VX Term Structure

7 ngày trước

The VX Term Structure Monitor is an advanced visualization tool designed specifically for volatility traders who need to instantly recognize shifts in market structure. By comparing the current VIX Futures Term Structure against the previous trading day's close, this indicator provides a clear, real-time* view of the VIX Spot Index and the next available VX futures contracts. A key visual feature is the "Daily Drift" analysis, which automatically highlights the difference between today's curve (Cyan) and yesterday's curve (Gray/Dashed) with red or green fills, allowing you to immediately spot whether volatility is rising or falling across the term structure.

Unlike standard indicators that rely solely on the Spot price, this script utilizes professional-grade logic to classify market stress into three distinct stages. It identifies a normal Contango environment (Green) when the Front Month (M1) is trading below the Second Month (M2), indicating a calm market where long volatility positions typically suffer from negative roll yield. The system issues a Spot Warning (Orange) if the Spot index overheats and exceeds M1 while the futures curve remains in Contango, often an early signal of building stress. Finally, it detects critical Backwardation (Red) when the futures curve physically inverts (M1 > M2), signaling that market participants are paying a premium for immediate protection.

Usage Note: Due to technical limitations in detecting contract expirations automatically, users must manually select the current "Front Month" contract (e.g., "G (Feb)") in the indicator settings to ensure correct alignment. Users can also configure server-side alerts to trigger specifically when the market flips into Backwardation.

*Note: To view real-time data for VX futures, a paid data subscription to CBOE (CFE) is required on TradingView. Otherwise, the data may be delayed.

Disclaimer: This tool is for educational and informational purposes only and does not constitute financial advice.

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This major update introduces fully automated contract rolling, eliminating the need for users to manually adjust start years or months as the script now detects the current date to load the correct active futures curve automatically. We have significantly enhanced analytical precision by adding a "Synthetic 30-day" calculation, which interpolates between the M1 and M2 contracts based on real-time Days to Expiration (DTE). This offers a far more accurate reading of the VIX Spot Premium compared to the previous simple Spot vs. M1 check. Furthermore, the alert system now defaults to this improved Spot vs. Synthetic 30d comparison to provide better signals for overextended markets, while still allowing users to toggle back to the classic M1/M2 curve structure in the settings.