The ECB's Composite Indicator of Systemic Stress aggregates fifteen stress measures from five segments, the money, bond, equity and foreign-exchange markets and financial intermediaries, weighted by their correlation. Zero is no stress, one is stress everywhere at once.
Threshold source: Holló, Kremer and Lo Duca (2012), ECB: readings above 0.3 have marked systemic episodes. How thresholds are chosen
Correlation weighting means it can stay low while one market is in trouble alone.