VIX Term-Structure Regimes and Historical Ratio Statistics

Summary

This indicator tracks volatility measures across several maturities, from very short-dated VIX through one-year VIX, and plots them as a term-structure curve. It classifies the curve as contango when most adjacent maturity slopes are positive, backwardation when most are negative, and mixed otherwise. The display also shows each measure’s latest value and change, while an optional guide associates contango with more normal conditions and backwardation with stress.

For three maturity ratios, the indicator reports current values and rolling-period highs, lows, averages, medians, and percentile ranks. It colors percentile readings and provides alerts for selected VIX-to-six-month ratio thresholds and transitions into or out of the two principal regimes. These features support monitoring and historical context, but the script is a descriptive dashboard rather than a tested trading strategy. Its regime labels and alerts are heuristic; the document supplies no evidence that they predict volatility or returns.

Key ideas

• The plotted curve compares VIX measures spanning short, medium, and long maturities.
• Regime classification counts the signs of adjacent maturity spreads to identify contango, backwardation, or mixed conditions.
• Rolling statistics and percentile ranks place three term-structure ratios in historical context.
• Alerts flag selected ratio thresholds and changes in the classified regime.
• The indicator provides descriptive signals without reported evidence of predictive or trading performance.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.