SPX Realized-Vol ROC
Median 1M return: +1.3%, 66% win rate.
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SPX realized-volatility 28-day rate-of-change in both directions (fear building vs unwinding) -> forward SPX returns, across the full ~75-year SPX history. The long-history complement to VIX Spike.
- 346 signals since 1950-01-01.
- Median 1M return: +1.3%, 66% win rate.
- SPX realized vol 10.9%, 28D ROC -18% — no extreme
SPX
7,671
Realized Vol
10.9%
44%ile
28D Vol-ROC
-18.1%
30%ile
Direction
Neutral
Build / Unwind events
199 / 147
When to run this study
Run to gauge where SPX realized-volatility momentum sits in a 75-year context — whether fear is building (vol ROC sharply up) or unwinding (vol ROC sharply down) — and what SPX has historically done next at each extreme.
Historical results
Vol BUILDING — forward SPX by 28-day vol-ROC up
| Vol-ROC up | N | 1W Win% | 1W Med% | 1M Win% | 1M Med% | 3M Win% | 3M Med% | 6M Win% | 6M Med% | 12M Win% | 12M Med% |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 50-100% | 193 | 59 | 0.40 | 67 | 1.36 | 67 | 3.56 | 72 | 5.62 | 72 | 12.04 |
| 100-200% | 6 | 50 | -0.09 | 50 | 0.36 | 67 | 4.92 | 67 | 4.98 | 83 | 8.70 |