VIX Futures Basis
Canonical definition, formula, interpretation, and API reference.
Definition
Spread between VIX futures (approximated by VIX3M) and VIX spot. Positive = contango (normal). Negative = backwardation (stress).
Formula
Basis = VIX3M - VIX, Basis% = (VIX3M-VIX)/VIX x 100
Approximated from VIX3M vs spot (not actual futures).
Inputs
VIX spotVIX3M
Output
front_monthspotspreadbasis_pctbasis
Interpretation
- Positive (~5-10%): normal contango
- Near-zero: uncertain
- Negative: stress — spot VIX exceeds futures
API Reference
Endpoint
GET /v1/stock/{symbol}/summary
Tier
Free
Response field
macro.vix_futures.front_month, spot, spread, basis_pct, basis
Why VIX Futures Basis Matters for Trading
TL;DR
VIX futures basis is front-month VIX future minus spot VIX. Positive (contango) = calm. Negative (backwardation) = stress.
- What it measures
- Front-month VIX future price minus the spot VIX index.
- What it signals
- The near-term vol risk-premium demanded by VIX-futures buyers and sellers.
- Why we measure it
- Spot VIX can spike without the term structure moving — basis shows whether the spike is priced in or structural.
- Who uses it
- VIX-futures traders, VXX/VIXY ETP holders, systematic vol desks.
How to read VIX Futures Basis
Positive basis (contango)
- Calm expected
- Short VXX earns roll
- Systematic short VIX futures work
- Default regime
Good for: short VIX futures / VXX
Negative basis (backwardation)
- Stress regime priced in
- Long VIX futures / VIXY work
- Short VXX blows up
- Rare but critical signal
Bad for: short VIX — good for: long hedges
Near-zero basis
- Regime in transition
- Minimal roll yield either way
- Reduce size
- Rare state
Transition
Rules of thumb
- Basis drives ETP returns. Contango = VXX decays. Backwardation = VXX rallies. It's math, not prediction.
- Pair with VIX term structure. Basis is a one-point snapshot; term structure is the full curve.
- Sign matters more than magnitude. A 2% contango and a 10% contango both indicate calm — direction drives ETP P&L.
- Event-driven inversions. CPI, FOMC, earnings routinely invert basis briefly.
- Free-tier data. VIX and futures data are public — FlashAlpha aggregates in summary.
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