VIX the file, every extreme since 2006

separate extremes on file (back-to-back extreme weeks count once), numbered on the chart, none hidden

0 ended in a reversal within 13 weeksthe ones that turned took a median — wksworst run ever sat through —what marked those turns → measured in this file

3y percentile

21.8

cot index

45.2

z-score · 156w

-0.59

weeks in zone

—

report as of

2026-08-04

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no backtest on this market, on purpose

We cannot measure outcomes here, so we do not publish any.

The COT report for VIX describes positions in CBOE VIX futures. The only price series available to us is the VIX index, and an index is not tradeable: its returns lack the roll yield that dominates what a futures position actually earns. A “reversal” measured on the index is not what a trade would have made, so every hit rate, every wait and every worst case we could print here would be measured on the wrong instrument.

Until we buy a real VIX futures series this file stays empty, and VIX contributes nothing to the pooled numbers on the rest of the site. Its positioning is real CFTC filing data and stays on its market page.

found in the release r2 instrument audit · full write-up in the methodology

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