −1.44 | 0 |
ETH/BTC Ratio Crypto / BTC | 90 | −1.26 | -7 |
US Dollar (DXY) Safe Haven Flows | 87 | +1.13 | -8 |
Stablecoin Dominance Crypto / BTC | 87 | +1.12 | -11 |
BTC Price Crypto / BTC | 85 | −1.04 | -10 |
Total Crypto MCap Crypto / BTC | 84 | −1.00 | -11 |
| Holding up risk-on | Score | Z | Δ 5d |
|---|---|---|---|
Copper / Gold Intermarket Ratios | 0 | +2.77 | 0 |
High Beta / Low Vol Intermarket Ratios | 0 | +2.71 | -1 |
Recession Probability Rates & Curve | 0 | — | 0 |
S&P 500 Drawdown Equity Markets | 3 | — | -8 |
EM / US Equity Intermarket Ratios | 3 | +1.85 | -8 |
Small Cap / Large Cap Intermarket Ratios | 5 | +1.63 | -5 |
Junk Bonds / Govt Bonds Intermarket Ratios | 6 | +1.58 | 0 |
STL Financial Stress Rates & Curve | 9 | −1.33 | -24 |
HY OAS Credit Spreads | 10 | −1.29 | -6 |
Vol Risk Premium Volatility | 10 | −1.28 | -54 |
We implement a modern variant of the Hindenburg Omen rather than the literal 1995 classic specification. Trigger dates may differ from NYSE-only trackers (e.g. StockCharts) by days or weeks. This table documents every choice we make.
| Condition | Classic NYSE Omen | Our implementation |
|---|---|---|
| Universe | NYSE-listed issues only (~3,000) | NYSE + NASDAQ + AMEX combined (~6,800 common stocks) |
| NH / NL threshold | ≥ 2.2% of total issues | ≥ 2.2% of universe (6,800 denominator) |
| Minimum-issue floor | Smaller of NH/NL must be ≥ 75 | Not enforced |
| Trend filter | NYSE Composite 10-wk MA rising | SPY closing price > SPY 50-day SMA |
| McClellan Oscillator | Negative McClellan (variants use ratio-adjusted) | Negative raw McClellan = EMA19(net adv) − EMA39(net adv), unadjusted |
| ≤ ratio constraint | New highs ≤ 2× new lows | New highs ≤ 2× new lows (identical) |
| Cluster window | ~36 days (some variants use 30 trading days) | 30 trading days (matches modern variant) |
| Data source caveat | — | Raw exchange index NH/NL feeds (MAHN/MAHQ/MAHA) include all listed issues; the 6,800 denominator compensates against curated small/mid-cap-only universes used by some references. |
Sources: Jim Miekka's 1995 work as refined by Robert McHugh; StockCharts/ChartSchool reference; McClellan Financial Publications. Cross-asset confirmation pairs with the breadth signals, HYG/LQD credit spreads, VIX term structure, and cross-asset correlation panels elsewhere on this page.
| INDICATOR | VALUE | Z | SIGNAL | SCORE |
|---|---|---|---|---|
| VIX | 16.0 | −0.67 | FALLING | 25 |
| MOVE Index | 69.4 | −0.36 | FALLING | 36 |
| SKEW Index | 142.6 | −0.52 | RISING | 30 |
| VVIX | 87.5 | −1.25 | FALLING | 11 |
| VIX Term Structure | 0.83 | −0.79 | FALLING | 11 |
| Vol Risk Premium | 3.52 | −1.28 | FALLING | 10 |
VIX: implied 30d S&P vol (>20 elevated, >30 high fear). MOVE: bond-vol equivalent. VRP: implied minus realized — premium for hedging.
| SECTOR | SYMBOL | 1D | 5D | 20D | vs 50d | vs 200d | REGIME | DAYS | BREADTH | TREND |
|---|---|---|---|---|---|---|---|---|---|---|
| Technology | XLK | +3.78% | +6.10% | +6.32% | +9.6% | +27.4% | Strong | 59d | — | RISK-ON |
| Financials | XLF | +0.41% | +2.10% | +3.12% | +3.3% | +2.3% | Strong | 4d | — | RISK-ON |
| Energy | XLE | -3.48% | -3.21% | -6.62% | -3.9% | +6.3% | Weakening | 4d | — | RISK-OFF |
| Health Care | XLV | -0.60% | -1.09% | +2.00% | +3.5% | +1.3% | Strong | 10d | — | RISK-ON |
| Consumer Disc. | XLY | +1.69% | +2.33% | -0.51% | +0.4% | +0.9% | Strong | 1d | — | CHOP |
| Consumer Staples | XLP | -0.40% | +1.64% | +0.80% | +1.9% | +4.1% | Strong | 6d | — | CHOP |
| Utilities | XLU | +0.47% | +1.73% | -1.35% | -0.6% | +0.0% | Weakening | 1d | — | CHOP |
| Industrials | XLI | +1.42% | +1.75% | +4.02% | +3.2% | +8.5% | Strong | 4d | — | RISK-ON |
| Materials | XLB | +0.61% | +3.41% | +4.39% | +2.5% | +8.2% | Strong | 4d | — | RISK-ON |
| Real Estate | XLRE | -0.82% | +0.04% | +0.96% | +1.7% | +7.2% | Strong | 6d | — | CHOP |
| Communication Svc | XLC | +0.48% | +0.64% | -2.83% | -2.7% | -2.4% | Weak | 12d | — | RISK-OFF |
The Market Distress Score (0–100) aggregates 40+ indicators across 9 categories using a z-score percentile approach.
| Category | Weight | Key indicators |
|---|---|---|
| Volatility | 18% | VIX, MOVE, vol risk premium, VIX/VIX3M term structure (level-based), SKEW, VVIX |
| Credit | 18% | HY OAS, CCC−BB diff, HY−IG (scored); IG/BB/B/CCC display-only |
| Rates & Curve | 13% | 10Y-2Y & 10Y-3M (level-based: flat/inverted = stress), breakevens, real yields, STLFSI4, NFCI, recession prob; nominal 10Y display-only |
| Crypto / BTC | 12% | BTC z-score & drawdown, SMA distance, ETH/BTC, BTC/Gold, USDT.D, F&G |
| Equity | 10% | S&P 500, NASDAQ, Russell, XLF, EEM, drawdowns — blended fast (20d return z, dist from 20d high) + slow (1y level z) scoring |
| Breadth | 8% | S5TH, S5FI, NYMO, NYSI, TRIN (5d), PCC (5d) |
| Intermarket | 8% | Stock-bond corr 30d (level-based), HYG/TLT, Russell/SPX, SPHB/SPLV, XLY/XLP, Copper/Gold, Oil/Gold |
| Sentiment | 8% | UMich consumer, initial claims, CNN Fear & Greed (daily), AAII bull-bear + NAAIM exposure (weekly, level-scored) |
| Safe haven | 5% | Gold, DXY, AUD/JPY, Copper/Gold |
Data sources:FRED API (Treasury yields, credit spreads, financial stress, recession probability, sentiment, claims), Yahoo Finance (equity indices, sector ETFs, commodities, currencies, bond ETFs), TradingView via tvDatafeed (BTC, ETH, dominance, total mcap, gold reference; breadth indicators), alternative.me (Crypto Fear & Greed). Data refreshes every 15 minutes.