VIX Elevated Days
Median 1M return: +2.4%, 64% win rate.
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Streaks of consecutive VIX closes above 20 — SPY forward returns by streak length and VIX RSI context.
- 184 signals since 2000.
- Median 1M return: +2.4%, 64% win rate.
- Signal 2026-02-06 (~85td ago): 3M = +7.1% (hist. median +4.3%, above by 2.8%). Next window: 6M (41td remaining), hist. median +6.1%.
- Signal 2026-02-17 (~77td ago): 3M = +8.5% (hist. median +4.3%, above by 4.2%). Next window: 6M (49td remaining), hist. median +6.1%.
- Signal 2026-02-19 (~75td ago): 3M = +8.6% (hist. median +4.3%, above by 4.3%). Next window: 6M (51td remaining), hist. median +6.1%.
- Signal 2026-02-23 (~72td ago): 3M = +9.6% (hist. median +4.3%, above by 5.3%). Next window: 6M (54td remaining), hist. median +6.1%.
- Signal 2026-04-08 (~41td ago): 1M = +8.2% (hist. median +2.4%, above by 5.8%). Next window: 3M (22td remaining), hist. median +4.3%.
- No active VIX episode — VIX below 20.0 threshold
Current VIX Streak
None
VIX below threshold
Latest VIX
15.4
threshold 20.0
Total Episodes
184
since 2000
Median Duration
2d
median episode length
1M Median Fwd
+2.4%
64% 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 | 139 | 2 | 76.30 | 1.53 | 1.22 | 68.30 | 1.83 | 1.52 | 65.50 | 2.51 | 1.24 | 70.50 | 4.52 | 2.36 | 67.90 | 6.24 | 2.43 |
| 6–10 days | 12 | 7.50 | 75 | 1.66 | 1.33 | 50 | 0.98 | 0.91 | 83.30 | 2.72 | 2.60 | 75 | 2.86 | 1.93 | 75 | 8.48 | 5.79 |
| 11–20 days | 9 | 14.70 | 44.40 | -0.64 | -0.04 | 55.60 | 0.17 | -1.24 | 44.40 | -2.76 | -1.54 | 66.70 | 6.83 | 1.31 | 66.70 | 8.19 | 5.63 |
| 21–40 days | 12 | 28.20 | 66.70 | 0.94 | 0.95 | 75 | 2.46 | 1.74 | 66.70 | 4.19 | 1.88 | 54.50 | 3.70 | 1.22 | 54.50 | 5.88 | 2.06 |
| 41+ days | 12 | 142.70 | 66.70 | 1.05 | 0.98 | 75 | 0.91 | 0.46 | 41.70 | -1.19 | -0.21 | 41.70 | -0.90 | -2.63 | 50 | -0.16 | -3.67 |