VIX Spike
Median 1M return: +2.0%, 68% 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.
- 282 signals since 1995-01-01.
- Median 1M return: +2.0%, 68% win rate.
- VIX 16.04, -0.2% today — no spike (threshold +10%)
VIX
16.04
1-Day Change
-0.2%
53%ile
5D ROC
+12.9%
85%ile
28D ROC
+7.7%
68%ile
Spike Setups
282
1M Median (SPY)
+2.0%
68% 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% | 234 | 58 | 0.40 | 67 | 1.94 | 72 | 4.23 | 69 | 6.09 | 74 | 12.59 |
| 20-30% | 26 | 65 | 1.45 | 65 | 1.94 | 73 | 3.64 | 73 | 6.73 | 68 | 6.11 |
| 30-40% | 14 | 57 | 0.56 | 71 | 2.10 | 71 | 5.11 | 92 | 11.29 | 83 | 15.35 |
| 40%+ | 8 | 75 | 1.33 | 88 | 3.59 | 62 | 7.10 | 88 | 8.38 | 88 | 18.20 |