What FCVI measures
FCVI combines realized volatility (RV) from historical FX price data with implied volatility (IV) from options surfaces to describe whether FX vol is relatively calm or stressed across major currencies.
Daily gate (regime)
Each day the pipeline computes currency-level z-scores and ranks, then maps them into a regime (e.g. CALM → ELEVATED → STRESS). The gate exports:
- Regime label — overall stress bucket
- Size multiplier — suggested scaling context (not a trade size mandate)
- Allow new risk — whether conditions suggest caution on adding new risk
- Reasons — short list of what triggered the regime
Data sources
- RV: historical tick/bar data (Duka pipeline)
- IV: broker options surface (Saxo; simulation or delays may apply during beta)
Update schedule
Batch refresh after the daily snapshot — typically end of FX day (CET). Check the as-of timestamp on the dashboard and status page.
Limitations (read before trading)
- Short IV history reduces confidence — history charts unlock after sufficient snapshot days
- IV may be simulated or delayed depending on data availability
- FCVI describes conditions, not trade direction
- Past regimes do not predict future returns
Who it is for
- Discretionary FX — daily “can I add risk today?” scan
- Prop traders — vol context during eval/funded phases
- Algo / mechanical — future API for machine-readable gate JSON (waitlist)
Open FCVI dashboard · How it works (on FCVI site)
Last updated: May 2026. Methodology may change; material changes will be noted in a changelog.