The Contango vs Backwardation Analyzer tracks the slope of the VIX futures curve. By labeling every trading session as either Contango or Backwardation, it reveals how long each state lasts, how VIX behaves inside each regime, and where prices head after the curve flips.
The Cboe Volatility Index (VIX) measures expected 30-day volatility starting today. In contrast, the 30-day VIX futures contract (VX30) measures expected 30-day volatility starting one month from today. The relationship between these two figures defines the slope of the volatility term structure.
1. Conceptual Hierarchy
Comparing spot VIX against forward futures pricing reveals whether market participants are paying a premium for immediate volatility protection or long-term hedging:
The same two points, ordered two different ways. When the far point sits higher the curve is in contango; when the near point sits higher it has inverted into backwardation.
2. State Classification Formulas
The spread represents the point distance between forward volatility expectations and spot pricing:
Spread = VX30 − Spot VIX
The algebraic sign of the spread determines the term structure state:
Contango, if Spread > 0 · Backwardation, if Spread ≤ 0
Example Execution: 19.35 − 18.58 = +0.77 Points ⇒ Contango
Contango (Spread > 0): Forward volatility trades at a premium to spot (VX30 above Spot VIX). This upward-sloping curve represents the baseline state of the volatility surface during calm market conditions.
Backwardation (Spread ≤ 0): Spot volatility trades at a premium to forward contracts (Spot VIX at or above VX30). Surge demand for immediate portfolio protection flips the curve upside down, signaling active market stress.
The Period View analyzes how VIX behaves inside each curve state by measuring:
Time in State: Total percentage of historical sessions spent in each regime.
Streak Duration: How long Contango or Backwardation typically holds before flipping.
Average daily VIX gains and losses during each regime.
Contango holds roughly four sessions in five, and its stretches run about four times as long. Backwardation arrives in short bursts and resolves quickly.
1. Volatility Regime Metrics
Metric
Contango Regime
Backwardation Regime
Analytical Interpretation
Share of All Sessions
82.3%
17.7%
The curve spends roughly four-fifths of its existence in contango.
Avg Annualized Trading Days
207 Days
45 Days
Expressed per calendar year to highlight historical baseline distribution.
Average Stretch Duration
18.3 Sessions
4.0 Sessions
Contango stretches persist; backwardation acts as a brief shock event.
Longest Stretch on Record
138 Sessions
43 Sessions
Maximum unbroken historical streaks recorded for each state.
2. Spot VIX Behavior Inside Each Volatility Regime
Evaluating daily VIX moves within each state reveals asymmetry across market regimes:
Metric
When in Contango
When in Backwardation
Analytical Interpretation
Average Spot VIX Level
16.35
25.84
Backwardation sits in a significantly higher absolute volatility regime.
Daily Win/Loss Frequency (Up / Down)
42.8% / 57.2%
55.8% / 44.2%
Spot VIX drifts down more often in contango and up in backwardation.
Average Daily Up-Move
+0.77 Pts
+2.84 Pts
Green sessions in backwardation move nearly four times further than in contango.
Average Daily Down-Move
−0.83 Pts
−2.09 Pts
Downward mean-reversion moves expand during backwardation as well.
Why Up and Down Days Are Isolated
Averaging all daily moves together hides severe asymmetry. Isolating positive and negative sessions highlights how volatility spikes expand during market shocks.
The Flips View isolates state transition sessions, the exact day the spread crosses zero, to project forward volatility behavior over 5- and 10-session time frames.
1. Transition Definitions
A flip is recorded strictly on the single session where the spread crosses zero:
Flip into Contango: Recorded when today's spread is above 0 following a prior session where the spread was at or below 0.
Flip into Backwardation: Recorded when today's spread is at or below 0 following a prior session where the spread was above 0.
Only the two marked sessions count as flips. Every session between them belongs to a stretch, which is what the Period view measures instead.
2. Forward VIX Behavior Following Transition Flips
Metric
Flips Into Contango
Flips Into Backwardation
Total Occurrences on Record
141 Events
141 Events
Average Annual Frequency
11.3 Flips/Year
11.3 Flips/Year
Next 5 Days Win/Loss Odds (Up / Down)
27.9% / 72.1%
24.8% / 75.2%
Next 5 Days Avg. Up-Move
+3.26 Pts
+4.55 Pts
Next 5 Days Avg. Down-Move
−2.19 Pts
−3.42 Pts
Next 10 Days Win/Loss Odds (Up / Down)
31.9% / 68.1%
22.9% / 77.1%
Next 10 Days Avg. Up-Move
+4.17 Pts
+5.21 Pts
Next 10 Days Avg. Down-Move
−3.06 Pts
−4.35 Pts
Analytical Takeaway
Following both flip types, spot VIX drops over the subsequent 5 and 10 sessions considerably more often than it rises, with down odds running between 68% and 77%. However, price moves following a flip into backwardation feature much wider point distributions due to the higher baseline volatility environment.
Both views share a spot VIX chart beneath the statistics, and the Flips view adds a sortable log below it. Together they let every figure above be checked against the sessions it came from.
1. Chart Log Shading
The sessions matching the active selection are shaded on the chart, so the shading itself shows how common the state is:
In the Period view every session in the selected state is shaded. In the Flips view only the transition sessions are, so the shading thins out to single columns.
The legend switches which side is shaded, and the choice is written into the address bar so a link restores it. That is what the cross parameter carries on a shared URL, alongside view for the active view.
Contango selected: shades the sessions the curve spent upward-sloping, or the transitions into it.
Backwardation selected: shades the inverted sessions, or the transitions into them.
2. The Columns
Column Header
Definition
Analytical Value
Date
Historical trading session timestamp.
Places state transitions against specific macro events.
Flipped Into
Active state entered (Contango or Backwardation).
Isolates transition direction for comparative analysis.
VIX Next 5 Days
Spot VIX point change over the following 5 trading sessions.
Primary data source for 5-day forward return metrics.
VIX Next 10 Days
Spot VIX point change over the following 10 trading sessions.
Evaluates whether forward trends persisted or reversed over time.
Historical Log Audit Rules
Blank Cells: Indicate recent flips whose 5- or 10-session tracking windows remain ongoing.
Sorting Controls: Sort by VIX Next 10 Days to isolate historical flips that preceded major volatility spikes or crashes.