VIX Futures Term-Structure by Month (in Video)

22Oct12

This is a follow up to VIX & More’s excellent post showing the average VIX futures term-structure each year since 2004, and more importantly, what an outlier 2012 has been in terms of the degree of contango.

I’ve run the same numbers here, but broken them out by month.

The front month’s average price is set to 100, and the second through seventh months as multiples of the front month. An upward sloping curve indicates contango (benefiting, for example, long XIV/short VXX), and a downward sloping curve backwardation.

I’ve started the test in 2007 because data prior to that is hit-and-miss, and as a benchmark, I’ve included this month’s average value in grey.

The important takeaway is not necessarily how strong contango is today, but how consistently strong contango has been this year (which is why 2012 shows as such an outlier in V&M’s chart).

Happy Trading,
ms

Geek note: this analysis isn’t technically comparing apples-to-apples because each month will have a different average number of days till expiration,  but I think that for the purpose of this test, that’s fine. This is just meant to be high level geekery.

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One Response to “VIX Futures Term-Structure by Month (in Video)”


  1. 1 Monday links: leverage on leverage - Abnormal Returns | Abnormal Returns

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