VIX levels above 20 is often considered as marking the transition from normal to elevated volatility. But once the VIX breaks above 20, how often does it climb to the next threshold of 25? and how long does it usually take?
To avoid double-counting, we defined each “run” strictly as:
The VIX was below 20.
It then crossed above 20 for the first time.
We followed that run forward until the VIX either:
Reached 25 (success), or
Fell back under 20 (failure).
This isolates each volatility episode as a unique event.