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VIX futures curve

The curve of volatility futures prices across expirations; upward sloping most of the time and inverted when the market is frightened.

The shape is one of the more honest sentiment readings available, because it costs real money to express. Contango, the normal state, says the market expects current calm to give way to average conditions. Backwardation says the market thinks the current problem is acute and temporary.

Traders use the front-to-second-month ratio as a regime signal. Sustained inversion has historically coincided with the worst equity drawdowns; a flip back to contango has often marked the point at which volatility selling becomes viable again. Neither observation is a strategy on its own.

Example: front month 17, second 18.5, third 19.5 — contango, a calm market, and a headwind for long volatility holders. Two weeks later: front 34, second 29, third 26 — inverted, with the front contract expected to fall fastest.

Related: volatility-futures, volatility-term-structure, contango, backwardation

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

Contango and backwardationTwo futures curves against contract expiry: one rising above spot, one falling below it.The same commodity, priced for delivery at different dates.78.0076.0074.0072.0070.00Futures pricespot+1m+2m+3m+4m+5m+6mMonths until the contract expiresspot price74.00CONTANGOlater contracts cost more than spotBACKWARDATIONlater contracts cost less than spot
Contango and backwardation. A futures curve shows what buyers will pay for delivery in one month, two months and so on. When later contracts cost more than the spot price the curve is in contango; when they cost less it is in backwardation.

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