Market Volatility (VIX) Signal

Signal Summary:

• Configuration statement: Given a VIX level of 26.78 and an MVS_z of 2.12, this setup aligns with Downward-biased price paths and Elevated volatility, where the dominant risk is Long liquidation, not Mean reversion. (1)
• The signal is currently in a persistent STRESSED regime. (1)
• Conviction Band: High; Interpretation Confidence: High Confidence; Internal Conflict Flag: No. Signal Stability Assessment: Stable; Threshold Proximity: Near; Revision Sensitivity: Low.

Methodology Applied:

• STRESSED conditions occur when VIX ≥ 30 or MVS z-score ≥ 1.0, implying active liquidation. (1)
• CRISIS regime requires an MVS z-score ≥ 2.0 sustained for five consecutive days. (1)
• Rising values signal a transition toward risk-off sentiment and market contraction. (1)
• Market Volatility (VIX) Signal: Latest observation March 20, 2026. (1)

Key Dynamics:

• Main driver is the MVS_z (2.12), which identifies high market fear despite VIX being below 30. (1)
• Volatility shows persistence, having remained in the STRESSED regime for 14 consecutive trading sessions. (1)
• The signal is stabilising at elevated levels after peaking at 3.15 in early March. (1)
• Conditional Invalidation: MVS z-score falls below 1.0. (1)

Scenario Balance:

• Base case dominant: Persistent STRESSED regime as hedging demand remains elevated.
• Upside risk: Softening to NORMAL regime triggered by VIX falling below 20.
• Downside risk: Transition to CRISIS if MVS_z > 2.0 sustains for five days.

Time Horizon & Aggregation:

• Time Horizon: Tactical (weeks) reflecting short-term equity market uncertainty and hedging. (1)
• Aggregation Weight Hint: High as a core thermometer for risk-on/off positioning. (1)

Macro Relevance:

• Informs equity market risk sentiment and forward-looking tail-risk expectations. (1)
• Implied economic mechanism: Tightening risk appetite as the cost of downside protection becomes expensive. (1)
• Cycle position: Not determined by this methodology.
• Interacts with Credit Spreads; widening spreads would confirm the risk-off signal. (1)

Regime Context:

• Persistent STRESSED regime since March 2, 2026. (1)
• Direction of change: Stabilising at high levels. (1)

Model Limitations:

• Month-end snapshots may miss intramonth bursts; absolute VIX levels can undergo structural shifts. (1)

Data & References:

• VIX Market Volatility Signal: 2026-03-20. (1)
• Most influential: MVS_z (2.12) and VIX Level (26.78). (1)
• Suggested additions: ICE BofA High Yield Master II Option-Adjusted Spread.