OPEN-SOURCE SCRIPT
VIX Term Structure
VIX at 14 does not tell you whether volatility is cheap. The curve does.
A single VIX print is one number on one horizon. What actually tells you something is the shape across horizons: whether the market is asking more for protection next week than for protection in three months, or less. That shape is where the information is, and it is free public data that almost nobody puts on a chart.
This plots the four CBOE volatility indices as a curve you can read at a glance -- 9-day, 30-day, 3-month and 6-month -- and reduces it to the one ratio that matters, 30-day over 3-month.
Below 1, the curve is in contango. Near-dated volatility is cheaper than deferred, which is the normal state and roughly two thirds of all trading days. The lower the ratio, the steeper the curve, and the calmer the market thinks the next month will be relative to the next quarter.
Above 1, the curve is inverted, or in backwardation. Near-dated volatility is bid over deferred, which means the market is paying up for protection it needs soon rather than eventually. That is a stress reading and it does not persist for long.
The dashboard shows each tenor, both ratios, and a plain verdict: STEEP CONTANGO, CONTANGO, or BACKWARDATION. The 9-day over 30-day ratio sits alongside it as the very front of the curve, which moves first and moves hardest.
What the shape is actually telling an option seller. A rich premium reading and a steep contango curve are the same market saying two things that agree: insurance is expensive relative to what has happened, and the market does not expect that to change soon. A rich premium reading against an inverted curve is a different animal. The premium is rich because something is coming, and selling into it is selling insurance to somebody who knows they need it. The IV-minus-RV gap looks identical in both cases. The curve is what separates them.
There is a trap on the other side too, and it is the more common one. The urge to sell premium is strongest when the tape is calm, and a calm tape is exactly what a steep contango curve looks like from the inside. Steep contango means the front is cheap, and cheap is the least you will ever be paid to take the risk. The moment selling feels safest is the moment it pays least.
Pairing. This answers a question my other two volatility scripts do not. Vol Premium Gauge answers whether you are paid, by comparing implied against realized. Expected Move Bands answers which strike, by drawing the one-standard-deviation range. Term structure answers whether the premium is there for a good reason or a bad one. Paid, why, where -- three different questions, three different reads.
Scope. Equity indices only. There is no term structure for crypto volatility, because DVOL publishes a single tenor rather than a curve, so unlike the other two this script does not auto-detect crypto. On a crypto chart the dashboard will read NO CURVE, which is honest rather than broken.
Alerts fire on the flip in each direction: into backwardation, and back into contango.
The thresholds are inputs, defaulting to 0.90 for steep and 1.00 for the inversion. The symbols are inputs too, so if CBOE changes a ticker the script keeps working.
A single VIX print is one number on one horizon. What actually tells you something is the shape across horizons: whether the market is asking more for protection next week than for protection in three months, or less. That shape is where the information is, and it is free public data that almost nobody puts on a chart.
This plots the four CBOE volatility indices as a curve you can read at a glance -- 9-day, 30-day, 3-month and 6-month -- and reduces it to the one ratio that matters, 30-day over 3-month.
Below 1, the curve is in contango. Near-dated volatility is cheaper than deferred, which is the normal state and roughly two thirds of all trading days. The lower the ratio, the steeper the curve, and the calmer the market thinks the next month will be relative to the next quarter.
Above 1, the curve is inverted, or in backwardation. Near-dated volatility is bid over deferred, which means the market is paying up for protection it needs soon rather than eventually. That is a stress reading and it does not persist for long.
The dashboard shows each tenor, both ratios, and a plain verdict: STEEP CONTANGO, CONTANGO, or BACKWARDATION. The 9-day over 30-day ratio sits alongside it as the very front of the curve, which moves first and moves hardest.
What the shape is actually telling an option seller. A rich premium reading and a steep contango curve are the same market saying two things that agree: insurance is expensive relative to what has happened, and the market does not expect that to change soon. A rich premium reading against an inverted curve is a different animal. The premium is rich because something is coming, and selling into it is selling insurance to somebody who knows they need it. The IV-minus-RV gap looks identical in both cases. The curve is what separates them.
There is a trap on the other side too, and it is the more common one. The urge to sell premium is strongest when the tape is calm, and a calm tape is exactly what a steep contango curve looks like from the inside. Steep contango means the front is cheap, and cheap is the least you will ever be paid to take the risk. The moment selling feels safest is the moment it pays least.
Pairing. This answers a question my other two volatility scripts do not. Vol Premium Gauge answers whether you are paid, by comparing implied against realized. Expected Move Bands answers which strike, by drawing the one-standard-deviation range. Term structure answers whether the premium is there for a good reason or a bad one. Paid, why, where -- three different questions, three different reads.
Scope. Equity indices only. There is no term structure for crypto volatility, because DVOL publishes a single tenor rather than a curve, so unlike the other two this script does not auto-detect crypto. On a crypto chart the dashboard will read NO CURVE, which is honest rather than broken.
Alerts fire on the flip in each direction: into backwardation, and back into contango.
The thresholds are inputs, defaulting to 0.90 for steep and 1.00 for the inversion. The symbols are inputs too, so if CBOE changes a ticker the script keeps working.
Open-source Skript
Ganz im Sinne von TradingView hat dieser Autor sein/ihr Script als Open-Source veröffentlicht. Auf diese Weise können nun auch andere Trader das Script rezensieren und die Funktionalität überprüfen. Vielen Dank an den Autor! Sie können das Script kostenlos verwenden, aber eine Wiederveröffentlichung des Codes unterliegt unseren Hausregeln.
Public, timestamped track record. Free month of the desk: ivanlabrie.netlify.app
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.
Open-source Skript
Ganz im Sinne von TradingView hat dieser Autor sein/ihr Script als Open-Source veröffentlicht. Auf diese Weise können nun auch andere Trader das Script rezensieren und die Funktionalität überprüfen. Vielen Dank an den Autor! Sie können das Script kostenlos verwenden, aber eine Wiederveröffentlichung des Codes unterliegt unseren Hausregeln.
Public, timestamped track record. Free month of the desk: ivanlabrie.netlify.app
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.