alphagbm-fear-score

AlphaGBM FearScore

A weighted composite panic gauge, per ticker. Reconstructs the FearDesk framework in one API call: six orthogonal fear signals, each scored 0–100, then combined with fixed weights into a single number. Score ≥ 60 is the historical trigger for Bull Put Spread entries.

Scoring Weights

Indicator	Weight	Source
VIX level	20%	Global fear floor (market-wide)
IV Rank	25%	Per-ticker option premium expensiveness
RSI-14	15%	Oversold intensity
Volume anomaly	15%	Options or stock volume spike vs 5-day avg
Put/Call ratio	15%	Bearish positioning skew
Consecutive down days	10%	Selloff persistence

Each indicator has its own 0–100 sub-score with thresholds tuned so extreme readings contribute most. Missing inputs fall back to neutral values (and are flagged in components.*.fallback), so the endpoint never 500s on partial data.

Why It Exists

Most fear gauges are either VIX-only (miss per-ticker divergence) or opaque ("sentiment index: 72"). This breaks down exactly what drove the score so you can decide whether to trust it.

Backtest evidence: Across 146 live Bull Put Spread trades, entries at FearScore ≥ 60 delivered ~10.8% annualized ROC vs ~3.5% for unconditional entries — roughly 3× the alpha from a single filter. Use this as the market-timing layer on any premium-selling strategy.

How to Use

Input: A ticker symbol.

Output:

• fear_score — weighted total 0-100
• signal — boolean, true when fear_score ≥ threshold (default 60)
• threshold — current trigger value
• confidence — 0-1, fraction of the 6 indicators that used real (non-fallback) data
• components.{vix,iv_rank,rsi,volume_anomaly,pc_ratio,consecutive_down}:
  • value — raw input
  • score — 0-100 per-indicator score
  • weight — contribution weight
  • fallback — true if neutral default was used

Example Queries:

• fear score QQQ — Full breakdown of the 6 indicators for QQQ
• is NVDA oversold right now — RSI + FearScore composite
• BPS signal SPY — Check if entry threshold is hit
• when should I sell put AAPL — Timing via FearScore ≥ 60 rule
• how panicked is TSLA today — Per-ticker panic index with component breakdown
• why is QQQ fear score low — Component-by-component explanation

Mock Data

Mock data in mock-data/fear-score/ — example responses at neutral / elevated / signal-triggered readings.

API Endpoint

GET /api/options/fear-score?ticker={SYMBOL}

Query params:

• ticker (required) — stock symbol (US / HK / CN supported if whitelisted)

Response shape:

{
  "success": true,
  "ticker": "QQQ",
  "fear_score": 68.2,
  "signal": true,
  "threshold": 60,
  "confidence": 1.0,
  "components": {
    "vix": {"value": 28.4, "score": 82, "weight": 0.20, "fallback": false},
    "iv_rank": {"value": 78, "score": 78, "weight": 0.25, "fallback": false},
    "rsi": {"value": 24.1, "score": 88, "weight": 0.15, "fallback": false},
    "volume_anomaly": {"value": 2.3, "score": 72, "weight": 0.15, "fallback": false},
    "pc_ratio": {"value": 1.6, "score": 80, "weight": 0.15, "fallback": false},
    "consecutive_down": {"value": 3, "score": 60, "weight": 0.10, "fallback": false}
  },
  "timestamp": "2026-04-24T08:00:00"
}

Pricing: 1 option-analysis credit per call; per-ticker 5-min cache (cache hits free).

Related Skills

Skill	Relevance
alphagbm-vix-status	Market-wide version of the VIX input
alphagbm-iv-rank	IV Rank (25% of the composite) standalone
alphagbm-options-strategy	BPS/Sell-Put strategies that should respect the ≥60 signal

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