VIX/VVIX Spike Risk

vor 19 Stunden

VIX/VVIX Spike Risk Analyzer

The VIX/VVIX Spike Risk Analyzer analyzes historical VIX behavior under similar market conditions to forecast future VIX spike risk.
By combining current VIX and VVIX levels as dual filters, it identifies historical precedents and calculates the probability and magnitude of VIX spikes over the next 1, 5, and 10 trading days.

IMPORTANT: This indicator must be applied to the VIX chart (CBOE:VIX) to function correctly.

Methodology

1. Dual-Filter Pattern Matching
The indicator uses both VIX and VVIX as simultaneous filters to identify historically analogous market conditions:

By requiring BOTH metrics to match historical levels, the indicator creates more precise market condition filters than using VIX alone. This dual-filter approach significantly improves predictive accuracy because:

VIX alone might be at 15, but VVIX can tell us if that 15 is stable (low VVIX) or explosive (high VVIX)
High VVIX + Low VIX often precedes major spikes
Low VVIX + Low VIX suggests sustained calm

2. Tolerance Settings
VIX Matching (Default: ±10% Relative)

Uses relative percentage matching for consistency across different VIX regimes
Example: VIX at 15 matches 13.5-16.5 (±10%)
Can switch to absolute tolerance (±5 points) if preferred

VVIX Matching (Default: ±10 Points Absolute)

Uses absolute point matching as VVIX scales differently
Example: VVIX at 100 matches 90-110
Can switch to relative percentage if preferred

3. Historical Analysis Window
The indicator scans up to 500 bars backward (limited by VVIX data availability) to find all historical periods where both VIX and VVIX were at similar levels. Each match becomes a "sample" for statistical analysis.

4. Forward-Looking Spike Analysis
For each historical match, the indicator measures VIX behavior over the next 1, 5, and 10 days

Display Metrics Explained

Average Highest Spike
Shows the average of the maximum VIX spikes observed.

Highest Single Spike
Shows the single largest spike ever recorded

Probability No 10% Spike
Shows what percentage of historical cases stayed BELOW a 10% spike:

Probability No 20% Spike
Shows what percentage of historical cases stayed BELOW a 20% spike:

Note: You'll see many more shaded bars than the sample count because each match creates up to 5 consecutive shaded bars (bars 1-5 after the match all "look back" and see it).

Short Volatility Strategies:
Enter when there's a LOW probability of big vol spikes based on today's metrics

Long Volatility Strategies
Enter when there's a HIGH probability of big vol spikes based on today's metrics

vor 19 Stunden

Versionshinweise

Updating Chart

vor 3 Minuten

Versionshinweise

Fixed a bug with the historical background colors.