How FCVI works
A multi-currency FX stress and implied-vol composite — context for sizing, not trade signals.
FCVI-RV and FCVI-IV
FCVI-RV uses realized volatility from historical price data (Duka). FCVI-IV uses implied volatility from options surfaces (Saxo). Together they describe whether FX vol is rich or cheap versus recent realized moves.
Daily gate
Each day the pipeline computes currency-level z-scores and ranks, then maps them into a
regime from CALM through STRESS. The gate exports size_multiplier and
whether new risk episodes are advisable — useful for discretionary discipline and for algo risk
budgets.
Who it is for
- Discretionary FX — quick “can I press today?” scan before the session.
- Prop traders — vol context during eval and funded phases.
- Mechanical / algo — same-day JSON via API waitlist (post-beta).