CapitalFlowsResearch: Sensitivity Bands

CapitalFlowsResearch: Sensitivity Bands — Expected-Move Projection from Cross-Asset Beta

CapitalFlowsResearch: Sensitivity Bands builds on the idea of cross-asset sensitivity by turning beta into a set of projected price boundaries around the prior day’s close. Instead of showing beta as a standalone number, this tool translates it into real price levels that represent the expected magnitude of movement—up or down—given a typical shock in a chosen market driver.

The script measures how strongly the price asset has been responding to moves in the driver over a rolling window, then uses that relationship to calculate a dynamic “band width.” That width is applied symmetrically around the previous daily close to create two horizontal bands: an upper range and a lower range. These lines update intraday, offering a real-time sense of whether current price action is unfolding within normal sensitivity limits or pushing into statistically unusual territory.

Traders can choose how the driver’s changes are interpreted (basis points, absolute moves, or percent changes), and optionally replace the rolling band with a running mean to emphasise longer-term structural sensitivity. The resulting overlay acts much like an expected-move model—similar in spirit to options-derived ranges, but powered by beta dynamics rather than implied volatility.

In practice, Sensitivity Bands serves as a clean framework for contextualising market movement:

Inside the bands: price behaviour aligns with typical cross-asset sensitivity.

Touching a band: movement is strong but still consistent with historical response.

Breaking a band: indicates a regime shift, a driver disconnect, or unusually high momentum.

All of this is achieved without exposing the underlying beta calculations or normalisation logic.