![]() Junk Bond Demand: measured by the difference in the yield spread between junk bonds and investment grade bonds.Safe Haven Demand: measured by the difference in 20-day stock and bond returns. ![]() Market Volatility: as defined by the CBOE'S VIX Index on a 50-day Moving average basis.Put/Call Ratio: using a 5-day average of the CBOE's total Put/Call ratio.Stock Price Breadth: measured by trading volumes of rising stocks relative to declining stocks on the NYSE, as defined by the McClellan Volume Summation Index.Stock Price Strength: measured by the number of stocks on the New York Stock Exchange (NYSE) hitting 52-week highs relative to those hitting 52-week lows.Market Momentum: measured in the performance of the S&P 500 Index relative to its 125-day average.The following seven inputs deliver a result between 0 (extreme fear or bearish sentiment) and 100 (extreme greed or bullish sentiment).Īll of the input factors are all taken in equal weights and are defined as follows: The stock market Fear and Greed Index has a relatively complex formulation to calculate whether bullish or bearish sentiment is present in the market.
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