The methodology for the St. Louis Fed's Financial Stress Index was revised and this series is discontinued. The new version, STLFSI3, can be found here (https://fred.stlouisfed.org/series/STLFSI3).
The STLFSI2 measures the degree of financial stress in the markets and is constructed from 18 weekly data series, all of which are weekly averages of daily data series: seven interest rates, six yield spreads, and five other indicators. Each of these variables captures some aspect of financial stress. Accordingly, as the level of financial stress in the economy changes, the data series are likely to move together.
How to Interpret the Index:
The average value of the index, which begins in late 1993, is designed to be zero. Thus, zero is viewed as representing normal financial market conditions. Values below zero suggest below-average financial market stress, while values above zero suggest above-average financial market stress.
The STLFSI2 is a revision of the original STLFSI (https://fred.stlouisfed.org/series/STLFSI). For additional information on the STLFSI2 and its construction, see “The St. Louis Fed’s Financial Stress Index, Version 2.0” (https://fredblog.stlouisfed.org/2020/03/the-st-louis-feds-financial-stress-index-version-2-0/).