The CBOE VIX measures the volatility of S&P 500 - not a company vs company. If this isn't an overall measure of market sentiment, nothing is.
CDS swap rates and bond yields can also be used as an indicator of market sentiment.
CDS markets indicate market stress. For instance, look at the CDS swaps of Western European banks or Sovereign nations.
Another is Libor/Euribor (Interbank lending rates)
Another indicator (forward looking) is a Weekly Leading Economic Indicator Index. It has been fairly accurate at measuring economic slowdown/recession far ahead of GDP no's.
I doubt that GDP and CPI numbers have much of an effect.
Firstly GDP and CPI are lagging indicators - they have already been priced in. Don't you remember 2009, GDP number kept getting worse, but the stocks kept rising at a feverish pace. CPI is all about perceptions. I may view a CPI of 4% as good, indicating shortage supplies as a result of shortage in production capacity, as a result of which more industries would be constructed to meet this demand, resulting in more employment. Another may view it as bad, resulting in reduction in purchasing power.
Secondly, their impact is more short term than long term, that is a day or two, probably even an hour. If a stock market wants to crash, even a GDP growth of 5% won't do any good. Stocks would rise initially and then ultimately fall.