Tremor Watch

This week's Antevo Tremor Index, for the week that ended on Friday: the share of market pairs breaking (correlation two standard deviations from its own previous two years), how many times a normal Friday that is (the median week since 2001), its status (Calm, Elevated, High or Severe: the 75th, 90th and 97th percentiles since 2001), its rank among every Friday since 2001, and the split into links strengthening (moving closer) and weakening (coming apart). With it: each of the seven families against its own normal Friday, last week, the worst week on record, the value as first published, and as context realized volatility as a multiple of its normal (1.0) with its percentile since 2001.

{
  "type": "object",
  "properties": {},
  "title": "get_tremor_indexArguments"
}

{
  "type": "object",
  "title": "get_tremor_indexDictOutput"
}

The Antevo Tremor Index over time, oldest first: each reading's week, level, how many times a normal Friday it was, its status (Calm, Elevated, High or Severe) and the split into strengthening and weakening, with the peak of the period. weeks is how many Fridays, 1 to 1600 (default 52; the record starts in 1997); until (YYYY-MM-DD) ends the period in that week instead of the latest, so weeks=78 with until=2009-06-30 is the 2008 crisis. every is week (default), month or quarter, one reading per period (its last Friday); more than 160 readings step up to months, then quarters.

{
  "type": "object",
  "properties": {
    "weeks": {
      "default": 52,
      "title": "Weeks",
      "type": "integer"
    },
    "until": {
      "default": null,
      "title": "Until",
      "type": "string"
    },
    "every": {
      "default": "week",
      "title": "Every",
      "type": "string"
    }
  },
  "title": "get_tremor_historyArguments"
}

{
  "type": "object",
  "title": "get_tremor_historyDictOutput"
}

New breaks in the last four weeks of the Antevo Tremor Index, newest first and most unusual first: pairs whose correlation crossed two standard deviations from its own previous two years for the first time after thirteen weeks without a break the same way. Each with its week, the two markets, the family, the direction (strengthening: moving closer; weakening: coming apart), z and the correlation. family narrows to one of Equity regions, US sectors, Credit, Bonds, Commodities, FX and crypto, Volatility; direction to strengthening or weakening.

{
  "type": "object",
  "properties": {
    "family": {
      "default": null,
      "title": "Family",
      "type": "string"
    },
    "direction": {
      "default": null,
      "title": "Direction",
      "type": "string"
    }
  },
  "title": "get_tremor_breaksArguments"
}

{
  "type": "object",
  "title": "get_tremor_breaksDictOutput"
}

The pairs of one week of the Antevo Tremor Index, most unusual first: the two markets, the family, the correlation of weekly returns weighted to the last few months (half-life nine weeks), z against the pair's own previous two years (positive: moving closer than usual; negative: coming apart), the direction (strengthening, weakening, or holding below two standard deviations) and the plain 26- and 52-week correlations. week is any date (YYYY-MM-DD) in the week wanted, default the latest; breaking_only (default true) keeps pairs at two standard deviations or more; family narrows to one family; market keeps pairs naming that market (for example Gold, S&P 500, Bitcoin); limit 1 to 200 (default 25).

{
  "type": "object",
  "properties": {
    "week": {
      "default": null,
      "title": "Week",
      "type": "string"
    },
    "breaking_only": {
      "default": true,
      "title": "Breaking Only",
      "type": "boolean"
    },
    "family": {
      "default": null,
      "title": "Family",
      "type": "string"
    },
    "market": {
      "default": null,
      "title": "Market",
      "type": "string"
    },
    "limit": {
      "default": 25,
      "title": "Limit",
      "type": "integer"
    }
  },
  "title": "get_tremor_pairsArguments"
}

{
  "type": "object",
  "title": "get_tremor_pairsDictOutput"
}