Alternative Data
Alternative data refers to non-traditional data that can provide unique insights into investment opportunities. These data sets are often used by hedge fund managers and other institutional investors.
Data updates at 6PM EST
This metric measures the trading that occurs off exchange (i.e. on Dark Pools) compared to total trading volume (Dark Pool Volume + Lit Pool (On Exchange) Volume). This metric is a key input in the calculation of the SqueezeMetrics Dark Index.
The Dark Index is the percentage of Dark Pool buying as a share of total volume, price weighted with S&P500 constituents on any given day. This metric was created by the research platform SqueezeMetrics.
Naive Gamma Exposure represents the sum of call gamma across all S&P500 stocks and subtracts the sum equivalent put gamma to derive an index-constituent metric. This indicator was created by the research platform SqueezeMetrics.
The SPX GEX is a Naive Gamma Exposure measured using SPX options. This indicator was created by SqueezeMetrics.
GXV is a realized volatility forecast based on the SqueezeMetrics SPX GEX indicator. Traditionally, SqueezeMetrics has used this indicator to compare to the $VIX to track differences in expectations of future realized volatility. Ie to answer the question, "is the $VIX over priced or underpriced".
The GEXDIX Rank 50+ indicator takes a 50 day percentage rank of the GEX Index by Squeezemetrics and a a 50 day percentage rank of the DIX Index by Squeezemetrics and adds the two together. The bounds of this indicator can be thought of as 0 to 200. A low value of this indicator suggests both GEX and DIX are low relative to the past 50 trading days, while a high value of this indicator suggests both GEX and DIX are high relative to the past 50 trading days.
This metric accounts for search interest for a given term, performed in the United States as measured by Google. A value of 100 represents the 100 percentile, and corresponds to the peak popularity for the term. A value of 50 means that the term is half as popular. A score of 0 means there was not enough data for this term.
Last modified 9mo ago