VIX term structure

Is volatility calm or stressed?

ProductionVerdict · PASSRecall · 0.90

Anchor · Fear tag · anchor metric: contango / backwardation / kink

What it measures

Reads the shape of the VIX curve across tenors (9d / 1m / 3m / 6m). Contango (near below far) is the calm priced-months-out state; backwardation (near above far) is acute stress. The shape, not the level, is the signal.

\text{slope} = \frac{\text{VIX}_{1m}}{\text{VIX}_{3m}}

\text{contango} \quad \text{if slope} < 1 \quad\text{\# calm}

\text{backwardation} \quad \text{if slope} > 1 \quad\text{\# stress}

A slope of 0.92 means 1-month vol sits 8% below 3-month — the curve is in contango, the market is pricing calm out into the future. A flip above 1.0 is the fear tell: near-term protection suddenly costs more than far.

Limitations

State label, not magnitude — tells you the regime shape, not how deep a sell-off will run.
Whippy in transitions — the shape can kink and un-kink within a fortnight.

In the product

The highest-passing gauge (90%) and the ANCHOR Fear tag in the commentary. Owns the "Calm or stressed?" cell in the Stress chapter.

Grading & stability

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Gate rate
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Stability / churn
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Mean confidence
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Graded on the Tier-1 regime-test harness — curated macro events × 18-yr backfill × recall@K. Verdict PASS (90%).

Charts it reads

VIX term structure

vix_term_structure—

VIX history

vix_history—

MOVE index

move_index—

VIX term structure · The Lens methodology← all engines