VIX Term Structure
In plain terms
Front-month VIX cheap vs 3-month (contango) means calm — SPY drifts up. When it inverts (backwardation), panic mode.
How it works
VX1/VX3 slope predicts S&P returns 5-20d. Steep contango → calm → drift up. Backwardation → vol-shock → underperformance.
Live results
0 times picked on its own · 9 times inside a blend (9 beat the stock) · updated 2026-06-06Data dependencies
- Vix term structure
A data feed this strategy reads, refreshed on its normal schedule.
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Reported return
- ~5-10%/yr
- Reported Sharpe
- ~0.7
- Tested over
- T+0 to T+20d
Johnson 2017: Sharpe ~0.7 on SPY-timed strategy.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.
Watch the corporate-bond credit spread — when it compresses sharply, high-beta names rip; when it widens sharply, they get hammered. We trade the regime change.
When the market's 'fear gauge' (VIX) is itself swinging wildly -- high vol-of-vol -- that uncertainty-about-risk predicts weak forward returns, so the strategy leans short; when VIX is calm and steady, it leans long. It applies the academic vol-of-vol effect (high vol-of-vol underperforms) to single stocks using VIX as a live stand-in for per-stock options data.
Explore VIX Term Structure on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.