Goldman Sachs Panic Index Proxy

In response to our inquiry about Goldman Sachs Panic Index data, Grok responded that the data are proprietary and unavailable. However, Grok offered “several high-quality public proxies and near-replicas…built by traders and quants using only freely available data. These reconstructions correlate extremely closely (often 0.90–0.98) with the snippets Goldman has shown clients over the years.” For one of these proxies, the percentile rank of VIX within its trailing 2-year window (0-100 scale), Grok provided a Python script to generate an historical daily series. Is it predictive of U.S. stock market returns? To investigate, we run the script to generate daily Panic Index Proxy data from the end of 2015 through November 2025 and relate the series to contemporaneous daily S&P 500 Index (SP500) returns. Using these two series, we find that: (more…)