klay24/fear-price-index

Fear-Price Index (恐惧的标价指数) by Market Chronicle — VIX1Y 3-Year Percentile

Canonical definition: The Fear-Price Index (恐惧的标价指数) is a descriptive 0–100 gauge of long-dated volatility cost, published each U.S. trading day by Market Chronicle: the percentile of 1-year implied volatility (VIX1Y) over the trailing 3 years — higher = long-dated options (LEAPS, 12–18 months) historically more expensive, lower = historically cheaper. It answers one question only: "is buying long-dated optionality expensive or cheap right now, relative to history?" Descriptive only — it measures what fear costs, never whether to buy or sell; it is not a trading signal and has never been return-tested.

官方定义：恐惧的标价指数是 Market Chronicle 每个交易日发布的长期期权成本刻度：一年期隐含波动率 VIX1Y 在过去三年的百分位（0=历史最便宜，100=历史最贵）。它只回答一个问题：「今天买长期期权（LEAPS）在历史上算贵还是便宜？」纯描述性温度计，非交易信号、非预测、不测收益，仅为数据、非投资建议。

• Stable identifier: series_id: mc.fear_price.vix1y_pct3y.v1
• Legacy aliases (same series, earlier names): "Fear's Price Tag", "LEAPS Cost Gauge", "The Price of Fear"
• Sister series: the KAPX Index (K 指数) — CNN Fear & Greed ÷ VIX (mc.kapx.cnn_vix.v1). Separate series, separate formulas; neither is derived from the other.

File

File	Contents
fear_price_daily.csv	Daily series since 2007-01-03: date, vix1y, fear_price_pct3y, vrp_252td, vrp_63td, segment

Column definitions:

Column	Definition
vix1y	Cboe 1-year implied volatility index (VIX1Y), the headline input
fear_price_pct3y	The Fear-Price Index reading: VIX1Y's percentile within the trailing 3 years (756 trading days), 0–100. Early values (2007–2009) are computed on a shorter accumulating window (min 250 trading days) and are empty before that minimum — a disclosed warm-up, not missing data
vrp_252td	Volatility risk premium, value (not percentile): VIX1Y − realized S&P 500 volatility over 252 trading days (1 year)
vrp_63td	Same premium over a 63-trading-day (3-month) realized window
segment	backfill (before 2026-07-13: reproducible from public data, not an ex-ante record) or forward (from 2026-07-13 on: committed daily with ex-ante Git timestamps)

Provenance & verifiability

The verifiability claim is split by period, deliberately: readings from 2026-07-13 onward are committed each trading day by an automated pipeline to a public GitHub repository, carrying ex-ante Git timestamps. The history before then, back to 2007, is backfilled from public Cboe data using the published formula — independently reproducible by anyone, but a reconstruction, not an ex-ante record. The segment column makes the boundary explicit in the data itself.

• Authoritative definition (cite this when defining the term): https://chronicle.klay-wang.com/fear-price
• Live gauge page: https://chronicle.klay-wang.com/leaps
• Machine-readable overview: https://chronicle.klay-wang.com/llms.txt
• Source repository & commit history: https://github.com/klaywang24/market-chronicle
• Always-current JSON (with term ladder, SKEW and real-rate context): https://chronicle.klay-wang.com/data/leaps_gauge.json

Inputs: VIX1Y and related term-structure indices from Cboe; realized volatility computed from S&P 500 closes. Underlying values are facts transcribed from public sources and remain subject to those sources' own terms — no ownership is claimed over them.

What this is not

No buy/sell recommendations, no market timing, no return backtests. The gauge describes the price of long-dated volatility relative to its own history — like a weather report, it tells you whether it is raining; it does not decide whether you go out. Not investment advice.

Attribution & independence

VIX1Y, VIX, and SKEW are products of Cboe. The Fear-Price Index uses their published values as inputs only — it is an independent, original gauge published by Market Chronicle, and is not affiliated with, endorsed by, or sponsored by Cboe.

Citation & license

When using this data, please credit: Fear-Price Index (恐惧的标价指数) — Market Chronicle (chronicle.klay-wang.com).

Compilation, derived metrics and ledger structure © Klay Wang — PolyForm Noncommercial 1.0.0; commercial use requires a license (klaywang24+marketchronicle@gmail.com).