The Chicago Fed background document states that a reading above +0.7 indicates inflation danger and below -0.7 indicates recession danger. In a 2012 Chicago Fed Letter, Scott Brave and Max Lichtenstein found that:
the crossing of a -0.35 threshold by the CFNAI Difusion Index signaled an increased likelihood of the beginning (from above) and end of a recession (from below). This threshold was determined using the Berge and Jord a ROC method. Additionally, Brave and Lichtenstein found that, on average, the CFNAI Difusion Index signals the beginning and end of recessions one month earlier than the CFNAI-MA3.The reading for August was -0.87 and the three month moving average was -0.47. These readings are flashing a recession warning.
The trends are equally discouraging. The August index was the 6th monthly negative reading in a row, and the 4th negative three month moving average reading in a row. The last time that happened (from a general positive trend) was October 2007, two months before the last official recession started.