Do VIX Moving Averages Predict the Next Spike?

It is one of the first things beginners put on a VIX chart: a moving average or two, with the idea that when VIX trades above them, volatility's trend has turned up and a spike may be brewing.

It comes in two flavors. The cross, where VIX pushes up through the line, gets read as a trigger. The state, where VIX simply sits above the line, gets read as a regime. We tested both, for the 10, 20, 50, and 200-day averages, across 22 years of daily history, against the only thing that matters: a plain baseline.

Neither holds up, and the reasons are worth seeing, because they are the two classic ways a VIX chart signal fools you.

The Moving Average Cross

Cross above the...	Fires per year	VIX already up (prior 10d)	VIX peak, next 20d	Reached VIX 30
Any day (baseline)	n/a	n/a	+23%	23%
10-day MA	27	+1%	+22%	22%
20-day MA	19	+5%	+24%	22%
50-day MA	14	+7%	+27%	23%
200-day MA	10	+11%	+19%	18%

Run your eye down the last two columns and compare them to the baseline of +23%. No moving average cross meaningfully beats a random day, and the slowest one, the 200-day cross, is actually below baseline on both counts. Crossing above the long-term average is followed by less spike than average, the opposite of what you would expect.

The "already up" column explains why, and it is the heart of the matter. A moving average lags by construction, and the slower the average, the longer VIX has to have been rising before it can climb over the line. By the 10-day cross, VIX has barely moved (+1%). By the 200-day cross, it is already up 11% over the prior two weeks, and up about 10% on the day of the cross itself. The slower the line, the later the signal, and the more of the move is already behind you. The 200-day cross fires near the top, which is exactly why what follows it is reversion rather than continuation.

The state: "above the average" looks predictive, but it is the level

Maybe the cross is the wrong way to use it, and what matters is simply being above the line. Here the numbers look, at first, convincing.

Where VIX is sitting	Reached VIX 30+	S&P fell 5%+	Median VIX gain
Any day (baseline)	23%	20%	+23%
Above the 200-day MA	42%	31%	+19%
Above all three (20/50/200)	44%	32%	+19%
Below all three	9%	13%	+25%

When VIX is above all of its averages, it reaches 30 in the next month 44% of the time, nearly double the baseline, and the S&P falls 5% half again as often. That looks like the signal we were after. It is not, and the last column is why.

The median VIX gain when above the averages is +19%, slightly below the +23% baseline. And when VIX is below all of its averages, the calmest possible tape, the median gain is the highest of the lot at +25%. Read that twice. The biggest relative spikes start from calm, rather than from "above the averages." So the higher "reached 30" rate above the line is just a shorter distance to cover. "Above the 200-day average" is a roundabout way of saying VIX is already elevated and sitting close to 30, so it crosses 30 more often. And elevated vol clusters near drawdowns. Both are descriptions of where the market already is, not forecasts of where it is going.