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).

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

How to Deploy Flash Crash Index?

Our daily estimates of downward volatility are immediately accessible:

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

Features and Benefits

Risk Arbitrage

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

Sell the instrument in the first ½ hour of the trading day (9:30 – 10 AM),
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.