Term Structure Strategy API

Endpoint

curl -H "X-Api-Key: YOUR_API_KEY" \
  "https://lab.flashalpha.com/v1/strategies/term-structure/SPY"

import requests

resp = requests.get(
    "https://lab.flashalpha.com/v1/strategies/term-structure/SPY",
    headers={"X-Api-Key": "YOUR_API_KEY"}
)
data = resp.json()
print(f"{data['regime']} slope={data['metrics']['slope']}")

const resp = await fetch(
  "https://lab.flashalpha.com/v1/strategies/term-structure/SPY",
  { headers: { "X-Api-Key": "YOUR_API_KEY" } }
);
const data = await resp.json();
console.log(`${data.regime} slope=${data.metrics.slope}`);

Response

Returns the standard strategy decision envelope. This is a pure-signal endpoint, so no structure is selected and decision is neutral. Only metrics and regime change per strategy.

{
  "strategy": "term_structure",
  "symbol": "SPY",
  "timestamp": "2026-06-05T14:32:11Z",
  "decision": "neutral",
  "score": 50,
  "confidence": 0.86,
  "regime": "contango",
  "best_structures": [],
  "metrics": {
    "front_iv": 0.138,
    "back_iv": 0.172,
    "slope": 0.034,
    "shape": "upward",
    "expiry_count": 6,
    "term_points": [
      { "expiry": "2026-06-19", "dte": 14, "atm_iv": 0.138 },
      { "expiry": "2026-09-18", "dte": 105, "atm_iv": 0.172 }
    ],
    "underlying_price": 589.12
  },
  "risk_flags": [],
  "why": ["Back-month ATM IV exceeds front-month by 3.4 vol points (contango)."],
  "avoid_if": ["A near-term event is about to invert the front of the curve."],
  "data_quality": { "score": 91, "warnings": [] }
}

Strategy-specific fields

Notable metrics keys (in addition to the always-present underlying_price):

regime values: contango, backwardation, flat_term; plus no_term_structure_data (insufficient-data case).

Errors

About

This strategy is a pure-signal read of the ATM implied-vol term structure across all upcoming expiries. It classifies the curve as contango, backwardation, or flat, and reports front/back IV, the slope, and per-expiry term points.

It returns the standard strategy decision envelope shared by all Strategy Signals endpoints. As a signal-only read no structure is selected and decision is neutral. When no expiry has a usable ATM IV, it returns decision: insufficient_data with regime: no_term_structure_data.

Common Use Cases

• Read contango vs backwardation - use regime to classify the curve and pick calendar or diagonal setups accordingly
• Trade only clean signals - act when decision is candidate and skip no_setup reads where the slope is flat
• Drop in the proposed structure - pull best_structures[] for a calendar or diagonal aligned with the curve shape
• Flag front-end inversions - catch backwardation ahead of events via regime and risk_flags[]
• Rank the watchlist - sort by score to find the steepest term-structure dislocations across a universe
• Respect the guardrails - scale by score and confidence, and require a clean data_quality before trading the curve

Related

Related reading

• Volatility term structure: contango, backwardation & events - the curve mechanics behind the signal
• ML on options data: a quant guide - feed term-structure features into a systematic model
• Alpha decay: which signals erode - how a curve edge mean-reverts

Complementary endpoints

• Strategy Signals overview - the shared decision envelope across every strategy
• Vol Carry - pair the curve shape with a VRP edge before trading the tenor
• Skew & Term - the raw ATM term-structure points the signal is built on