Tool Tutorials

VIX Range Analyzer Tutorial

How This Tool Works

The idea behind it

VIX is mean reverting. A stock can climb for a decade and never look back. VIX cannot. It spikes, then falls back toward its usual range.

That behavior is what gives a fixed band its meaning. Setting a range at 16 to 24 describes the same market condition now that it described five years ago.

Setting your range

You choose two levels, both expressed as VIX levels.

  • Lower VIX level
  • Upper VIX level

The distance between them is your range.

VIX Level 21 12 Upper VIX Level (Volatility Expanding) Lower VIX Level (Volatility Compressing) ACTIVE RANGE Active Episode: VIX = 16.5

By default the range is centered on VIX. When the tool loads, it uses the current level minus 5 and plus 5.

Enter your own VIX levels if you want a custom range for backtesting purposes, or press "Reset to Current VIX ±5" to snap back.

Choosing your exit rules

Each side of the range needs an exit rule. You pick either "Close" or "Touch".

  • "Upper exit". "Close" requires the day to end above the upper VIX level. "Touch" only requires the intraday high to reach it.
  • "Lower exit". "Close" requires a close below the lower VIX level. "Touch" only requires the intraday low to reach it.

"Touch" triggers more often and earlier. "Close" is stricter.

What the tool measures

It reads through the entire daily history looking for episodes.

An episode begins on the first day VIX closes inside your range after having been outside it. From there the tool moves forward one day at a time. Each day the close stays inside the range adds to the day count.

The episode ends the moment either side breaks under your chosen exit rule. Whichever side breaks first becomes the outcome, either UPPER or LOWER. The tool records the start date, end date, days in the range, the highest VIX it reached along the way, and which side won. Then it keeps scanning for the next entry.

If VIX is inside the range right now, that stretch is not included. It has no outcome yet, so it stays out of the odds and out of the log.

Reading the odds table

This is the part most people get wrong, so read it carefully.

The table is conditional. It is not a breakdown of when episodes resolved.

Each row, from Day 1 to Day 10, answers this: of all the episodes that lasted at least this many days, what share eventually broke the upper VIX level first?

So Day 3 does not mean "episodes that ended on day 3." It means "of every episode that survived to day 3, here is how they eventually finished." Row 10 covers everything that lasted 10 days or longer.

The occurrence count shrinks as you move down the table, because fewer episodes last that long.

This is also why the row matching the current streak is highlighted. If VIX has been in the range for 4 days, Day 4 is your row, because it is built only from past episodes that also reached at least day 4.

Odds by days already in the range Each row reads only the episodes that lasted at least that many days. DAYS IN RANGE OCCURRENCES ODDS IT CLOSES ABOVE 21 FIRST ODDS IT CLOSES BELOW 12 FIRST Day 1 184 66.8% 33.2% Day 2 134 66.4% 33.6% Day 3 111 68.5% 31.5% Day 4 100 69.0% 31.0% Day 5 86 69.8% 30.2% Day 6 80 71.3% 28.8% Day 7 75 72.0% 28.0% Day 8 70 71.4% 28.6% Day 9 67 70.1% 29.9% Day 10+ 62 71.0% 29.0% 100 episodes have stayed at least 4 days in this range The longer the time frame, the fewer episodes naturally last that long.

The banner at the top

Five quick readouts:

  • Days in the range so far
  • Odds it closes above the upper VIX level first
  • Odds it closes below the lower VIX level first
  • Average days to a close above the upper VIX level
  • Average days to a close below the lower VIX level

Upper breaks are shown in red, since a break upward means the spike is still running. Lower breaks show green.

The log

The full history of every episode, sortable by any column: start date, end date, days in the range, peak VIX, and which side broke first.

This is where you can study the raw record yourself.

Open the VIX Range Analyzer

Tool Glossary

The Basics

VIX (Cboe Volatility Index)

The market's expectation of how much the S&P 500 will move over the next 30 days. It is quoted as an annualized percentage, not a dollar price. A VIX of 20 means the market expects roughly 20 percent annualized movement.

Mean reversion

After a spike, VIX tends to pull back toward its usual range instead of continuing in one direction the way a stock can.

Your Settings

Range

The band between the lower VIX level and the upper VIX level you set. Both are written as VIX levels, for example 16 to 24.

Close exit

A VIX level is only broken when the daily close lands past it.

Touch exit

A VIX level is broken the moment the intraday high or low reaches it, regardless of where the day closes.

The Results

Episode

One continuous run of sessions that closed inside the range, starting from the first close inside and ending at the session that breaks a VIX level.

Days in range

The number of consecutive sessions that closed inside the range before the episode resolved.

Peak VIX

The highest VIX level printed at any point during the episode.

At a Glance

VIX LevelExit ModeWhat Triggers It
UpperCloseThe daily close lands above the upper VIX level
UpperTouchThe intraday high reaches the upper VIX level
LowerCloseThe daily close lands below the lower VIX level
LowerTouchThe intraday low reaches the lower VIX level