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.
- 247 signals since 1995-01-01.
- Median 1M return: +2.0%, 69% win rate.
- VIX 19.30, +3.2% today — no spike (threshold +10%)
VIX
19.30
1-Day Change
+3.2%
74%ile
5D ROC
-24.7%
2%ile
28D ROC
+28.6%
87%ile
Spike Setups
247
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% | 200 | 59 | 0.45 | 69 | 1.99 | 75 | 4.59 | 74 | 7.58 | 82 | 14.35 |
| 20-30% | 26 | 65 | 1.45 | 65 | 1.94 | 73 | 3.64 | 73 | 6.73 | 68 | 6.11 |
| 30-40% | 13 | 62 | 0.56 | 69 | 1.86 | 69 | 4.69 | 92 | 11.02 | 92 | 16.56 |
| 40%+ | 8 | 75 | 1.33 | 88 | 3.59 | 62 | 7.10 | 88 | 8.38 | 88 | 18.20 |