Crash Simulator Updated to Factor Market Positioning Into Hazard Calculations

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A developer has updated a financial crash simulator to make its hazard layer endogenous, meaning the market's own state now influences how severely historical crashes are replayed. Previously, the model used a fixed list of historical crashes with random noise, treating all market conditions equally regardless of whether conditions were calm or stressed. The update introduces two new multipliers: a regime multiplier based on VIX and SKEW percentiles, and a short-gamma factor derived from estimated net dealer positioning. Testing against a September 7 market snapshot — where VIX was low but SKEW was at its 83rd percentile — showed crash intensity amplified by roughly 20% even in a calm regime, driven entirely by dealer short-gamma exposure. The developer acknowledges key limitations, noting that net gamma is estimated rather than directly observed, as full options-chain positioning data is not freely available.

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