October 30, 2026

2 min read

QHI Reading: Extreme Fear at 13.3 After 24 Down Days

In Extreme Fear, SPY One-Month Median Return Was +2.8% Against +1.7% Overall

The Quantlake Herd Index (QHI) stands at 13.3 on October 30, in Extreme Fear. The index fell 68.5 points over the past 20 sessions, including a 1.8-point daily drop. It sits 33.5 points below its 1-month average and 40.0 points below its 12-month average. QHI set its lowest level in 233 days.

The SPDR S&P 500 ETF SPY median 1-month return from Extreme Fear readings is 2.8%, against a 1.7% baseline. Across 844 Extreme Fear observations in the full history, the 5th-percentile 1-month outcome is -4.0% against -6.0%, and the worst-5% average is -6.0% against -9.6%. At three months, the median is 6.7% against 4.4%.

The current down streak has run 24 trading days, longer than 97.7% of historical down streaks. QHI has held in Extreme Fear for 4 trading days, or 0.21 times its historical average. QHI's 1-month standard deviation is 24.6 points, or 3.0 times its historical average.

Last yearDAILY · 1Y

Line chart: Quantlake Herd Index, daily, over the past year to 30 Oct 2026, across its five sentiment zones, above SPY's total return; ending at 13.3 in Extreme Fear; 12-month low 4.1 in Mar 2026, high 96.6 in May 2026

SPY Forward Return Statistics by Regime

Metric	1M — Extreme Fear0–20 pts · n=844	1M — Overalln=4261	3M — Extreme Fear0–20 pts · n=844	3M — Overalln=4261
Win Rate	81.2%	69.2%	88.2%	77.4%
Median Return	+2.8%	+1.7%	+6.7%	+4.4%
Expected Range (p25–p75)	+0.8% to +4.8%	-0.8% to +3.7%	+3.2% to +10.0%	+0.6% to +7.6%
VaR 5% / CVaR 5%	-4.0% / -6.0%	-6.0% / -9.6%	-5.1% / -9.5%	-8.1% / -12.6%
Full Range (min–max)	-11.1% to +25.2%	-32.8% to +25.2%	-16.3% to +39.9%	-29.8% to +39.9%
Sharpe Ratio	2.63	0.90	1.99	1.00

SPY After Extreme Fear Readings: Probability Cone

Next three monthsCONSTANT VOLATILITY · NO DRIFT

Candlestick chart: SPY daily to 30 October 2026, a constant-volatility cone over the next 63 sessions, the VIX and VIX3M ranges and past Extreme Fear outcomes; cone p10 to p90 $708 to $806 at three months; past Extreme Fear median $806

SPY closed at $755.72 on October 30. Its 21-day Yang–Zhang volatility is 11.4%, 0.5 standard deviations below its one-year norm of 12.8%, within the ±0.5 range of a normal state.

SPY Return Ranges, One and Three Months On

Source	1M: p10 – p90	Median	3M: p10 – p90	Median
Today's volatility, held constant (21-day 11.4%, 63-day 10.1%)	-4.1% – +4.3%	+0.0%	-6.3% – +6.7%	+0.0%
Options (VIX 22.61, VIX3M 22.48)	-8.0% – +8.7%	+0.0%	-13.4% – +15.5%	+0.0%
Past Extreme Fear readings (844 days)	-1.8% – +7.4%	+2.8%	-1.0% – +13.0%	+6.7%
All days since Aug. 2009 (4,261)	-4.0% – +5.5%	+1.7%	-4.8% – +10.6%	+4.4%

The cone and the options ranges assume a lognormal price with zero drift in log returns, so their median return is zero. The VIX, at 22.61, stands 1.98 times SPY's 21-day volatility, a ratio lower on 97% of days since August 2009 (median 1.32). The VIX3M, at 22.48, stands 2.22 times its 63-day volatility, a ratio lower on 99% of days (median 1.39). At three months (February 2), the median return after past Extreme Fear readings was +6.7%, against +4.4% for all days.

SPY Outcomes by QHI Zone and Volatility State

Zone	Volatility	Days	Episodes	1M median	1M p10	1M p90	1M win rate	3M median	3M p10
Extreme Fear	Calm	316	29	+2.3%	-1.5%	+5.2%	78.5%	+5.8%	+0.2%
Extreme Fear	Normal	239	21	+2.7%	-1.8%	+6.6%	84.9%	+7.3%	-5.4%
Extreme Fear	Stressed	289	23	+3.4%	-2.5%	+10.1%	81.0%	+7.1%	-0.1%
Fear	Calm	392	40	+1.4%	-2.7%	+4.1%	67.3%	+4.4%	-1.9%
Fear	Normal	272	36	+2.0%	-4.9%	+4.8%	78.7%	+5.0%	-4.0%
Fear	Stressed	274	31	+3.2%	-4.1%	+8.2%	76.6%	+5.8%	-2.7%
Neutral	Calm	328	45	+1.2%	-4.1%	+4.6%	64.3%	+4.3%	-1.5%
Neutral	Normal	225	39	+1.8%	-1.7%	+4.6%	79.6%	+4.8%	-1.0%
Neutral	Stressed	204	30	+1.6%	-4.8%	+6.9%	63.7%	+4.6%	-5.4%
Greed	Calm	421	45	+1.5%	-2.6%	+4.1%	66.5%	+3.4%	-6.3%
Greed	Normal	268	39	+1.4%	-4.4%	+6.3%	65.7%	+3.6%	-6.8%
Greed	Stressed	215	27	+1.8%	-6.4%	+5.3%	59.5%	+1.8%	-7.8%
Extreme Greed	Calm	389	34	+0.5%	-4.3%	+4.1%	56.8%	+3.0%	-9.3%
Extreme Greed	Normal	273	30	+1.0%	-6.8%	+4.4%	62.3%	+3.2%	-6.5%
Extreme Greed	Stressed	156	15	+0.6%	-8.6%	+5.9%	52.6%	+1.9%	-11.7%
All days	Calm	1,846	111	+1.3%	-3.2%	+4.3%	66.3%	+4.0%	-4.6%
All days	Normal	1,277	101	+2.0%	-4.3%	+5.3%	73.8%	+4.8%	-5.0%
All days	Stressed	1,138	68	+2.5%	-5.5%	+7.8%	68.9%	+4.8%	-5.2%

Each day since August 2009 is classed by its QHI zone and by its 21-day Yang–Zhang volatility against its own past year. The last three rows take all days by volatility state, with no QHI condition.

Across all days, the one-month median was +1.3% with calm volatility and +2.5% with stressed volatility.
In the same volatility state, the one-month median in Extreme Fear sat 0.7 to 1.0 points above all days; in Extreme Greed, 0.9 to 1.9 points below.
Extreme Greed's one-month p10 reached -8.6% with stressed volatility (15 episodes), against -5.5% for all stressed days.

Each row is part of its zone: the 844 Extreme Fear days split into 316 calm, 239 normal and 289 stressed, so the normal row's one-month median, +2.7%, differs from the zone's +2.8% in the table above. The rows hold 15 to 111 episodes.

Accessing Our Data

The full QHI historical series since August 2009 is available via the Quantlake API for systematic integration. Learn more about the QHI methodology →
Data: 30 Oct 2026 · Daily Time Scale.

Romain Gandon
CEO, Quantlake

Disclaimer: This article is for informational and educational purposes only and does not constitute investment advice. Past performance is not indicative of future results.

Definitions

Quantlake Herd Index (QHI)

The Quantlake Herd Index (QHI) is a proprietary cross-asset behavioral sentiment composite ranging from 0 to 100 that measures extremes in investor psychology across the U.S. financial system.

It aggregates signals from U.S. equity momentum and breadth, equity market concentration dynamics, credit market risk appetite (high-yield vs investment-grade demand), implied volatility conditions, and credit spread behavior. These inputs are normalized into a single behavioral risk barometer reflecting the balance between risk-averse and risk-on investor behavior.

QHI Regimes

0–20: Extreme Fear

20–40: Fear

40–60: Neutral

60–80: Greed

80–100: Extreme Greed

Statistical Terms

Win Rate (Hit Ratio): The percentage of historical periods in which SPY produced a positive return over the forward horizon. A win rate above 50% means positive outcomes historically dominated.

Median Return: The midpoint of the return distribution — 50% of outcomes fell above and 50% below this value. Less sensitive to extreme outliers than the average.

p25 / p75 (Expected Range): The range within which the middle 50% of historical outcomes fell. p25 is the 25th percentile (bottom of the range); p75 is the 75th percentile (top). A tighter range indicates a more predictable regime; a wide range reflects high dispersion.

VaR 5% (Value at Risk): The 5th-percentile return over the horizon — statistically, SPY has done worse than this figure only 5% of the time. A practical downside threshold: in 95 out of 100 historical observations, the actual outcome was better.

CVaR 5% (Conditional Value at Risk / Expected Shortfall): The average of the worst 5% of historical outcomes. Where VaR 5% sets the threshold, CVaR 5% gives the average outcome inside that tail, a more complete picture of severe downside risk.

Full Range (min–max): The absolute worst and best single-period outcomes recorded in the historical dataset. Useful as extreme-scenario context, but driven by one-off events (e.g. COVID crash, post-GFC recovery) rather than typical behaviour.

Sharpe Ratio: Annualised compound return over the forward horizon, less the T-bill return over the same windows, divided by annualised volatility: return above cash per unit of risk. Higher values indicate better risk-adjusted performance in that regime.

Volatility and Options

Probability Cone: A constant-volatility projection on a lognormal price with zero drift in log returns: today's 21-day Yang–Zhang volatility to one month and its 63-day volatility to three months, the total variance linear in time between them, as the VIX and the VIX3M match their own horizons. The inner band holds the middle half of the outcomes such a volatility gives, the outer band 80% of them (p10 to p90). It uses no QHI information and is not a forecast.

Yang–Zhang Volatility: A volatility estimate from each session's open, high, low and close, which counts the overnight gap between a close and the next open. Annualized.

Volatility State: The 21-day Yang–Zhang volatility against its own past 252 sessions, as a z-score of its logarithm: calm below −0.5, stressed above +0.5, normal between.

Options-Implied Range (VIX, VIX3M): The VIX and the VIX3M give the annualized volatility the S&P 500's options price over the next 30 and 93 calendar days. Each is applied to 21 and 63 sessions with the cone's assumptions (lognormal, zero log-return drift) to give a p10–p90 range. Since August 2009, the VIX stood above SPY's 21-day Yang–Zhang volatility on 85% of days, the VIX3M above its 63-day volatility on 90%.

Episodes: A row's days walked in date order, a day kept only when it falls at least 21 sessions after the last day kept: each kept day starts a one-month window that overlaps no other. Consecutive daily readings share most of their next month, so a row's days are not independent outcomes; its episodes come closer to that count.

p10: The 10th-percentile outcome: 10% of historical outcomes fell below it.