SPX Realized-Vol ROC
Median 1M return: +1.4%, 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.
- 330 signals since 1950-01-01.
- Median 1M return: +1.4%, 66% win rate.
- SPX realized-vol 28D ROC +55% (88%ile) — fear building fast
SPX
7,499
Realized Vol
17.3%
80%ile
28D Vol-ROC
+54.9%
88%ile
Direction
Building
Build / Unwind events
190 / 140
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% | 185 | 58 | 0.40 | 66 | 1.38 | 67 | 3.46 | 71 | 5.61 | 71 | 12.09 |
| 100-200% | 5 | 60 | 0.08 | 60 | 1.30 | 60 | 3.21 | 60 | 4.84 | 80 | 5.13 |