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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.
The mapping to the 0–100 scale is the same for every component. The rank of the current value among its own values in a window of 504 observations (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 |
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.
| 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”.
Version 1.1.0 measures price strength and breadth only from trades in the main trading mode. In version 1.0.0, on days when a stock had no such trades, the price of an odd-lot trade entered the calculation. The composition of the index, the windows and the normalisation rules are unchanged.
The series includes the results of the additional weekend trading sessions. Options do not trade in those sessions, so the value is based on six of the seven components; momentum and safe-haven demand use the all-sessions MOEX Russia Index, and volatility is measured from the realised swings of that index.
The day's result appears when trading closes — from the last calculation of the session — and is marked as preliminary. The final value is calculated the next morning from the end-of-day data and replaces the preliminary one.
Values for past trading days have been recalculated in full with this version. The results of weekend sessions closed before the change are carried over as they were calculated on the day of closing. The methodology of version 1.0.0 remains available at its own address.
Recalculation against version 1.0.0: days with a changed value — 2,979 of 5,352; days with a changed zone — 67; largest shift on the 0 to 100 scale — 13.0.
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.
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.