vix term structure
What it checks
Front-month VIX cheap vs 3-month (contango) means calm — SPY drifts up. When it inverts (backwardation), panic mode.
Mechanism
VX1/VX3 slope predicts S&P returns 5-20d. Steep contango → calm → drift up. Backwardation → vol-shock → underperformance.
Signal rule
long SPY-like when VX1/VX3 < 0.95; short SPY / long VXX when > 1.05; hold 5/20d
Data dependencies
vix_term_structureWorker data table — see services/worker schema.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- ~5-10%/yr
- Paper Sharpe
- ~0.7
- Paper window
- 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
macro regimeMacroBeyond regime_overlay (#10) which uses VIX + SPY trend, this family keys off the macro regime detected from FRED data: term-spread inversion (10Y−2Y < 0), credit-spread widening or compression (BAA−10Y z), and Fed funds cycle direction. Single-name version: gate the simple long-trend signal (SMA50 > SMA200) on the FRED macro regime — full long only in risk-on, half-size in neutral, flat in risk-off, short in inversion.
credit spread shockMacroGilchrist-Zakrajsek 2012 AER show the excess-bond-premium component of credit spreads predicts equity returns at 1-3mo horizons with R² up to 12%. We use raw BAA-10Y (Moody's BAA corp minus 10Y Treasury) from FRED as the cheap proxy. Widening shock = risk-off pressure (short high-beta names with downtrend); sharp compression = risk-on regime (long beta names with uptrend).
vol of vol signalMacro21-day realized vol of VIX; when high → defensive bias on momentum families.
Explore vix term structure on alphactor.ai
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