← Back to Dashboard Thrasher Paper (paper-faithful) Vixologist Template VX3-VX1 Inversion (not wired)

VIX Monitors — Overview

Two independent compression-based VIX-spike monitors run side-by-side on the finance dashboard. Both detect "the calm before the storm" in volatility markets, but they use different indicators, underlyings, and thresholds. The disagreement between them is itself signal.

The short version: The Thrasher monitor is the original 2017 paper — one indicator (20-day stddev of VIX), one threshold (15th percentile). The Vixologist monitor is Jim Carroll's 2026 multi-indicator template inspired by Thrasher but operating on SVIX with TTM Squeeze + BB Width + ATR + an SPX uptrend filter.

Side-by-Side Comparison

Dimension	Thrasher 2017 (paper)	Vixologist 2026 (template)
Underlying	VIX (and VVIX)	SVIX (inverse VIX ETN)
Primary indicator	20-day standard deviation of daily closes	TTM Squeeze (BB inside Keltner)
Other indicators	None	BB Width, ATR, StdDev(10)
Threshold	15th percentile of StdDev	25th percentile of StdDev
StdDev lookback	20 days	10 days
Confirmation filter	None	SPX 3-day uptrend
Signal dedup	10 trading days	None explicit
Forward window	15 trading days	5–20 trading days (documented)
Spike definition	VIX +30% within 5 days	(not explicitly modeled)
Empirical edge	+34.3% avg max vs +25.8% baseline (10y sample)	Visual pattern; not formally backtested in source
Sentinel task	`vix-dispersion-check` @ 4:05 PM ET	`svix-squeeze-check` @ 4:00 PM ET
Script	`finance/scripts/vix_dispersion.py`	`finance/scripts/svix_compression.py`

How to Read the Disagreement

Both fire simultaneously

Strongest signal. Both the original paper methodology and the operational pattern agree compression is extreme. Tightest risk window. Highest priority for hedging considerations.

Only Thrasher fires

VIX dispersion is at 15th percentile but SVIX multi-indicator setup hasn't aligned. The paper's signal is the cleaner, backtested one — historically followed by 30%+ VIX spikes within 3 weeks. Treat as a real warning even without Vixologist confirmation.

Only Vixologist fires

Multi-indicator SVIX pattern aligned but VIX dispersion not yet at 15th percentile. This is what's firing as of May 2026. Pattern-based, not paper-backed. Useful as an earlier warning at the cost of more false signals.

Neither fires

Vol regime is in normal dispersion. Routine monitoring; no setup.

Convergence with Other Signals

Lakha implied/realized correlation divergence (Imran Lakha, @options_insight) — when implied correlation is much higher than realized, index vol is mispriced. Combined with a compression signal, the mismatch amplifies tail risk. See memory ref.
M1-M2 VIX futures roll spread — sharp flattening or inversion during a compression signal is the term-structure analogue. Watch /finance#vix roll-spread chart.
SPX uptrend persistence — Vixologist explicitly requires it; Thrasher doesn't but spikes typically follow extended low-vol uptrends.

References

Thrasher Paper details — full methodology, thresholds, backtest results
Vixologist Template details — indicator stack, signal logic, source post
Source paper PDF: /var/lib/jarvis/personal/research/papers/thrasher-2017-forecasting-volatility-tsunami.pdf
SSRN: https://ssrn.com/abstract=2949847
Memory: reference_thrasher_paper_methodology.md, reference_vixologist_thrasher_squeeze.md

Last reviewed: 2026-05-17. Updates: when either monitor logic changes, update the script, sentinel task, dashboard card, and this doc together.