Using VIX or VixFix Spikes to Study Subsequent Market Returns

Summary

This indicator compares either the VIX or a VixFix measure with Bollinger Bands and highlights closes above the upper band. For each such event, it tracks the underlying asset’s subsequent change over the next session, five sessions, and ten sessions, along with the greatest loss observed during the five-session window. It displays average outcomes across recorded events and includes a correlation measure between the charted asset and VIX. VixFix is offered as an alternative when a direct VIX series is not suitable for the chart.

The tool is primarily a visual reference for examining volatility spikes and later price behavior; it is not a standalone trading rule. The excerpt provides no actual study results, sample description, or controls for overlapping events and changing market regimes. Its averages are historical summaries and may be sensitive to the asset, event definition, and available observations, so they should not be treated as forecasts or as evidence that buying or selling after a spike is profitable.

Key ideas

• The indicator flags VIX or VixFix closes above their upper Bollinger Band.
• It summarizes subsequent asset returns over several session horizons and the lowest move during a shorter horizon.
• It also displays the correlation between the asset and VIX.
• Historical averages describe past event outcomes and do not establish a profitable trading signal.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.