VIX Spike Recovery
In plain terms
After a panic spike, when VIX starts dropping fast from 30+, stocks usually grind back over the next month.
How it works
VIX spikes above 30 followed by 5+ point drops mark panic peaks; broad-equity recovers over 10-42d.
Data dependencies
- Fred macro
A data feed this strategy reads, refreshed on its normal schedule.
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Reported return
- ~8-15% per signal event
- Reported Sharpe
- ~0.6
- Tested over
- T+1 to T+42d
Whaley 2009 JPM: ~8-15% recovery over 21d post-panic peak.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Front-month VIX cheap vs 3-month (contango) means calm — SPY drifts up. When it inverts (backwardation), panic mode.
When the vol-of-vol indicator (VVIX) spikes, the market is paying up for tail-risk insurance. Stocks usually rebound.
Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.
Explore VIX Spike Recovery on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.