VIX
The futures curve is in steep contango. The front month trades +0.78 above spot and decays about $112 a day per contract if the curve holds.
Settlement of Wednesday 14 OctoberLoadingOn alert
VIX spot16.87+1.60 (+10.48%)
VX futures curve
Settlement prices by month. Select past curves to compare; hover a point for detail. Today
Curve contango indexWhat it isOne number for the whole curve: the front-weighted average monthly roll from spot through nine months. Positive is contango, negative is backwardation.+2.72% a monthspot to 9 months
Front spread+2.40%17.65 to 18.08, month 1 to 2
Middle spread+5.16%month 4 to 7
Spot to front month+0.78+4.7%
Open interest445.1k238.2k traded today
Downside risk for the S&P 50063of 100
CalmHigh
19.3% of past weeks like this fell 2% or more, against 13% in a typical week. State: 1 flag: 3+ markets stretched.
VIX direction next week25of 100
Likely lowerLikely higher
VIX rose the following week 33% of the time in this state (after a >10% weekly spike, 353 weeks).
VIX to 3-month VIXWhat it is30-day VIX divided by 3-month VIX3M. Below 1 is contango, above 1 is inverted. Under 0.92 is steep.TestedCrossing above 1.0 is a robust alarm: 4 times the usual odds of a violent week. But "steeper contango pays more to short volatility" is not supported: the steepest zone netted about zero after costs.0.898steep contango, 71st percentile
Volatility premiumWhat it isVIX minus the 30-day volatility the S&P 500 actually realized. Positive means options price more movement than is happening.TestedOften called the core edge in selling volatility, but its level was not a 1-week timing signal: selling when it looked rich earned about zero.+6.65Realized 10.22, 71st percentile
VIX within its yearWhat it isWhere today's VIX sits in its past-year range.Tested"Volatility is cheap, buy protection" failed: buying volatility in the bottom decile lost 1.8% a week (t = −3.5). Cheap kept getting cheaper.46thpercentile of the past year
Front-month rollWhat it isHow fast the front VX future decays toward spot if the curve holds, in dollars per contract per day ($1,000 per volatility point).How to readPositive: a short front-month position collects this each day and a long one pays it.+112$ a day+0.112 points a day per contract
The tested playbook
Fourteen setups, each backtested on decades of data, era-split and independently re-checked. Only the ones on today are shown.
1 S&P stress signal onBoard breadth — how many tiles are stretched. The board becomes one number: the stretched-tile count. ≥3 = treat as a market-wide risk regime (the COT study's finding that edges die in stress applies); 0 = the tested all-clear. Elsewhere: US Treasuries has its own violent-week signal on (VXTLT at the 90th percentile). Treasury volatility (MOVE) is stretched, a weak spillover signal for stocks.
What to do today
- Reduce gross exposure across assets — this is a market-wide regime flag
- Defined-risk everywhere; assume cross-asset contagion
- In US Treasuries: cut size and turn naked options into spreads (VXTLT at the 90th percentile)
- Use as confirmation: if equity flags are also on, act on those with more conviction
- Tighten risk on duration-sensitive books (TLT, long-duration equity)
- Don't equate quiet with safe: keep tail hedges as a budgeted cost
- Single-asset complacency — with ≥3 tiles stretched, the tape moves together
- No standalone action — MOVE-high with equities calm predicted quiet, not danger
- Do not fade the first bounce (net ≈ 0 tested)
There is no long or short call on the underlying anywhere on this site. In 36 years of testing, no volatility state predicted the direction of the market, only how violent it would be.
Risk signal. Triggers when VIX < 25 · curve in contango · VRP ≥ 0.
Risk signal. Triggers when ≥3 of the cross-asset tiles (ex-VIX) at ≥80th 1-yr percentile.
Risk signal. Triggers when a workspace's IV ≥ 90th percentile (see tabs).
Risk signal. Triggers when MOVE ≥ 80th percentile of its past year.
Trade context. Triggers when VIX up >10% over 5 sessions.
Trade context. Triggers when VIX / VIX3M < 1.00 (any contango).
Popular belief, tested. Triggers when SKEW ≥ 150.
Popular belief, tested. Triggers when VRP 1-yr percentile ≥ 65.
Friday-close signals → next-week (Fri→Fri) outcomes; futures P&L on a 30-day constant-maturity VX position built from official settlements; 0.5%/week cost on acted weeks; by-week bootstrap CIs; pre-registered thresholds (no tuning on reported data); era splits pre-2020 vs 2020+; independently re-computed by two adversarial verification agents. These are historical frequencies, not forecasts or investment advice. The worst weeks of every short-volatility setup (down 25% to 52%) are part of the finding.
The index family
The S&P 500's implied volatility at six horizons, from 1 day to 1 year.
Implied volatility by horizon, 1 day to 1 yearWhat this isCBOE's constant-maturity VIX family — the S&P 500's implied-vol curve from 1 day (VIX1D) out to 1 year (VIX1Y), from options prices, no futures involved.How to readUpward slope = normal (long-dated risk costs more). The FRONT inverting (VIX1D/VIX9D above VIX) = imminent-event pricing; the whole curve inverting is the tested violent-week flag (see Tested Playbook).NotesVIX1D is jumpy by construction (it collapses after each event) — read its shape, not its level.
Straight from S&P 500 options, no futures involvedVIX1D1-day14.11+3.39 (+31.6%)
VIX9D9-day14.59+2.60 (+21.7%)
VIX30-day16.87+1.60 (+10.5%)
VIX3M3-month18.79+0.83 (+4.6%)
VIX6M6-month20.49+0.57 (+2.9%)
VIX1Y1-year21.94+0.28 (+1.3%)
Today
How to read this curve
- Sloping up is normal. Longer-dated protection costs more when no event is priced. The steeper the front, the calmer the next few sessions are priced.
- A kink up at the front (1-day or 9-day above the 30-day VIX) means the market is paying for this week: an event is priced. Tested: 9-day above 30-day ran 2.9 times the usual odds of a violent week. Use defined risk into it.
- The whole curve inverted (VIX above the 3-month) is the tested alarm: 4 times the usual odds of a violent week. Compare with last week and last month to see whether it is building or easing.
- Level tells you how much fear; shape tells you when it is priced for. A low curve with a kinked front can be more dangerous than a high curve sloping up.
The past two years
F marks Fed decisions. Hover for any day.
VIX against realized volatility
The gap between the lines is the volatility premiumVIX, impliedRealized, 30 daysFOMC