VIX Cross-Asset
Median 1M return: +1.5%, 100% win rate.
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N-day VIX spike or drop streaks - SPY forward returns by regime.
- 3 signals since 2000.
- Median 1M return: +1.5%, 100% win rate.
- No active 4-day VIX DROP streak (threshold 7.0%)
^VIX Now
21.51
SPY Now
$737.55
Regime
Above 200D MA
Total Events
3
4D DROP >= 7.0%
Streak Active
No
When to run this study
Most useful during or immediately after VIX spikes or sharp volatility collapses. Run after multi-day VIX surges (UP) to gauge fear-driven dislocation setups, or after multi-day VIX drops (DOWN) to see if calm is historically sticky or a fade opportunity.
Historical results
SPY Forward Returns After 4-Day VIX DROP
| Segment | N | 1D Win% | 1D Avg | 1D Median | 1D Avg MDD | 3D Win% | 3D Avg | 3D Median | 3D Avg MDD | 1W Win% | 1W Avg | 1W Median | 1W Avg MDD | 2W Win% | 2W Avg | 2W Median | 2W Avg MDD | 1M Win% | 1M Avg | 1M Median | 1M Avg MDD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| All Signals | 3 | 100 | 0.49 | 0.55 | 0.49 | 66.70 | -0.16 | 0.27 | -0.39 | 66.70 | -0.45 | 0.69 | -0.65 | 66.70 | 0.82 | 1.40 | -0.88 | 100 | 2.69 | 1.50 | -1.32 |
| Above 200D MA | 3 | 100 | 0.49 | 0.55 | 0.49 | 66.70 | -0.16 | 0.27 | -0.39 | 66.70 | -0.45 | 0.69 | -0.65 | 66.70 | 0.82 | 1.40 | -0.88 | 100 | 2.69 | 1.50 | -1.32 |