A Compression-VIX from order-flow structure.
Risk Tape turns how compressible an order-flow tape is into a model-free market-stress index — a Compression-VIX that tracks realized volatility at ~0.887 contemporaneous correlation. It’s a coincident risk gauge and the verified, queryable infrastructure beneath it.
- ~0.887
- contemporaneous correlation with realized vol
- model-free
- no fitted parameters — read off tape structure
- coincident
- a real-time risk gauge, not a forecast
- verified
- queryable, integrity-sealed record of the tape
No fitted model, no parameters to overfit. AT-1 measures the structure of the order-flow tape directly — how compressible it is — and reads off a single stress number. When the tape gets disordered, the index moves.
The index shows ~0.887 contemporaneous correlation with realized volatility on real market data — a Compression-VIX read straight off order-flow structure, no options surface required.
It rides AT-1's queryable, integrity-sealed record of the tape itself: the stress series and the order flow it came from are byte-exact, addressable, and re-queryable. The gauge ships with the infrastructure to audit it.
Who uses a coincident risk gauge
- Risk & surveillance desks — a real-time stress read that doesn’t depend on an options surface.
- Market-microstructure research — order-flow disorder as a measurable, reproducible series.
- Compliance & audit — a verified, queryable tape behind the metric, integrity-sealed.
- Stress & scenario reporting — a model-free gauge to corroborate volatility regimes.