Methodology
TodayHere is how the numbers are made. Every reading in PatternVault is a straight measurement, worked out once a day after the US close from primary sources — Cboe index data and exchange prices, nothing second-hand. The same numbers go to everyone: nothing is personalised, and nothing changes based on who is reading.
What “Days That Looked Like Today” is
We take today's combined conditions — the fear-gauge structure and how much stocks are herding (technically, the joint volatility-structure and implied-correlation regime) — and find every earlier session since 2010 that looked the same, as long as it has a full 21-session window afterwards to measure against. Then we show what those matching days went on to do over the next 21 sessions, from the typical outcome through to the worst and best tenth. It is a record of what happened, not a forecast — days that rhymed in the past do not dictate the next one.
Options positioning pressure (Pro)
This is our estimate of where large options dealers are positioned, worked out from listed option open interest. It is still on probation — a 60-session shadow-validation window, with the verdict due October 2026. The honest caveat, word-for-word from the pipeline: “OI-based; bought-vs-sold flow indistinguishable.” Open interest cannot reveal whether those options were bought or sold, so the direction of the estimate is an assumption rather than something we have observed — which is exactly why the card says observation, not validated signal.
What this product is not
PatternVault is not financial advice, and it is not trying to be. It holds no view on any single stock, it puts out no signals, and it never nudges you toward a move. That is not just a promise — advice-style wording is blocked by an automated check baked into the build itself.
Update cadence and honesty
The readings refresh after each US close. Some of these series are young, and where the history is thin we say so plainly rather than dressing it up. Market participation in particular is not backfilled: the makeup of the index years ago was not what it is today, so we let its record build honestly from July 2026 onward.
Fear Gauge Structure
VIX vs VIX3M slope plus the gap between implied and 21-day realised S&P volatility. Measured at each US close.
Herd Behaviour
Cboe COR3M ranked against its own full history since 2006. Percentile shows where today sits in twenty years of readings.
Market Participation
Share of S&P 500 constituents above their own 200-day moving average, measured across the full membership at each US close.
Sentiment Speed
Annualised 126-day realised volatility of the momentum factor (MTUM). Historically, the momentum factor's sharpest falls have occurred during stretches when this reading was elevated.