VIX Spike
Median 1M return: +2.0%, 69% win rate.
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Single-day VIX surges (10/20/30/40%+) plus 5-day and 28-day VIX ROC — forward SPY returns by magnitude, incl. rare extreme 28-day spikes. "Fear spiked, now what?" Companion to VIX Crash Signal.
- 244 signals since 1995-01-01.
- Median 1M return: +2.0%, 69% win rate.
- VIX 16.45, -6.8% today — no spike (threshold +10%)
VIX
16.45
1-Day Change
-6.8%
13%ile
5D ROC
-15.6%
9%ile
28D ROC
-7.7%
38%ile
Spike Setups
244
1M Median (SPY)
+2.0%
69% win
When to run this study
Run the day of (or just after) a sharp single-day VIX surge. This study sequences what SPY did historically after VIX jumped >=10/20/30/40% in a day, plus a 5-day VIX ROC view — i.e. "fear spiked, now what?"
Historical results
Forward SPY returns by single-day VIX spike
| VIX Spike | N | 1W Win% | 1W Med% | 1M Win% | 1M Med% | 3M Win% | 3M Med% | 6M Win% | 6M Med% | 12M Win% | 12M Med% |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 10-20% | 197 | 59 | 0.49 | 69 | 1.99 | 75 | 4.62 | 73 | 7.27 | 82 | 14.35 |
| 20-30% | 26 | 65 | 1.45 | 65 | 1.94 | 73 | 3.64 | 72 | 6.49 | 67 | 5.96 |
| 30-40% | 13 | 62 | 0.56 | 67 | 2.10 | 67 | 5.06 | 92 | 11.02 | 91 | 16.03 |
| 40%+ | 8 | 75 | 1.33 | 88 | 3.59 | 62 | 7.10 | 88 | 8.38 | 88 | 18.20 |