Macro Sensitivity Score

Overview

This pillar measures how sensitive an asset's price volatility is to key macroeconomic data releases, such as CPI or jobs reports. It helps traders identify assets prone to sharp, predictable swings around scheduled economic events.

What It Does

The Macro Sensitivity Score analyzes historical price action in the hours immediately following high-impact economic announcements. It isolates the volatility directly caused by the news and compares it to the asset's normal behavior. This produces a score that ranks assets by their reactivity to systematic, market-moving information.

Why It Matters

Assets with high macro sensitivity offer distinct trading opportunities, as their volatility is likely to spike on specific, known dates. This pillar provides a data-driven edge for timing trades, pricing options, or hedging portfolios against event-driven risk.

How It Works

First, we track a calendar of significant economic releases like FOMC meetings and NFP reports. Next, we measure the asset's realized volatility in the 24-hour window after each event. This 'event volatility' is then compared against the asset's trailing 30-day average volatility to compute the final sensitivity score.

Methodology

The score is calculated using an event study methodology. We compute the asset's intraday realized volatility on event days (e.g., CPI, NFP, FOMC) and on non-event days over a 180-day lookback period. The Macro Sensitivity Score is the ratio of the average event-day volatility to the average non-event-day volatility.

Edge & Advantage

This pillar moves beyond simply knowing an event is happening; it tells you which specific assets are most likely to overreact, creating opportunities for volatility trades like straddles.

Key Indicators

• Macro Event Beta

  high

  A direct measure of how much an asset's price moves in response to a standardized macroeconomic surprise.

• Beta to VIX

  medium

  Indicates how the asset's volatility correlates with the market's overall fear gauge, the VIX index.

• Systematic Variance Ratio

  low

  The percentage of an asset's price movement that can be explained by broad market factors versus company-specific news.

Data Sources

• Bureau of Labor Statistics (BLS)

  Provides official release dates and data for Consumer Price Index (CPI) and Non-Farm Payrolls (NFP).

• Federal Reserve (FOMC)

  Source for Federal Open Market Committee meeting schedules, statements, and interest rate decisions.

• Financial Data Provider

  Source for historical asset price data used to calculate volatility (e.g., Polygon.io, Bloomberg).

Example Questions This Pillar Answers

• → Will the S&P 500 move more than 1.5% on the day of the next CPI release?
• → Will Bitcoin's 7-day realized volatility exceed 80% following the next FOMC meeting?
• → Which of these assets (AAPL, GOOG, TSLA) will have the largest price swing after the jobs report?

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