Five US financial stress indicators
When markets wobble, five indicators get quoted and they are built from completely different material: option prices, bank spreads, newspaper text and model residuals. Only some of them measure stress at all.
At a glance
| Measure | Latest | Period | Published by | Frequency |
|---|---|---|---|---|
| VIX | 14.21 | Sep 22, 2026 | Cboe | Daily |
| Chicago Fed NFCI | −0.56 | Sep 18, 2026 | Federal Reserve Bank of Chicago | Weekly |
| St. Louis Fed Financial Stress Index | −0.91 | Sep 18, 2026 | Federal Reserve Bank of St. Louis | Weekly |
| OFR Financial Stress Index | −2.66 Standard deviations | Sep 23, 2026 | Office of Financial Research, US Treasury | Daily |
| Economic Policy Uncertainty Index | 219.21 | Aug 2026 | Baker, Bloom and Davis | Monthly and daily |
| Geopolitical Risk Index | 117.92 | Aug 2026 | Caldara and Iacoviello (Federal Reserve Board) | Monthly and daily |
How each one is built
- VIX
- Method: Implied volatility of S&P 500 options over the next 30 days
- Covers: Equity market expectations only — not credit, not funding
- Released: Real time
- Chicago Fed NFCI
- Method: 105 measures of money, debt and equity markets and the banking system, standardised
- Covers: Broad: risk, credit and leverage. Zero = average conditions
- Released: Wednesday, for the prior week
- St. Louis Fed Financial Stress Index
- Method: 18 series — yields, spreads and volatility — reduced to one factor
- Covers: Zero = average; positive = above-average stress
- Released: Thursday
- OFR Financial Stress Index
- Method: 33 market variables across five categories and three regions
- Covers: Global, with a breakdown by risk category and by region
- Released: Next business day
- Economic Policy Uncertainty Index
- Method: Frequency of newspaper articles mentioning the economy, policy and uncertainty
- Covers: Policy uncertainty, not market stress — a different thing entirely
- Released: Monthly, early in the following month
- Geopolitical Risk Index
- Method: Share of newspaper articles about geopolitical tensions, back to 1900
- Covers: Global geopolitical risk, with a US-specific variant
- Released: Monthly
Prices, spreads and words
The VIX is a price, not a stress measure. It tells you what options cost, which rises with expected volatility in either direction. A market melting up can lift the VIX; a slow credit squeeze can leave it flat while funding markets seize.
The NFCI, the St. Louis index and the OFR index are constructed indexes, all scaled so that zero is the historical average and positive means tighter or more stressed than usual. Because they are standardised against their own history, a reading of +1 means "one standard deviation worse than normal" and nothing more absolute than that.
EPU and GPR are text measures. They count newspaper articles, so they rise when journalists write about uncertainty — which correlates with, but is not the same as, financial stress. They also inherit the biases of the newspapers sampled.
Which one to use
For funding and credit conditions — what actually transmits to the real economy — use the NFCI, and specifically its adjusted version, which strips out the part explained by the state of the business cycle.
For a daily read during an unfolding event, use the OFR index: it updates every business day and its category breakdown says whether the stress is in credit, funding, equity valuation or safe assets.
Use the VIX for equity risk appetite only, and EPU or GPR for narrative context. Neither text index should be used to claim that financial conditions tightened; they measure how much was written, not what was priced.
Frequently asked questions
- What does an NFCI reading of zero mean?
- Zero is the historical average of financial conditions since 1971. Positive values mean conditions are tighter than average, negative values looser than average.
- Is the VIX a measure of financial stress?
- Not directly. It measures expected S&P 500 volatility priced into options, which rises during equity turmoil but can stay low while credit or funding markets are under strain.
- What is the difference between the EPU index and a financial stress index?
- EPU counts newspaper articles about policy uncertainty. Financial stress indexes are built from market prices and spreads. They often move together but measure different things.
- Which stress indicator updates most frequently?
- The VIX is real time and the OFR index is daily. The Chicago and St. Louis Fed indexes are weekly.
