VIX Contango Regime Long
In plain terms
The original unvintaged proxy stays blocked; a named published-spot successor restores its internal rules.
How it works
When the VIX term structure is in steep contango (VIX/VIX3M < 0.95), vol-of-vol is low and short-dated implied vol premium is being paid by hedgers — a classic risk-on regime for equities. The literature documents +6-12%/yr return on the SPY long leg conditioned on steep contango vs the all-period baseline.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Vix prices
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- +6-12%/yr conditional
- Tested over
- T+1 to T+21d
+6-12%/yr conditional on steep contango (Johnson 2017).
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Explore VIX Contango Regime Long on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.