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Market Regimes & Risk Analytics
Two questions sit behind almost everything else on this page: what kind of market am I in right now, and how far could the price move against me if it turns bad? The first is the regime — a live read on whether a market is calm or turbulent, rising or falling. The second is the risk math: Value-at-Risk, Expected Shortfall and their variants, which turn that read into a number you can actually hold as a budget cushion or a position limit. Together they tell you how much weight to give a forecast and how urgently to act on it. For a buyer, a regime shift is the difference between planning off the smooth forecast line and holding extra cushion against a market that just turned dangerous; for a trader, it's the difference between a normal position size and a defensive one.
The four market regimes
Underneath the label sits a statistical engine that reads each commodity's own price history and works out which mood the market is in right now, by combining two simple questions: is the market calm or turbulent, and is it rising or falling? Combine the two and you get one of four regimes, refreshed as new prices arrive — no hyperparameter to tune, no cadence to configure, just a read that updates with the market.
| Regime | Plain meaning | Typical posture |
|---|---|---|
| Low-Vol Bull | Calm, steady uptrend | Favourable — trends are dependable |
| Low-Vol Bear | Quiet, orderly decline | Plan accordingly |
| High-Vol Bull | Volatile rally — rising but choppy | Upside, but expect sharp swings |
| High-Vol Bear | Turbulent decline — falling and unstable | Highest stress — the danger zone |
Each regime read also carries a confidence percentage, and it's worth reading as a strength gauge rather than skimming past it: a high-confidence Low-Vol Bull is a far more reliable read than a marginal one. When confidence is low, treat the market as sitting between two states rather than firmly in either, and lean harder on the risk numbers below than on the regime label alone.
HOLD vs DE-RISK: the action signal
Every commodity row carries a Signal alongside its regime: HOLD, meaning conditions are stable and your posture needs no change, or DE-RISK, meaning the market has just shifted into a riskier state. DE-RISK rows are highlighted red as a look-here-first cue, and you can filter the whole table by regime and by signal to pull your complete DE-RISK list into one view instead of scanning row by row.
DE-RISK is a caution flag, not an automatic sell order. It means a market has just moved into a riskier state — typically higher volatility, often paired with a downturn — and it's your cue to review the exposure, not an instruction to close it. Trim the position, add a hedge, or, if your exposure is already sized for turbulence, simply hold and watch.
The Risk Dashboard: putting a number on the downside
The Risk Dashboard opens on a VIX gauge — the market's own "fear gauge," where a higher reading means a jumpier, more nervous market overall — sitting alongside cards for the three highest-risk commodities right now. Below that sits a full table, broken down by category, carrying several complementary risk measures side by side, filterable by risk level when you only want to see where attention is actually needed.
| Measure | What it tells you in plain terms |
|---|---|
| Parametric VaR 95% / 99% | The loss you'd expect not to exceed on all but the worst 1-in-20 (95%) or 1-in-100 (99%) months — a clean statistical baseline built on the assumption that the market behaves normally. |
| Historical VaR | The same worst-case read, taken straight from the commodity's real past moves rather than from any assumption about how markets "should" behave. |
| GARCH VaR | A dynamic reading that reacts to recent shocks, so it rises fast when a market turns rough instead of quietly averaging the turbulence away. |
| CVaR (Expected Shortfall) 95% / 99% | The average loss in the months that do breach the VaR line — the true depth of the tail, not just where it starts. |
| VIX-adjusted VaR | VaR re-scaled by how stressed the broad market is today, so the number reflects current nerves rather than a calm-market average. |
Why there are several versions at all is argued on How Market Lens Works. What matters at the table is which one to act on: take the 95% VaR as your default, switch to the VIX-adjusted figure when the whole market is visibly stressed, and reach for CVaR whenever the real question is whether you could survive the tail rather than merely expect it.
Reading the same numbers as a buyer or as a trader
| Measure | Procurement reading | Trader reading |
|---|---|---|
| VaR | The budget cushion to hold: for example, a 95% VaR of 5.2% would mean that in a bad month — the worst 1-in-20 — this price could rise about 5.2% against you. | The loss threshold you translate directly into a position size. |
| CVaR | How deep the pain runs once the cushion is breached — the number to stress-test whether you could actually absorb a genuine tail event. | The expected tail loss you size against day to day, always at least as large as VaR. |
| VIX-adjusted VaR | Act sooner and hold extra cushion when the whole market is nervous, not just the one commodity you're watching. | The sizing input for a stressed VIX reading, so exposure reflects today's conditions rather than a calm-market average. |
Regime and risk work together, not separately. The regime tells you how much to trust the smooth forecast line and how urgently to move — calm markets let you plan on a deliberate timeline, while turbulent or freshly de-risked markets argue for acting now, whether that's buying forward, hedging, or holding extra cushion. When these numbers say an exposure is large or growing, your next stop is the hedging toolkit.
When risk is high, the next question is how to offset it.
Explore correlations & hedging