CBOE Volatility Index Methodology White Paper (current revision).
Open referenceReferences
Methodology
Every Kairos analytic traces back to an authoritative primary source. The citation index below names every paper, white paper, and specification the dispatch path reads.
Options-market trade conditions and aggressor-classification specification (industry standard).
Open referenceBlack, F. & Scholes, M. (1973). Hull, J.C. Options, Futures, and Other Derivatives, §15 / §19.
Open referenceLee, C.M.C. & Ready, M.J. (1991), Inferring Trade Direction from Intraday Data, Journal of Finance 46(2), 733-746.
Open referenceEasley, D., Lopez de Prado, M.M. & O'Hara, M. (2012), Flow Toxicity and Liquidity in a High-Frequency World, Review of Financial Studies 25(5), 1457-1493.
Open referenceSqueezeMetrics, "The GEX Effect" (2017); Hull §19 (gamma).
Open referenceRolling N-window mean / standard deviation against a sample-z-score baseline; HVOL / 52WkHi / 52WkLo parity.