Does VIX9D Predict Bigger Volatility Ahead?

• VIX measures how much volatility the market expects over the next 30 days.
• VIX9D measures expected volatility over the next 9 days.

Because it looks at a shorter time window, VIX9D reacts more quickly when fear spikes in the near term.

A common view is that when VIX9D rises ahead of the VIX, it means broader volatility is likely to follow soon after.

To see if the pattern holds, we ran two different tests. We also separated the results into calm markets, when the VIX was under 20, and elevated markets, when the VIX was 20 or above.

Method 1: Same-day divergence

The most direct version of the idea: we found the days when VIX9D rose the most in comparison to the VIX (the top 10% of divergence days). For each one, we found the biggest VIX spike reached over the next day, the next week (5 trading days), and the next two weeks (10 trading days), then measured how often that spike was 10 points or more.

Calm Markets (VIX under 20)

When the market is calm and VIX9D significantly outperforms the VIX, there is only a modest increase in the odds of a large volatility spike afterward.

• Over the next 10 days, the chance of a 10+ point spike in the VIX rises to 9.0%, compared with a baseline of 7.8%.
• The edge is smaller over shorter windows. Over the next 5 days, the odds are 4.0% versus a 2.8% baseline.
• On the very next day, the odds are effectively zero in both cases.

Elevated Markets (VIX over 20)

In more stressed conditions, the pattern is mixed: it briefly holds up in the direction of the popular idea, then reverses.

• Over the next 10 days, the odds of a 10+ point spike in the VIX are 12.1% when VIX9D leads, which is lower than the baseline of 13.2%.
• There is a slight increase in the odds over the next day (4.0% vs 2.1%) and next 5 days (9.1% vs 8.2%), but these edges are small.
• Overall, when volatility is already elevated, a big move in VIX9D relative to the VIX does not improve the odds of a further large spike. If anything, it slightly reduces them over a two-week horizon.

Across both calm and elevated market regimes, the data does not support the idea that VIX9D acting as a leading indicator reliably forecasts big moves in the VIX.

Method 2: When VIX9D Closes Above the VIX

A simpler and more common way to test the idea is to look at days when VIX9D actually closes higher than the VIX. This means short-term expected volatility is greater than longer-term expected volatility.

In this dataset, VIX9D closed above the VIX about 24% of the time. That is more than twice as many days as the stricter top 10% divergence days we used in Method 1.

Calm Markets (VIX under 20)

When the market is calm and VIX9D closes above the VIX, the odds of a large volatility spike increase noticeably.

• Over the next 10 days, the chance of a 10+ point spike in the VIX rises to 12.2%, compared with a baseline of 7.8%.
• The increase is even more pronounced over the next 5 days (6.6% vs 2.8% baseline).
• Even on the next day, the odds are higher (0.6% vs 0.2%).

This version of the signal shows a clearer edge in calm markets than Method 1 did.

Elevated Markets (VIX over 20)

The results are much weaker when the market is already stressed.

• Over the next day and next 5 days, there is a modest increase in the odds of a 10+ point spike (3.8% vs 2.1% next day, and 9.8% vs 8.2% over 5 days).
• However, over the next 10 days, the odds actually fall to 11.3%, below the baseline of 13.2%.

Overall Takeaway

Method 2 performs better than Method 1, particularly in calm markets. In low-volatility environments, term structure inversion does appear to carry some information about future volatility spikes.

However, even in the best case (calm markets over 10 days), the odds only rise from 7.8% to 12.2%.

This suggests that while VIX9D closing above the VIX can be a mild warning sign in calm conditions, it is still far from a strong or dependable predictor of large moves in the VIX.