St. Louis Fed publishes a Financial Stress index. I've become familiar with
this blog.
It indicates the stress in financial institutions. I though you might be interested. I now try to keep an eye on this. Updated weekly (a lag of 1 week)
http://research.stlouisfed.org/fred2/series/STLFSIThe
author of blog Jeff Miller says:
"This is an excellent tool for managing risk objectively, and it has suggested the need for more caution. Before implementing this indicator our team did extensive research, discovering a "warning range" that deserves respect. We identified a reading of 1.1 or higher as a place to consider reducing positions."
Comments
http://www.marketwatch.com/investing/index/vix
VIX is obviously reactive but values are daily but very volatile.
STLFSI is weekly with a one week lag and less volatile.
The author has identified STLFSI value of 1.1 as a point of concern. Some people use VIX value of 25 as a similar measure but daily volatility of VIX may make it more difficult.
By the way, when does STLFSI publish their later data?
thanks
The blogger professor has identified a reading of 1.1