Live dashboard / BTC tail risk

BTC Tail Fragility Index

A live research dashboard for tracking when downside tail risk is cheap, crowded, unstable, or beginning to accelerate. The main line is the percentile view of the model score, updated from the database every minute.

Updates every minute BTC composite perp 24h window

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Fragility percentile --

BTC price --

Data quality --

Fragility vs price

Last 24 hours

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Methodology

What the Tail Fragility Index is

The Tail Fragility Index measures how easily the market's recent return distribution can produce a large downside move after returns have been normalized by their current volatility. A high reading means the downside barrier has become unusually low compared with its own history, so the market is more vulnerable to sharp negative moves even if price is still stable.

The index is built from a rolling Legendre-Fenchel rate function. First, normalized returns z_i are converted into an empirical cumulant-generating function,

Λ̂_t(θ) = log(1 / n · Σ_i=1ⁿ e^θz_i)

and then into the rate function,

I_t(x) = sup_θ [θx - Λ̂_t(θ)]

The value I_t(-3) represents the statistical cost of a downside move three normalized units below the recent mean. Lower cost means the move is easier for the current distribution to generate; the Fragility Index converts this and related surface changes into a historical percentile, where higher values indicate greater downside fragility.

Reading the index

Percentile is the public index; raw score is the model layer.

Below 50 reads as normal. From 50 to 75 the market is elevated, 75 to 90 is fragile, 90 to 97.5 is severe, and anything above 97.5 is extreme. The data-quality tile helps separate real fragility from noisy inputs before a print is read as a risk signal.