Forum Topics VIX Futures as a Market Timing Indicator
4 months ago

Shorted S & P 500 (BBUS) - VRatio (VIX3M/VIX) @ 1.15, VIX = 18.

Will close short when VRatio <1>


a month ago

VRatio (VIX3M/VIX) @ 1.21, VIX = 16.8.

Previous two times VIX futures (S & P 500) contango was this steep was December 2, 2022 (preceded 7% S & P 500 decline); and August 16, 2022 (preceded 17% S & P 500 decline).

Previous short 3 months ago @ VRATIO of 1.16 remains in the red. I was too impatient and did not wait for VRatio >1.2..............

8 months ago

VIX backwardation now in top 5%. This is a positive signal over a 3 month time horizon.

Time to cover shorts.....

9 months ago

Study by Athanasios Fassas and Nikolas Hourvouliades

Key findings of study support the thesis that the term structure of VIX futures can be employed as a contrarian market timing indicator for the equity market.

Typically, VIX futures markets are in contango, which means the VIX futures price increases over time. The study finds there in no meaningful market timing signal when the VIX futures are in contango.

When the VIX futures are in backwardation (i.e. the VIX futures price decreases over time), the subsequent future return of the S & P 500 is positive. Note: All cases of backwardation result in S & P 500 positive weekly and quarterly returns.

Paper can be found here.

VIX Futures slope:

17/08/2022- 3 month futures: 0.07 (contango)

26/08/2022 - 3 month futures: 0.02 (contango)

Note: Statistically significant backwardation:

  • (top 20%) is anything below -0.007 slope.
  • (top 5%) is anything below -0.0178 slope.


9 months ago

31/08/2022 - 3 month futures: 0.02 (contango)

I am holding my short hedges until we hit backwardation......


9 months ago

14/09/2022 - 3 month VIX futures curve gradient: 0.00

Waiting for a -0.018 slope.....


9 months ago

you may get it


6 months ago

3 months post VIX bottom signal has proven to be correct. Now VIX spot and 3 month futures differential reached +6 a few days ago.

The last time the VIX futures differential was this high was in August at the previous bear market rally peak.

Be careful out there.....