Systems and methods for determining a quantitative retail sentiment index from client behavior

A method comprising:

• calculating a volatility score for each of a plurality of securities;
• calculating a reference volatility score for a benchmark;
• deriving a relative volatility score for each of the plurality of securities based upon the volatility score for each of the plurality of securities and the reference volatility score;
• determining a correlation for each of the plurality of securities to the benchmark;
• adjusting the relative volatility score for at least one of the plurality of securities based on the correlation;
• deriving an aggregated volatility score for each of a plurality of accounts based in part on securities held within an account and the relative volatility scores for the securities;
• and
• determining, using a processor, a sentiment index based upon the aggregated volatility score for each of the plurality of accounts.

A non-transitory computer-readable medium having instructions stored thereon that when executed by a computing device, cause the computing device to perform operations comprising:

• calculating a volatility score for each of a plurality of securities;
• calculating a reference volatility score for a benchmark;
• deriving a relative volatility score for each of the plurality of securities based upon the volatility score for each of the plurality of securities and the reference volatility score;
• determining a correlation for each of the plurality of securities to the benchmark;
• adjusting the relative volatility score for at least one of the plurality of securities based on the correlation;
• deriving an aggregated volatility score for each of a plurality of accounts based in part on securities held within an account and the relative volatility scores for the securities;
• and
• determining a sentiment index based upon the aggregated volatility score for each of the plurality of accounts.