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VIX Contango-Backwardation Data

by Brian Brown, 1880 days ago
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Definition:

VIX futures are often priced differently depending on the expiration date. VIX term structure is a plot of the futures values for different expiration dates.
When the near-term VIX futures contract is priced lower than later VIX futures, we say that the VIX futures curve is in contango. The opposite, backwardation, is when the near-term VIX futures is priced higher than a later VIX futures. Backwardation happens rarely (only about 20% of the time).


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 higher the value the more the VIX futures curve is in contango. This value is calculated by dividing the F2 VIX volatility by the F1 (Front Month) VIX volatility.
^VIXF4F7: Same as above but compare Month 7 to Month 4 VIX volatility.
^VIXF1RollYield: This is the Stop-F1 roll yield and it is calculated by dividing the front month VIX volatility by the VIX spot price


Historical data spans from October 2008 to present and can be used as trading signals to trade VIX futures or volatility ETFs (VXX, ZIV, TVIX...)

Example of a trading system that trades ZIV ETF:

a = getseries("^VIXF1F2", close);
buy = a > 0;
sell = a <= 0;

// Enter long ZIV when the VIX term structure is in contango
// Exit ZIV when the VIX term structure is in backwardation


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Type: Download Script

Object ID: 1527


Country:
United States

Market: Futures Market

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