COIL INDEX03060801000CALM

Realized vol calm, OI moderate, liquidation pulse moderate

Bi-directional: a high reading means a sharp move is more likely — not which way.

What COIL Index measures

Crypto markets don't crash because prices fall. They crash because leverage stacks invisibly until something forces the unwind. Coil Index measures the build-up — the loaded spring of leverage, volatility, and liquidation pressure that precedes violent moves.

A high reading means conditions are coiled: leverage is crowded, volatility is shifting, order books are setting up for a sharp move. A low reading means the market is genuinely calm — leverage is light, vol is low, dislocations are unlikely.

COIL is direction-neutral. A high reading means a sharp move is more likely. It does not say which way. Use COIL to size risk, not to decide long vs short.

Update cadence
Hourly
Validation events
13 historical (LUNA, FTX, Oct 2025)
Methodology version
v0.8-CF

COIL Index vs BTC & ETH

COIL Index (by tier)
COIL 7-day avg
BTC % change
ETH % change

COIL Index history over the past 30 days alongside BTC and ETH price action. Bars colored by tier — gray (quiet), orange (elevated), red (high). White line is the 7-day moving average. Periods of elevated COIL readings often precede sharp moves in either direction — the index measures leverage fragility, not price prediction.

How it's built

Coil Index v0.8 is a two-stage model. Each stage runs every hour automatically.

Stage 1 — Base score

Coil Index measures fragility through three direct signals. Realized volatility — the market's actual movement intensity, the most documented predictor in financial econometrics since Engle's 1982 ARCH work. Open interest velocity — leverage building across major venues. Liquidation pulse — cascade fuel measured at the source. Each component is independently meaningful.

Stage 2 — Residual

The base reading isn't read in isolation. A second layer learns from six years of historical patterns — how a 70 reading behaves differently before a CPI release vs. on a quiet weekend, how cross-venue funding divergence amplifies fragility, how BTC-ETH correlation breaks signal regime shifts. Sixteen contextual features feed into the refinement, producing the final score.

The final score is mapped to six tiers from Calm to Cascading. Methodology is versioned, tested against pre-committed predictions, and shipped only when it clears gates locked in writing before the backtest runs.

Read the full methodology

COIL Index — Calibration

29,134 hourly out-of-sample predictions · 2023–2026 walk-forward backtest

98.1%
Hit rate at score ≥ 95
4% target · daily risk gauge
3.52×
Lift over baseline at score ≥ 95
5% target · cascade view
0.7488
AUC, per-fold mean
4 walk-forward folds · 2023–2026

Daily risk gauge — leveraged positions begin facing stress

AUC
0.7442
per-fold mean, 4 walk-forward folds
Base rate
39.0%
no-skill baseline
Best lift (95+)
2.51×
vs base rate
ScoreHours flagged% of all hoursHit rate95% CILift vs base
70+4,13714.20%77.7%76.4–78.91.99×
75+2,7819.55%83.4%81.9–84.72.14×
80+1,7876.13%86.1%84.4–87.62.21×
85+1,0213.50%89.0%87.0–90.82.28×
90+5191.78%92.3%89.7–94.32.37×
95+2630.90%98.1%95.6–99.22.51×
How to read this: Each row shows what happens after a high reading. Example: when COIL Index hits 90 or higher, the asset moved at least 4% within 24 hours 92.3% of the time. Higher scores happen less often but predict more reliably. Lift = how many times better than random guessing.

Wilson 95% confidence intervals · Walk-forward backtest, no look-ahead · AUC reported as per-fold mean across 4 walk-forward folds (2023, 2024, 2025, 2026) · One model trained on 4% labels, evaluated against both 4% and 5% thresholds — same score, two operational yardsticks

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