Flash Crash Index

The Flash Crash Index pinpoints the heightened possibility of downward
volatility in a given electronically-traded financial instrument, including
equities, bonds, currencies and commodities.

What is a Flash Crash?

A Flash Crash is a low intraday return coupled with a high intraday realized volatility.

Most notable Flash Crashes were May 6, 2009, and October 15, 2014 (fixed income). However, individual instrument flash crashes occur every day, and yes, AbleMarkets is good at predicting them using our expertise in Big Data and Market Microstructure.

For detailed case studies, research and analysis, please refer to  Real-Time Risk by Aldridge and Krawciw (Wiley 2017).


“Real-Time Risk” by I. Aldridge and S. Krawciw

Wouldn’t viewing aggregate institutional flow benefit your market actions?

Multiple Asset Classes

Uncorrelated Data

5+ Years Data History

$200B+ Volume Traded with AbleMarkets Indices

How to Deploy Flash Crash Index?

Our daily estimates of downward volatility are immediately accessible:

  1. Sign the agreement.
  2. Receive daily FCI alerts in your preferred format
  3. Use the factors to recalibrate your exposures to downward volatility
  4. Adjust your trading schedule accordingly

Features and Benefits

Risk Arbitrage

High-capacity intraday
arbitrage: on days with High or Moderate Index value:

  1. Sell the instrument in the first ½ hour of the trading day (9:30 – 10 AM),
  2. buy back for the remainder of the day using VWAP.

Generates 27% per annum

Execution

Significantly outperform VWAP when selling the positions.
When the Flash Crash Predictor value, EFCI, is MODERATE or HIGH (EFCI >= 50%), an execution trader can achieve higher returns by concentrating his sell orders in the first half hour of the trading day, from 9:30 to 10:00 AM.

Options

When a flash crash occurs, the put options gain considerable value. Since the price of the put option increases with both the volatility of the underlying and the drop in price of the underlying, the put options can be bought at the market open on the day the FCI is reported to be high and sold the same trading day or the next trading day.

Intraday, 1 Index
$100 per instrument name per month
Real-time and near-real-time updates throughout each trading day
Reported intraday from 8:30 AM ET to 4:00 PM ET
Alerts for immediately-actionable activity
Receive data on-screen, via FTP or HTML 5
Daily, 1 Index
$35 per instrument name per month
Summaries and details of daily activity for the previous trading day
Reported immediately after market close
Timely for next day’s portfolio reallocation
Receive data on-screen, via FTP or HTML 5
Monthly, 1 Index
$10 per instrument name per month
Summaries and details of monthly activity for the previous month
Reported before the first trading day of each month
Risk factors for portfolio and risk management
Receive data on-screen, via FTP or HTML 5

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Outperform in 3 Easy Steps

Our factor-based research is easy to deploy and requires zero maintenance:
1.Sign the agreement
2.Receive intraday factors in your preferred format
3.Use the factors to recalibrate your algorithms to generate extra profitability.