VIX Spike Near ATH
Median 1M return: +3.1%, 92% win rate.
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Single-day VIX spikes that fire while SPX is still within a few percent of its all-time high — historically a tight-downside dip-buy (30%+ spike near ATH: 86% 1M win, worst 1M -0.8% since 1990). Dot plot + cohort grid + live signal. The conditional cousin of VIX Spike.
- 12 signals since 1990-01-01.
- Median 1M return: +3.1%, 92% win rate.
- SPX -0.2% from ATH, VIX 14.2 (-3% today) — no near-ATH spike setup
SPX
7,786
% from ATH
-0.2%
near ATH
VIX
14.25
1-Day VIX
-2.6%
35%ile
Setup 1M (hist)
+3.1%
92% win · worst -0.2% · max dd -2.7%
When to run this study
Run the day of (or just after) a sharp single-day VIX spike that occurs while SPX is still within a few percent of its all-time high — historically a high-conviction, tight-downside dip-buy. Most relevant after a fear blip in an otherwise strong, near-highs tape.
Historical results
Forward SPX by cohort — "1M Worst%" is the worst close-to-close month; "1M Worst DD%" is the deepest intramonth drop. Note how the near-ATH filter caps both.
| Cohort | N | 1W Win% | 1W Med% | 1M Win% | 1M Med% | 3M Win% | 3M Med% | 6M Win% | 6M Med% | 1Y Win% | 1Y Med% | 1M Worst% | 1M Worst DD% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 30%+ spike, within 4% of ATH ★ | 12 | 75 | 0.90 | 92 | 3.10 | 64 | 4.70 | 91 | 9.40 | 90 | 15 | -0.20 | -2.70 |
| 20%+ spike, within 4% of ATH | 24 | 67 | 0.90 | 75 | 2.30 | 61 | 3.90 | 74 | 5.80 | 76 | 12 | -6.20 | -9.60 |
| all 30%+ spikes (any distance) | 21 | 62 | 0.60 | 71 | 2.20 | 65 | 4.90 | 90 | 9.60 | 84 | 15.10 | -24.10 | -30.60 |
| all spikes ≥10% (baseline) | 246 | 60 | 0.50 | 68 | 1.90 | 73 | 4.20 | 71 | 6.40 | 77 | 12.70 | -24.10 | -30.60 |