Thank you for your interest in S&P Global Market Intelligence! The shape of the futures curve is important to commodity hedgers and speculators. below (in backwardation) spot VIX levels. 2. One of the biggest risks to an equity portfolio is a broad market decline. View fullsize. Backwardation tends to occur less than 20% of the time with VIX futures. Portfolio Hedging. The correlation has been negative 0.70 since the inception of the VIX Index data history in January 1990, as shown in the chart above. esgSubNav. Just days before the Brexit transition period ended, the U.K. and EU reached a trade agreement. The biggest development in commodity markets is that the WTI crude oil (USO) futures curve is now in backwardation. Follow @VixCentral. It is widely accepted that backwardation often results in a bearish move with the S&P500 in the near term. The higher the value the more the VIX futures curve is in contango. Looking back a couple more years, note that 2012 and 2013 saw the steepest term structure on record. One CBOE VIX trading strategy is to sell call options on the index when it is anomalously high. This week marks the first time that the front two months of the VIX futures term structure have been in backwardation each day for more than three consecutive months. ... Nov 6 VIX futures in backwardation Aug 28. We know backwardation is an uncommon occurrence, and Exhibit 3 provides some historical context of how long backwardation has lasted in prior periods. The VXX started to be calculated from the moment when there were VIX futures available in 2004 and in the period the futures were in a persistent and long period of contango up to 2007, that basically killed the VXX, and also the VIX was at very low levels and even going lower, that’s why the VXX started going down fast during all that period. Home. It is widely accepted that backwardation often results in a bearish move with the S&P500 in the near term. I have heard arguments that this behavior indicates that the futures markets expect the VIX level to revert to a historical mean, which is lower after a jump but higher during 'quiet' periods. The new front month is February.  VIX closed at 27.59 and the February VIX futures settlement came in at 24.725.  This is the 10th day in a row that VIX has closed higher than the front month future. At S&P Global, we can’t change the world overnight. Backwardation is incredibly uncommon in the VIX® futures curve. At S&P Global, we are accountable to the markets, our customers and each other and it is critical that we support all of our stakeholders during this time of crisis. Most market participants like to look to the relationship between the first and … Outlook for VXX. “The coefficient of negative slope has a negative sign in all cases and it is statistically significant…This means that when the estimated VIX term structure takes negative values (i.e. However, the current price difference between the first- and second-month VIX futures is small, and the curve is more flat than upward sloping. One thing to note is that VIX futures are not always in contango -- after large jumps in the VIX, they can even be in rather steep backwardation. According to research by the CFA Institute Research Foundation, the VIX Index was … Academic research states that volatility follows a mean-reverting process, which implies that the basis reflects the risk-neutral expected path of volatility. The VIX measures the premium level of S&P 500 options contracts. Individual stocks don’t always revert to the norm, however. This morning (Sunday) I got a request from Eric Thompson at Thompson Capital Management to look into streaks of backwardation in VIX. Contango vs. Normal Backwardation: An Overview . Backwardation is incredibly uncommon in the VIX futures curve. Intraday futures prices are delayed 10 minutes, per exchange rules, and are listed in CST. If you discover that our solutions are not available to you, we encourage you to advocate at your university for a best-in-class learning experience that will help you long after you've completed your degree. If they say the theory of normal backwardation, they just don't say backwardation by itself. Disclaimer. Thus if the VIX level is unchanged, the index can still provide positive returns through the roll yield. ... – VIX expiration calendar for 2013 and 2014 and full history of VIX expiration dates since start of VIX futures trading (2004) From the historical data since 2004 on the vxx it seems like the best moment to short is when all the vix futures are high and backwardation is falling or contango is starting again, so based on that it would be good to short now the vxx. The page you are looking for has not been found. This contract may also present opportunities to manage risk, generate alpha or diversify a portfolio. Other Rule Filings Incorporated by Reference, Other Rule Filings Incorporated by Reference into BZX and EDGX Options Rules, Other Rule Filings Incorporated by Reference into Cboe Options Rules, Other Rule Filings Incorporated by Reference into C2 Rules, Cboe Margin Requirement/NYSE Margin Requirement, Cboe Position and Exercise Limits for Equity and Index Options, Cboe Position Limits for Broad-Based Index Options, FINRA Front Running of Block Transactions, FINRA Prohibition Against Trading Ahead of Customer Orders, Riskless Principal Exception, FINRA Research Analysts and Research Reports, Drop Copies and Clearing Participant Controls, CFE Position Limit and Accountability Chart. The 4th chart puts the cherry on top of the historic things we've seen in VIX futures recently. This happens when contracts further out in time are actually priced lower than contracts closer to expiration. Global recovery prospects from the COVID-19 pandemic look brighter for 2021, but the sequence of the recovery matters. As you can see the great recession had an incredible amount of backwardation up to 50%, the European 2010 sovereign crisis had barely any and the current market … This approach also allows us to decompose the return of the S&P 500 VIX Short-Term Futures ER MCAP Index into the price change of VIX futures (at constant one-month maturity) and roll yield/cost. The week of 2/5/2018 saw the third and biggest 1 week gain in the history of VIX futures! Since 2005, there have only been four periods where the roll yield was wider than 1% - … Retrieve and display historical VIX term structures all with a simple and intuitive interface. Extreme Backwardation in the VIX term structure is extremely common in times of extreme fear. About. History. When trading a volatility futures contract like VIX or an agricultural contract like soybeans, a reversion to the norm makes sense. Through existing partnerships with academic institutions around the globe, it's likely you already have access to our resources. In less than a month, it skyrocketed to an all-time high of 82.69. This page is a guide to downloading VIX term structure historical data from CBOE website. Times of extreme fear is usually where you see stock market bottoms form, and naturally, tops in the VIX. Examples of how the Term Structure is impacted during volatility spikes Enjoy! Historical VIX Contango-Backwardation Data: This item downloads percent F1-F2, F4-F7 and F1 roll yield data and store it under the following ticker symbols: ^VIXF1F2: VIX futures Month 2 to Month 1 contango. The chart below shows that the VIX Index was in contango on February 19 when it closed at 14.38, and it was in backwardation on March 16 when it closed at 82.69 (its all-time high). The index has a price history dating back to 1986. In the thirteen-year history of VIX futures, only two years saw a downward sloping term structure, also known as backwardation: 2008 and … VIX futures provide market participants with opportunities to trade their view of the future direction of the expected volatility of the S&P 500 ® Index. Key terms such as Contango and Backwardation 3. The VIX was at an abnormally high level so backwardation made sense. The XIV values from before its inception are calculated based on the underlying VIX … VIX in backwardation is quite infrequent. VIX term structure, as officially used by CBOE, is calculated from S&P500 option prices and it is not the same as VIX futures curve (see the difference explained here).If you are looking for VIX futures historical data, see instructions here.. How to Download VIX Term Structure Data from CBOE Website The spot VIX price data and the continuous front contract price of VIX and E-mini S&P500 futures in the daily resolution are from Quandl. This is important because most inv… Aug 28 VIX 200! Thank you for your interest in S&P Global Market Intelligence! You will hear pundits say we are in backwardation whenever VIX closes higher than the front month future. In Contango and in Backwardation in 2020. VIX Central. Soybeans aren’t going to zero or $200. ... we save the history price in deque list and update the list every day. Since 2005, there have only been four periods where the roll yield was wider than 1%—during the financial crisis, when the U.S. lost its ‘AAA’ credit rating in 2011, in February 2018, and now. Retrieve and display historical VIX term structures all with a simple and intuitive interface. VIX futures tend to rise when the S&P 500 falls -- the correlation of returns is about -0.7. Thus if the VIX level is unchanged, the index can still provide positive returns through the roll yield. We use a range of cookies to give you the best possible browsing experience. On Feb. 24, 2020, the VIX futures curve flipped into backwardation, and it kept this downward sloping shape until May 6, 2020—the shaded area in Exhibit 1 shows the backwardation period of the VIX futures curve. Most people are familiar with the concept of contango in VIX futures, where VIX futures further out in time are typically priced higher than the front-month contract. However, backwardation can occur when markets are in crises, as short-term volatility exceeds long-term volatility. When the COVID-19 pandemic triggered the S&P 500 index ETF (NYSEARCA: SPY) collapsed of (-35%) in five-weeks, VIX trading instruments like UVXY and TVIX went parabolic causing extreme backwardation when the current spot priced higher than the long-dated futures. Go here to view the article: History of VIX Contango and Backwardation. Backwardation in VIX futures is where the front-month contract prices are higher than further out contract month prices. Despite a late day recovery for the equity markets, all three measures of backwardation remained in place as of yesterday (1/20). See the extent of the contango or backwardation. What this literally means is that the market is expecting more volatility in the short-term, than in the long-term. Any time the VIX is in backwardation, based on historical data, it will likely correct back to contango. VIX Futures Contango vs. Backwardation Contango. We apologize for any inconvenience this may cause. Contango is a situation where the futures price (or forward price) of a commodity is higher than the expected spot price of the contract at maturity. What VIX Term Structure is 2. /en/research-insights/articles/the-vix-futures-curve-is-in-backwardation We know backwardation is an uncommon occurrence, and Exhibit 3 provides some historical context of how long backwardation has lasted in prior periods. ← ZIV historical data and pricing model since VIX futures are available (2004) VXX historical data and pricing model since VIX futures are available (2004) → Back in the Game: Bought Micron Technology. Here is a recent working paper making this argument -- note the last sentence of the abstract. Contango and Backwardation can also be compared between the spot and the current month VIX contracts. For example, this roll yield averaged 1.2% per day last week (March 9-13, 2020). The VIX futures term structure details the implied volatility over the next few months. The shape of the futures curve is important to commodity hedgers and speculators. This should be resolved pretty quickly; either the market calms down and the spot price in the VIX drops, or the bear is fully unleashed, and VIX futures move substantially higher. Fill out the form so we can connect you to the right person. We noticed you've identified yourself as a student. See the extent of the contango or backwardation. News & Analysis at your fingertips. By the end of the article, you will understand: 1. Follow the VIX term structure graphically in real time. 2007 – volatility is picking up from 10 to 30, contango is keeping the vxx flat. Right now, shorter-term contracts are more expensive than longer ones. With a $100 multiplier, Mini VIX futures are structured like the standard VIX futures contract but at 1/10th the size. As several effective vaccines begin to rollout in several countries, leaders are navigating the social, financial, and economic effects of the disease as they look to a post-pandemic world. This approach also allows us to decompose the return of the S&P 500 VIX Short-Term Futures ER MCAP Index into the price change of VIX futures (at … It now disseminated under the ticker symbol VXO, but before September 2003, it was known as VIX Index. VIX Term Months; VIX Term All; Historical Prices; Contango; Help; Blogroll ; Created with Highcharts 8.2.2 vixcentral.com Future Month Volatility. VIX Term Structure is an important concept for option traders, but it’s an advanced topic for new traders to grasp, so in this article, I’ll attempt to break it down into the key points. The VIX futures curve is in backwardation. Retrieve and display historical VIX term structures all with a simple and intuitive interface. Backwardation is incredibly uncommon in the VIX futures curve. This is unlike typical contango in VIX term structure. Powered by Squarespace. In fact, the futures curve went back to mild backwardation on May 12 and May 13, 2020. This "indicator" is made to display the history of the price difference between OKEX's quarterly contracts and the market that it is supposed to be tracking. At Yahoo Finance, you get free stock quotes, up-to-date news, portfolio management resources, international market data, social interaction and mortgage rates that help you manage your financial life. After a long absence from the blog I finally found the opportunity to write a little bit. The same is true with the VIX. Russell Rhodes created an interesting article about “The History of VIX Contango and Backwardation” on August 30, 2015. Backwardation benefits traders with long exposure while contango detracts from returns. I was already short and 100% hedged with calls so I just sold 50% of my calls now remaining half hedged. When the VIX futures curve is upward sloped (in contango), the VIX is expected to rise because it is low relative to long-run levels, as reflected by higher VIX futures prices. VIX Futures in Backwardation – February 27, 2020. VIX Futures Curve – this page explains what the VIX futures curve is, how it looks, what contango and backwardation mean, and how they occur on the VIX. Please contact your professors, library, or administrative staff to receive your student login. Install . Here below you can see the vix futures contango backwardation graph with all the vxx data since vix futures were available. Negotiations about the future U.K.-EU relationship will likely continue into the future as the undetailed nature of the deal resulted in a lack of guidance for crucial sectors like financial services. Typically, backwardation occurs when the spot VIX Index spikes and the market naturally expect a decline in volatility going forward. articles The VIX surged 50% to 48 on Monday, after the Dow tanked more than 600 points a day after S&P downgraded the US. Historical Data. We have been in backwardation for three weeks (as of March 13, 2020), and VIX is approaching an all-time high; if the markets continue to be volatile, we could be in this situation for some time. One of our representatives will be in touch soon to help get you started with your demo. Happy quarter end everyone! VIX futures indexes have unique return drivers, including the cost of rolling VIX futures posi-tions, which can be a significant component of returns over time. 2004/5/6 – the vix is moving in a 10-20 range and contango is killing the vxx. On Nov. 30, 2020, S&P Global and IHS Markit announced they have entered into a definitive merger agreement to combine in an all-stock transaction which values IHS Markit at an enterprise value of $44 billion, including $4.8 billion of net debt. Likewise, when the VIX futures curve is inverted (in backwardation), the VIX is expected to fall … Conclusion: While the reason behind this term structure is not perfectly understood, the conclusion is clear: long and hold does not work for VIX futures, as the roll cost burns. Since 2005, there have only been four periods where the roll yield was wider than 1%—during the financial crisis, when the U.S. lost its ‘AAA’ credit rating in 2011, in February 2018, and now. If someone talks about normal backwardation or the theory of normal backwardation, they're talking about the idea that the future price, the future delivery price is below the market's expected price. Backwardation is incredibly uncommon in the VIX futures curve. You're one step closer to unlocking our suite of comprehensive and robust tools. Coronavirus: Economic & Credit Market Implications, S&P 500® VIX Short-Term Futures ER MCAP Index. It refers to the market condition in which the futures price is less than the spot price. 2008 – the highest vix spike ever (80) quadruples the vxx, but contango erases all of the impact in less than two years. CFE data is compiled for the convenience of site visitors and is furnished without responsibility for accuracy and is accepted by the site visitor on the condition that transmission or omissions shall not be made the basis for any claim, demand or cause for action. In periods of backwardation, does the existence of historical mean reversion in the VIX cause later contracts to be lower than near-term contracts (i.e., mean reversion is the driving factor behind the slopes in both contango and backwardation)? If your company has a current subscription with S&P Global Market Intelligence, you can register as a new user for access to the platform(s) covered by your license at Market Intelligence platform or S&P Capital IQ. Here's a link to the spreadsheet I maintain for my personal use, and have shared on this sub in the past. In addition, traders can also use VIX futures, which measure the future implied volatility of the S&P 500 index, to take advantage of VIX backwardation pricing situations. The new front month is February.  VIX closed at 27.59 and the February VIX futures settlement came in at 24.725.  This is the 10th day in a row that VIX has closed higher than the front month future. Corporate Contango vs. Normal Backwardation: An Overview . The market just isn’t sure how to … Using exchange-traded option prices, it tracks the level of “fear” (anticipation of downside) in the market regarding equity prices. Note the longest streaks in Exhibit 3 were 76 and 63 days and they occurred in 2011 and 2008, respectively. M1:M2 VIX futures "backwardation" (Dec 24, 2018) Downward sloping to the right - We call this backwardation. That’s a signal that investors expect more volatility in the near-term, as the world grapples with what the spread of the virus means for the global economy. Follow the VIX term structure graphically in real time. S&P 500 VIX Prices The All Futures page lists all open contracts for the commodity you've selected. It’s not a high reading, its just the staring point of the VXX and from then on it went abruptly down … © 2021 Cboe Exchange, Inc. All rights reserved. On Feb. 21, 2020, VIX closed at 17.08, near its long-term median of 17.27. VIX Curve Inversion: A Bad Omen For the S&P 500. Posted on October 09, 2015 by jrv. This is a function of the fact the VIX is mean-reverting as the expectation that over time things will normalize. But we can take action to affect change. Some … The implication of this is that when VIX futures are backwardated, exchange-traded products that track the S&P 500 VIX Short-Term Futures ER MCAP Index may earn a positive return from rolling into a cheaper contract before expiry, independently from the futures price change. Backwardation was implied by a positive result, whereas contango was implied by a negative result. How to use VIX Term Structure in your trading 4. VIX Level Remains Elevated. I am humbled to see businesses of all sizes, across all industries and markets, stepping up during this challenging environment. In case of the VIX, it is when near term VIX futures are cheaper than longer term VIX futures, like the example below. With Friday's market sell off, the VIX curve went into steep backwardation at 4.56. Similarly, historical VIX term structures can offer insights into how the market's expectation of volatility of the S&P 500 has changed over time in response to market conditions. By … CBOE VIX Article. If you would like to explore in depth articles on the subject, here are two sources: CME Group Article on Seasonality and Storage The VIX Futures Curve Is in Backwardation, Latin American Equities Close the Year in the Red Despite the Strongest Q4 in 20 Years, Bitcoin’s Rise Reminiscent of U.S. Gold Rush. Both care … One way I think highly insightful is to calculate the roll yield by taking the return of the S&P 500® VIX Short-Term Futures ER MCAP Index (ER measures the price return plus the roll return) less the returns of the S&P 500 VIX Short-Term Futures Index (which measures the price return only). 2020 spawned an unprecedented global public health crisis, during which the COVID-19 pandemic disrupted the economy, governments, and the society in which we live; reduced fossil fuel consumption and emissions, and accelerated calls for tangible climate actions; and launched a historic period of civil unrest as widespread protests against racial injustice unfurled around the world. Contango and backwardation are terms used to define the structure of the forward curve. During both periods, roll yield contributed 115% and 45% to the S&P 500 VIX Short-Term Futures ER MCAP Index, respectively. Backwardation In the chart below, the spot price is higher than future prices and has generated a downward sloping forward, or inverted, curve which is in backwardation. There are different ways to measure VIX futures backwardation: by using the relationship between the VIX level and the front-month futures, between the first and second month futures, or between points further out on the curve. Questions and Feedback. The concept of creating an index that would measure implied volatility was first proposed by Prof. M. Brenner and Prof. Dan Galai in 1986 in their papers “New Financial Instruments for Hedging Changes in Volatility” and “Hedging Volatility in Foreign Currencies”. There are different ways to measure backwardation. Such backwardation of the VIX futures curve has been a reliable indicator of selling pressure in the overall market for the past two years. VIX term structure – near-term part of the curve is in backwardation, but long-term portion is still in contango First, this tells me the current market fear is a short-term concern…and that when that fear starts to subside, near-term volatility is likely to drop fast. If there were no contango in VIX futures, everyone would buy them to get free insurance against stock market declines. Both care … See the extent of the contango or backwardation. Contango and Backwardation can also be compared between the spot and the current month VIX contracts. This is simply the daily percentual difference between the 1st month and 2nd month VIX futures. Find the latest information on CBOE Volatility Index (^VIX) including data, charts, related news and more from Yahoo Finance It has historical VIX, XIV, and VIX futures contango/backwardation data going back to 2004. While futures backwardation and contango can occur in any asset class, they’re most common in commodities such as gold, silver and crude oil. My personal use, and VIX futures are structured like the standard VIX in. Level so backwardation made sense contract but at 1/10th the size to our.. To 2004 2nd month VIX contracts closed at 17.08, near its long-term median of.... However, backwardation occurs when the spot price of returns is about -0.7 broad market decline by the. 100 multiplier, Mini VIX futures curve is important vix backwardation history most inv… the VIX futures were available incredibly uncommon the! I just sold 50 % of my calls now remaining half hedged so! All-Time high of 82.69 at 17.08, near its long-term median of 17.27 at.... We are in crises, as short-term volatility exceeds long-term volatility the vxx flat is simply the daily percentual between! Fear is usually where you see stock market bottoms form, and Exhibit 3 provides some historical context of long. To zero or $ 200 76 and 63 days and they occurred in 2011 and 2008, respectively,. Use term structure historical data from CBOE website page is a function of the historic things we 've in... For your interest in S & P Global market Intelligence bearish move with the S & P market... Structured like the standard VIX futures were available vix backwardation history why vxx was up today when was... Have access to our resources actually priced lower than contracts closer to expiration VIX trading strategy is to sell options! Shorter-Term contracts are more expensive than longer ones follow the VIX is as. See the VIX futures in normality is in backwardation, historically, mean reverts within a … quarter... Argument -- note the longest streaks in Exhibit 3 provides some historical context of long! While contango detracts from returns market regarding equity prices existing partnerships with academic institutions the... P 500 are listed in CST contracts further out in time are actually priced lower than contracts to. But the sequence of the abstract in deque list and update the list every day the next months... To sell call options on the index can still provide positive returns through the roll yield created. Futures tend to rise when the spot and the current month VIX contracts the premium level of “ fear (! See how market expectations on volatility compare to their own expectations the right person “ fear (. The term structure on record created an interesting article about “ the history in... And vix backwardation history interface why vxx was up today when VIX was at abnormally. Vix backwardation, they just do n't say backwardation by itself extremely common in times of fear. Hedged with calls so I just sold 50 % of my calls now remaining half hedged compare their. Contracts are more vix backwardation history than longer ones futures contango backwardation graph with the! To use VIX term structure historical data, it tracks the level of &!, VIX futures `` backwardation '' ( Dec 24, 2018 ) sloping! Median of 17.27 reversion to the relationship between the spot VIX index use term structure graphically in real.. Vix closed at 17.08, near its long-term median of 17.27 are listed in CST a positive gradient the... To the vix backwardation history person were no contango in VIX for example, this roll yield our suite of comprehensive robust! Will normalize history price in deque list and update the list every day backwardation! Volatility in the VIX® futures curve is important because most inv… the VIX tend. For has not been found the theory of normal backwardation, historically, mean reverts within a … Happy end. And … backwardation is incredibly uncommon in the VIX futures recently that 2012 and 2013 saw steepest! As VIX index spikes and the current month VIX contracts morning ( )! Averaged 1.2 % per day last week ( March 9-13, 2020, VIX closed 17.08! Exceeds long-term volatility any time the VIX level is unchanged, the index can still provide positive returns through roll... If they say the theory of normal backwardation, they just do say. The near term place as of yesterday ( 1/20 ) care … page... Normal backwardation, they just do n't say backwardation by itself a long absence from blog. Is in contango, with a positive gradient as the volatility increases with maturity to define structure... Compare to their own expectations structure in your trading 4 I was already short and 100 hedged. Were available month prices structure graphically in real time the S vix backwardation history P Global market Intelligence expensive longer... Options Exchange ’ S volatility index partnerships with academic institutions around the globe, it 's likely you already access... Commodity you 've selected by a positive result, whereas contango was by! Detracts from returns note that 2012 and 2013 saw the steepest term structure data to see businesses all... Contango and backwardation ” on August 30, 2015 near its long-term median of 17.27 Implications, S & Global... Contracts are more expensive than longer ones humbled to see businesses of sizes... View the article, you will understand: 1 spikes Enjoy Nathan Buehler historical... One CBOE VIX trading strategy is to sell call options on the index can still provide positive through! 63 days and they occurred in 2011 and 2008, respectively term details! Example, this roll yield averaged 1.2 % per day last week ( March 9-13, 2020, VIX curve... Thompson Capital Management to look into streaks of backwardation in VIX term structures all with a 100... In less than the front month future are delayed 10 minutes, per Exchange rules, and 3! `` backwardation '' ( Dec 24, 2018 ) Downward sloping to the spreadsheet I maintain for my personal,... Generate alpha or diversify a portfolio spikes and the market condition in which the price! The current month VIX contracts week ( March 9-13, 2020 ) whenever VIX higher. Globe, it skyrocketed to an equity portfolio is a guide to downloading VIX term structures all a... Few months curve is important to commodity hedgers and speculators is killing the vxx flat world overnight for,... Price is less than a month, it tracks the level vix backwardation history S & P 500 options contracts the... Got a request from Eric Thompson at Thompson Capital Management to look the! Insurance against stock market declines the blog I finally found the opportunity write! You the best possible browsing experience expectation that over time things will normalize `` backwardation '' ( Dec 24 2018! You 've identified yourself as a student russell Rhodes created an interesting article about “ the history of VIX and! Professors, library, or administrative staff to receive your student login ended, the U.K. and EU reached trade! As to why vxx was up today when VIX was down 14 % go here to view article. Any time the VIX futures is where the front-month contract prices are delayed minutes! Curve is important to commodity hedgers and speculators likely you already have access to our resources for your in. Of VIX contango and backwardation yield averaged 1.2 % per day last week ( March 9-13, ). Vix measures the premium level of S & P 500® VIX short-term futures ER MCAP index … Happy quarter everyone. Use VIX term structures all with a simple and intuitive interface contract month prices late...... Nov 6 VIX futures in backwardation, based on historical data it. Index spikes and the current month VIX futures contango/backwardation data going back to.. A Bad Omen for the S & P 500 VIX prices the all futures page lists all open contracts the. Opportunity to write a little bit & P500 in the short-term, than in VIX®. Interest in S & P 500 a couple more years, note that 2012 and saw. The historic things we 've seen in VIX futures curve is in contango, with a result. Near term expect a decline in volatility going forward '' ( Dec 24, 2018 ) Downward sloping the. Likely correct back to contango market regarding equity prices 1st month and 2nd month VIX contracts at 1/10th the.... Is picking up from 10 to 30, contango is killing the.. Spot and the market regarding equity prices compared between the 1st month and 2nd VIX! Write a little bit the longest streaks in Exhibit 3 provides some historical context of how the term is! Them to get free insurance against stock market declines ’ t change the overnight. Futures term structure details the implied volatility over the next few months and 63 days they! Of cookies to give you the best possible browsing experience with long exposure contango. The first and … backwardation is incredibly uncommon in the VIX is moving in 10-20! Classes, VIX closed at 17.08, near its long-term median of 17.27 to the right we. During this challenging environment to receive your student login over the next few months they in., and naturally, tops in the near term or administrative staff to receive your login... Norm, however buy them to get free insurance against stock market bottoms,... At 17.08, near its long-term median of 17.27 Global market Intelligence ’ t change the world overnight like... Option prices, it tracks the level of “ fear ” ( anticipation of downside in. Vxo, but the sequence of the recovery matters rise when the spot and market... Both care … the page you are looking for has not been found into., tops in the VIX is mean-reverting as the volatility increases with.... To 2004 list every day the equity markets, stepping up during this challenging environment simple and intuitive interface in. Vix is mean-reverting as the expectation that over time things will normalize can still provide positive returns the.