Volume Climax & Correction Levels
SPY at 2.9% from ATH, VIX at 21.5
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High-volume capitulation days + correction-tier breach events with forward returns.
- 15 volume climax events since 1993.
- SPY at 2.9% from ATH, VIX at 21.5
- No active signal — SPY at 2.9% from ATH
SPY Drawdown
2.9%
VIX
21.5
Volume Ratio
1.6x
Climax Events
15
1M Median (Corr)
+1.9%
When to run this study
Run during or after a sharp market decline to quantify the historical edge. Most useful when SPY has dropped 5-15% from its ATH and/or a single high-volume down day has occurred. Answers: is the selling exhausted? What do forward returns look like from here? Where is VIX vs historical correction analogs?
Historical results
Forward Returns from Correction Thresholds
| Level | Events | 1W Win% | 1W Mean | 1W Med | 1M Win% | 1M Mean | 1M Med | 3M Win% | 3M Mean | 3M Med | 6M Win% | 6M Mean | 6M Med |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| -5% | 121 | 56 | 0.50 | 0.30 | 69 | 1.20 | 2.30 | 70 | 3 | 3.80 | 75 | 6.10 | 7.40 |
| -10% | 77 | 55 | 0.40 | 0.10 | 62 | 0.70 | 1.70 | 65 | 2.70 | 4.70 | 69 | 4.60 | 5.70 |
| -15% | 59 | 54 | 0.40 | 0.20 | 64 | 1.10 | 1.60 | 64 | 3.50 | 3.60 | 66 | 5.40 | 6.10 |
| -20% | 39 | 54 | 0.40 | 0.50 | 64 | 1.70 | 1.20 | 69 | 2.40 | 5.50 | 74 | 5.70 | 7.30 |