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 Sources: FINRA, Google Trends, SqueezeMetrics

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Dark Pools & Gamma

Data updates at 6PM EST

Short Volume Ratio

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.

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.

Gamma Exposure

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.

(SPX GEX) Gamma Exposure

The SPX GEX is a Naive Gamma Exposure measured using SPX options. This indicator was created by SqueezeMetrics.

GXV (Gamma Volatility)

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".

GEXDIX Rank 50+

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.

Google Trends Data

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.