Markets run on emotions as much as on earnings and rates. When everyone is scared, stocks get dumped below reason; when everyone feels brave, they get bought right at the top. This index boils the mood of the Russian market down to one number from 0 to 100: near zero means panic, near a hundred means euphoria.
The number comes from seven separate readings on the market: how far the MOEX index has drifted from its six-month average, how many stocks are hitting fresh yearly highs versus lows, where the money is actually flowing — into rising names or falling ones, what options traders are bracing for, how nervous the market expects the near future to be, whether investors are hiding out in safe government bonds, and how willing they are to take on corporate debt risk. Each reading is judged against the market's own last two years, and the final number is just the average of all seven.
If a day comes up short on signals (fewer than five of the seven), we simply don't publish a value for it — we won't fake a "neutral 50" out of thin air. History goes back to 2003 (as far as the data allows), and a fresh number shows up every morning after the close.
Methodology in detail
What each of the seven components means:
- Market momentum — How far the MOEX index has drifted above or below its own six-month average. A strong run above normal signals greed, a slump below signals fear.
- Stock price strength — How many stocks are hitting fresh yearly highs versus fresh yearly lows. More highs than lows means the market feels confident.
- Stock price breadth — Where the money is actually flowing — into stocks that are rising or ones that are falling. Heavy volume into gainers signals greed.
- Put and call options — What options traders are bracing for — buying more downside insurance (puts) or betting more on gains (calls).
- Market volatility — How turbulent the market expects the near future to be. High expected volatility usually means anxiety, low means calm.
- Safe haven demand — Whether investors are fleeing stocks for safe government bonds. A flight to safety signals fear.
- Credit risk appetite — Whether investors are willing to hold riskier corporate debt instead of safe government bonds. Willingness to take on risk signals greed.
Normalization: rolling percentile rank (504 trading-day window, at least 252 observations, Hazen tie correction). Inverse components (put/call, volatility): 100 − percentile.
Zones: 0–25 extreme fear, 25–45 fear, 45–55 neutral, 55–75 greed, 75–100 extreme greed. Quorum: at least 5 of 7 components, otherwise no value is published for the date.
Universe for strength and breadth: point-in-time MOEXBMI broad market index composition (snapshot at the first trading day of the month), split artifacts excluded. Data: Moscow Exchange (indices, candles, FORTS options).
The index reflects historical market statistics and does not constitute individual investment advice.
