Maybe a publically traded mmbroker's ssi could be used to guesstimate his earnings before their public release:
income: volume
expense: volume * number of ssichanges in hedgegranularity units
..correlate these to past months' earnings and look for a surprise large deviation
or whatever, something along those lines..
If you were so inclined you could mess with a broker by trading huge size to force more exposure in the extreme direction and hedge your position with another broker...
to what effect ? for fun, dunno..
I think someone mentioned cots - maybe you can extend this aggregate positioning dynamic there to estimate big puke levels ?