Forced selling is mechanical. The Crash Risk Index reads the regime that triggers it.
CRI is Radon's Crash Risk Index: a 0 to 100 crash regime read built from four components, each scored 0 to 25: VIX, VVIX, implied correlation, and SPX trend against its 100-day moving average. The inputs, the weights, and the thresholds are published here in full.
Four measurements, each scored 0 to 25.
The index exists because roughly $400 billion of systematic CTA money targets a fixed portfolio volatility: when realized vol doubles, those funds must halve their equity exposure, and the selling that follows is mechanical, not discretionary. CRI reads the four conditions that regime converges on and sums them into a single 0 to 100 index.
The first component reads the level of the VIX on a linear band from 15 to 40, plus its 5-day rate of change, scored from flat to a 60 percent rise. Level and speed are scored separately because they say different things: a high VIX is a stressed regime, and a fast-rising VIX is a repricing under way. Vol-targeting funds key their exposure off this complex, so when it reprices, their selling math changes with it.
VVIX is the volatility of the VIX itself: what the market pays for options on volatility. The second component scores the VVIX level on a linear band from 90 to 140, plus the VVIX to VIX ratio, where a ratio above 8 reads as demand for convexity on vol itself. A rising VVIX over a quiet VIX means the vol complex is being repriced at the second order, before the front number moves.
COR1M is the Cboe 1-Month Implied Correlation Index: how much the options market expects the top 50 S&P names to move together. The third component scores the level on a linear band from 25 to 70, plus the 5-session change, so a spike registers even from a low base. A correlation spike means diversification is breaking down: the market is pricing the index as one trade.
The fourth component is trend: SPX distance below its 100-day moving average, scored linearly from zero at the average to the full 25 points at 10 percent below. Above the average it scores nothing. This is the component trend-following CTAs act on directly: below the 100-day, systematic trend models flip from long to short, and the flow that follows is mechanical.
Nothing in the composite is withheld. The four components carry equal 25-point weights, the thresholds are hand-set linear bands, and the scores sum to the 0 to 100 index. The claim is not a secret formula. The claim is that these four conditions are the ones that force systematic selling, and that reading them together, level and speed at once, catches a regime forming before any single number looks alarming on its own.
| Component | Weight | Inputs | Read when it scores |
|---|---|---|---|
| VIX | 0 to 25 | Level plus 5-day rate of change | The volatility complex is repricing |
| VVIX | 0 to 25 | Level plus the VVIX to VIX ratio | Convexity on vol itself is being bid |
| Correlation | 0 to 25 | COR1M level plus its 5-session change | Diversification is breaking down |
| Momentum | 0 to 25 | SPX distance below its 100-day moving average | Trend followers flip from long to short |
A regime read, not a prediction.
CRI outputs a regime state, not a forecast. The distinction is the whole design. A forecast names a direction and implies a date. A regime state describes the present: what the four components read now, and how far that reading sits from its baseline. The score maps to four published bands, from low, a normal regime with no systematic risk, through elevated and high, to critical, an active crash regime.
The scale is deliberately unemotional. Radon's alert language says “Structural event detected.” It does not say “crash incoming,” because the instrument does not know that, and pretending otherwise would be a claim the data cannot carry. An elevated CRI band means one or more components is stressed; a high band means several have triggered at once and mechanical CTA selling is likely close. Nothing in the index knows the date, and elevated readings can recede without a drawdown; vol spikes and then relaxes. What the band does is change behavior. It changes which signals the terminal trusts, and it changes what a hedge costs relative to what it covers.
| Score | Band | Meaning |
|---|---|---|
| 0 to 24 | Low | Normal regime, no systematic risk |
| 25 to 49 | Elevated | One or more components stressed, monitor |
| 50 to 74 | High | Multiple components triggered, CTA selling likely imminent |
| 75 to 100 | Critical | Full crash regime, active systematic deleveraging |
What the terminal does with an elevated read.
CRI is not a chart to admire. The terminal uses it in two places, and both are mechanical.
The first is corroboration. Radon's method runs every candidate trade through seven milestones, and the corroboration milestone cross-checks the flow read against the four regime models. The rule is written into the milestone: a signal fighting the regime is downgraded, not ignored. A bullish dark-pool accumulation read arriving while CRI sits in an elevated band keeps its evidence but loses conviction; agreement between flow and regime raises it. The full sequence, and where corroboration sits in the method, is documented in the flow dossier.
The second is the hedge. The strategy registry carries a play named Crash Hedge: when CRI enters the elevated band, layer cheap tail protection through the put debit spread, from the catalog. The structure is defined-risk by construction: the maximum loss is the debit paid, known at submit. The registry sets the play's convexity floor at 5.0 times, the highest floor in the registry, because tail protection is only worth holding when its payoff is disproportionate to its cost. The logic is the insurance buyer's: buy protection while the surface still prices it as cheap relative to what it covers, which is precisely the window before the steepening finishes.
CRI does not act alone. It is one of four regime models, alongside GEX for dealer positioning, VCG-R for panic in the volatility-credit spread, and GRG for gamma rotation. The four are deliberately orthogonal. A tail-risk read that agrees with a widening volatility-credit gap is a different situation from a tail-risk read that stands alone, and the terminal treats them differently.
A level is not a regime.
The VIX is a single number: an index of 30-day implied volatility on the S&P 500. It answers one question well: what does near-the-money protection cost for the next month.
CRI answers a different question. The VIX enters it as one component of four, scored for level and for speed, but the index also reads VVIX, implied correlation, and trend. A vol level can stay moderate while implied correlation spikes and SPX slides below its 100-day average. In that configuration the VIX reads calm and CRI does not. The reverse also happens: an elevated vol level while correlation stays low and the index holds its trend, where the market prices general uncertainty rather than a crash regime.
None of this makes CRI a better number than the VIX. They are different instruments measuring different things, and the honest claim is narrower: when they disagree, the disagreement is information about which kind of stress the market is pricing. Radon reads both; it acts on the regime.
Asked about the index.
The questions traders bring to the Crash Risk Index, answered plainly: what it reads, what it is not, and what an elevated band actually changes.
Is CRI the VIX?
No, although the VIX is one of its four components. The VIX is a single number: an index of 30-day implied volatility on the S&P 500. CRI composites four scores: VIX level and rate of change, VVIX and the VVIX to VIX ratio, COR1M implied correlation, and SPX distance from its 100-day moving average. A moderate VIX with correlation spiking and SPX below trend still moves the index. The two can disagree, and the disagreement is itself information.
What inputs does CRI use?
Four components, each scored 0 to 25 on published linear bands: VIX, the level plus its 5-day rate of change; VVIX, the level plus the VVIX to VIX ratio; correlation, the Cboe 1-month implied correlation index COR1M plus its 5-session change; and momentum, SPX distance below its 100-day moving average. The four scores sum to the 0 to 100 index. The inputs, the equal weights, and the thresholds are all published.
Does an elevated CRI mean sell everything?
No. An elevated band is a regime state, not a forecast of a date. In the published bands, 25 to 49 means one or more components is stressed and worth monitoring. Inside Radon's method it does two things: at the corroboration milestone it downgrades bullish flow signals that fight the regime, and in the strategy registry it prices the Crash Hedge play, defined-risk tail protection through a put debit spread when CRI enters the elevated band.
Where can I see CRI?
In the free demo at demo.radon.run. CRI renders in the regime view alongside the other three regime models: GEX for dealer positioning, VCG-R for the volatility-credit gap, and GRG for gamma rotation.
Run it against the live tape.
The demo instance runs the same regime models on seeded data. Read the CRI band yourself before you take anyone's word for it, including ours.