Vix regime

VIX Regime Detector

Classify the VIX level into one of four regimes — Normal / Sweet Spot / Danger / Panic — and report which strategy types are favored, blocked, or signaled by each regime.

Thresholds are not arbitrary: they come from backtests on S&P 500 mean-reversion entries where the 25–30 VIX band has the worst hit rate (~19.6%) and the 20–25 band the best.

Note: Not financial advice. Backtest results are historical and do not guarantee future returns.

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The four regimes

Regime	VIX range	Mean-reversion (RSI-buy-the-dip)	Momentum (breakout)	Special signal
Normal	VIX < 20	✅ Allowed	✅ Allowed	—
Sweet Spot	20 ≤ VIX < 25	⭐ Best historical hit rate	✅ Allowed	—
Danger	25 ≤ VIX < 30	❌ Block (worst historical hit rate, ~19.6%)	❌ Block	—
Panic	VIX ≥ 30	✅ Allowed (post-capitulation reversal)	❌ Block (still volatile)	🔔 Panic-buy signal for index ETFs (SPY/QQQ)

Why these thresholds

• 20 — separates calm markets from elevated-fear markets.
• 25 — historically associated with sharp drawdowns where reversion fails.
• 30 — capitulation level. Index ETFs entering here have shown high mean-reversion success in backtest (e.g. SPY: 96.4% win rate, average +11.5% over ~88 days, Sharpe ~1.21). Exit at VIX < 20 to capture the fear-normalization arc.

These numbers reflect specific backtests on S&P 500 mean-reversion strategies between 2015–2024. Different universes (small caps, single stocks, options) may behave differently.

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Step 1: Ensure yfinance is available

import subprocess, sys
try:
    import yfinance  # noqa: F401
except ImportError:
    subprocess.check_call([sys.executable, "-m", "pip", "install", "-q", "yfinance"])

Step 2: Use the helper

from vix_regime import get_current_vix, classify_vix

vix = get_current_vix()           # → 17.2
regime = classify_vix(vix)
# {
#   "regime": "NORMAL",
#   "vix": 17.2,
#   "allow_mean_reversion": True,
#   "allow_momentum": True,
#   "panic_signal": False,
#   "description": "VIX < 20 — calm market. Mean-reversion and momentum both allowed."
# }

classify_vix accepts a number; get_current_vix fetches today's close from yfinance (^VIX).

Step 3: Use the regime in a pipeline

regime = classify_vix(get_current_vix())

if not regime["allow_mean_reversion"]:
    skip_strategy_a()

if regime["panic_signal"]:
    enter_index_etf_position("SPY", reason="VIX panic buy")

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Step 4: Respond to the user

When the user asks about the VIX, present the four-regime table briefly, then state the current regime and its implication:

Current VIX is 17.2 → NORMAL regime. Calm market environment. Both mean-reversion and momentum entries are allowed. No panic-buy signal active.

When the VIX is in the Danger zone:

Current VIX is 27.4 → DANGER regime. Historically the worst zone for both mean-reversion and momentum entries (S&P 500 mean-reversion hit rate ~19.6% in this band). Recommendation: hold off on new long entries until VIX exits 25–30 in either direction.

Caveats to mention

• Backtest is sample-specific (S&P 500, 2015–2024). Outside that, thresholds may need adjustment.
• VIX is forward-looking volatility, not certainty. A single VIX reading is a snapshot.
• This is a macro filter, not a stand-alone trade signal.

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Real-world example

This skill was extracted from the quant-scanner project where it acts as the second layer of a three-layer macro regime filter (alongside QQQ-vs-MA200 trend and HYG credit health).