VIX Term Structure
Canonical definition, formula, interpretation, and API reference.
Definition
VIX9D/VIX/VIX3M/VIX6M levels showing forward vol expectations. Contango = calm, backwardation = stressed.
Formula
near_slope_pct = (VIX - VIX9D) / VIX9D
Structure: contango or backwardation.
Inputs
VIX9DVIXVIX3MVIX6M
Output
levelsnear_slope_pctstructure
Interpretation
- Contango: VIX3M > VIX - calm, no stress premium
- Backwardation: VIX > VIX3M - near-term fear
- Steep contango: strong mean-reversion signal
API Reference
Endpoint
GET /v1/stock/{symbol}/summary
Tier
Free
Response field
macro.vix_term_structure.levels, near_slope_pct, structure
Why VIX Term Structure Matters for Trading
TL;DR
The VIX term structure (VIX9D → VIX → VIX3M → VIX6M) is the bond-market-style yield curve for volatility. Contango = calm. Backwardation = stress.
- What it measures
- The curve of VIX-family indexes across time: VIX9D (9 days), VIX (30 days), VIX3M (90 days), VIX6M (180 days).
- What it signals
- The market's vol-of-vol regime and stress level.
- Why we measure it
- A single VIX number is static. The curve tells you which direction vol is going.
- Who uses it
- Macro traders, vol PMs, VIX-futures traders, systematic risk-parity desks.
How to read VIX Term Structure
Contango (VIX9D < VIX < VIX3M < VIX6M)
- Calm, orderly regime
- Short-front-VIX strategies work
- VXX short earns roll yield
- Typical in trending bull markets
Good for: short VXX, calendar spreads
Backwardation (VIX9D > VIX > VIX3M)
- Acute stress priced in
- Long-VIX strategies win
- Short VXX blows up fast
- Risk-off regime
Bad for: short VIX - good for: VIXY, hedges
Flat curve
- Regime in transition
- Neither contango nor backwardation dominant
- Reduce VIX-term size
- Watch for resolution
Transition
Rules of thumb
- Contango is the default. Vol term is contango ~85% of the time. Backwardation is the outlier signal.
- Pair with VIX futures basis. Index term and futures basis usually move together.
- Watch inversions. VIX9D > VIX is the first and most reliable stress signal.
- Roll yield funds VXX's decay. Contango = VXX bleeds. Backwardation = VXX rallies.
- Available free tier. VIX indexes are public. Read them directly or via FlashAlpha summary.
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