vix term structure carry
What it checks
Daily roll-yield between front-month and second-month VIX futures. The bigger the contango, the better the short-vol carry trade.
Mechanism
log(VX2/VX1) front-month roll-down carry. Steep contango pays the short-vol carry; backwardation pays long-vol.
Signal rule
long SPY-like when log(VX2/VX1) >= +0.03 (contango); long VXX-like when <= -0.03 (backwardation); hold 5/10/21d
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
- ~5-12%/yr short-vol carry
- Paper Sharpe
- ~0.8
- Paper window
- T+1 to T+21d
Eraker-Wu 2017 JFE: ~5-15%/yr on short-VXX, ~3-7%/yr on SPY-timed.
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 โ calm โ drift up. Backwardation โ vol-shock โ underperformance.
vvix regime long equityMacroVVIX (the VIX of VIX) spike vs trailing 252d z-score signals vol-of-vol overpricing. Mean reverts via broad-equity drift up over 5-21d.
vix spike recoveryMacroVIX spikes above 30 followed by 5+ point drops mark panic peaks; broad-equity recovers over 10-42d.
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