vix contango regime long
What it checks
When the 30-day VIX is meaningfully below the 90-day VIX (steep contango, ratio < 0.95), the equity market is in a calm risk-on regime. Go long SPY or high-beta names for 2-4 weeks.
Mechanism
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.
Signal rule
VIX/VIX3M < 0.95 / 0.90 (T+1) -> LONG risk-on equity (SPY/QQQ/IWM/Mag-7 basket) for 10/21 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
vix_pricesWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- +6-12%/yr conditional
- Paper window
- 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
vix term structureMacroVX1/VX3 slope predicts S&P returns 5-20d. Steep contango → calm → drift up. Backwardation → vol-shock → underperformance.
vrp vix termMacroVIX term-structure slope (VIX9D / VIX vs VIX / VIX3M) is a coincident indicator of market regime. Stay long the stock when the term structure is in contango (VIX < VIX3M) — backwardation signals stress. Smoothing variants (raw vs 5-day rolling mean) sweep to find the cleanest version.
variance risk premium longMicrostructureVariance Risk Premium (VRP) = (VIX/100)^2 minus trailing 30d realized variance of SPY. When VRP is in the top quintile of trailing 252d own-history, investors are paying an unusually high premium for downside protection — historically a +6-10%/yr forward equity-return signal as the implied-vol overpricing converges.
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