VIX Elevated Days
Median 1M return: +2.8%, 70% win rate.
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Streaks of consecutive VIX closes above 20 — SPY forward returns by streak length and VIX RSI context.
- 150 signals since 2000.
- Median 1M return: +2.8%, 70% win rate.
- Signal 2026-06-05 (~72td ago): 3M = +4.7% (hist. median +5.2%, below by 0.5%). Next window: 6M (54td remaining), hist. median +6.9%.
- Signal 2026-06-10 (~68td ago): 3M = +4.7% (hist. median +5.2%, below by 0.5%). Next window: 6M (58td remaining), hist. median +6.9%.
- Signal 2026-07-29 (~33td ago): 1M = +5.7% (hist. median +2.8%, above by 2.9%). Next window: 3M (30td remaining), hist. median +5.2%.
- No active VIX episode — VIX below 20.0 threshold
Current VIX Streak
None
VIX below threshold
Latest VIX
17.1
threshold 20.0
Total Episodes
150
since 2000
Median Duration
2d
median episode length
1M Median Fwd
+2.8%
70% win rate
When to run this study
Run when VIX spikes above 20 or during periods of sustained market fear. Identifies historically oversold fear conditions and potential mean-reversion entry points after extended stretches of elevated volatility.
Historical results
Forward Returns by Episode Duration
| Duration Bucket | N | Avg Days | 1W Win% | 1W Median | 1W Avg | 2W Win% | 2W Median | 2W Avg | 1M Win% | 1M Median | 1M Avg | 3M Win% | 3M Median | 3M Avg | 6M Win% | 6M Median | 6M Avg |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1–5 days | 117 | 1.90 | 80.30 | 1.67 | 1.41 | 72.60 | 2.20 | 1.82 | 70.10 | 3 | 1.66 | 76.70 | 5.14 | 3.57 | 74.60 | 6.86 | 4.32 |
| 6–10 days | 9 | 7.30 | 88.90 | 1.79 | 1.70 | 55.60 | 2.12 | 1.66 | 100 | 2.95 | 3.67 | 88.90 | 3.38 | 3.44 | 77.80 | 9.31 | 6.38 |
| 11–20 days | 6 | 15.20 | 50 | 0.49 | 0.57 | 66.70 | 0.23 | -0.32 | 66.70 | 2.12 | 0.64 | 83.30 | 6.98 | 4.60 | 83.30 | 13.32 | 10.34 |
| 21–40 days | 10 | 28.50 | 70 | 0.94 | 1.28 | 80 | 2.46 | 1.84 | 70 | 4.19 | 2.07 | 60 | 4.32 | 2.77 | 55.60 | 5.88 | 2.76 |
| 41+ days | 8 | 137.60 | 62.50 | 1.05 | 0.61 | 75 | 0.55 | 0.21 | 37.50 | -1.19 | -0.94 | 50 | 2.47 | -2.87 | 62.50 | 3.28 | -3.45 |