VIX Curve
VIX Curve Monitor tracks the shape of the volatility term structure — from VIX9D and spot VIX through VIX3M, VIX6M and the VX futures curve out to month 8 — to show whether a volatility spike is building, fading, or spreading further out the curve.
THE LINES
Main line: VIX ÷ VIX3M (30-day vs 3-month implied volatility)
• Green, below 0.90 — calm, curve in normal contango
• Gray, 0.90–1.00 — stress building
• Red, above 1.00 — backwardation: near-term implied volatility is above longer-term
Second line (optional): VIX ÷ VIX6M, light gray
• Above 1.00 means the longer part of the curve is in backwardation too
Reference lines: 1.00 (solid), 0.90 stress (dotted), 0.80 calm floor (dotted)
MARKERS
Markers print when the main line closes back below 1.00 after a spike:
▲ Green — spike over, after a large spike (peak at or above 1.05)
▲ Gray — spike over, after a small spike, with the chart 10% or more below its 1-year high
● Dot — spike over, after a small spike, with the chart within 5% of its 1-year high
▲ Bright green — confirmed: the ratio closes below 0.90 after a marker
✕ Dark red — failed: the ratio closes back above 1.03 before confirming. The next close below 1.00 re-arms
No marker prints after a small spike while the chart is 5–10% below its high.
A confirmed or failed state stays in the table (and shading) for 21 bars by default. Confirmed ends early if the ratio goes back above 1.00.
THE TABLE
STATUS — overall state of the curve:
• CALM — normal contango
• STRESS BUILDING — ratio between 0.90 and 1.00
• SHORT-TERM PANIC — backwardation at the front only
• INVERSION SPREADING — in backwardation, and back months (VX 2–4) up 10% or more vs their 10-day average, or above 24
• REGIME FEAR — in backwardation, and far months (VX 5–8) up 5% or more vs their 10-day average: the whole curve lifting
SIGNAL — where the marker cycle stands: pending (with the spike peak and which marker is next), spike over, confirmed, or failed
VIX/VIX3M — the main ratio, its state, and the previous close
VIX9D/VIX — near-term (9-day) vs 30-day volatility. Above 1.00 means stress is concentrated in the next several days, often around scheduled events. Display only — not used in markers or status
VIX/VIX6M — the second ratio
VX1/VX2 — whether the futures curve is in backwardation
SPREAD — direction of the back months (rising, stable or falling)
• back VX2–4 — % change vs the 10-day average
• far (months) — % change vs the 10-day average, with month names
VX EXPIRY — the next VX expiration and days remaining
WATCH — during backwardation, how far VIX (and VX1) must fall to return to contango
FLOOR — when not in backwardation, whether the ratio's 20-day lows are rising
Full mode adds VIX, VIX9D and VIX3M levels, the full VX curve (months 1–8), front-to-back slope, VVIX, distance of the back months from the 24 level, and any symbols missing from your data feed.
WHAT'S ORIGINAL
VIX/VIX3M is a widely used ratio. This script builds on it by:
• Classifying each spike by size and by where the chart sits relative to its 1-year high, with a separate rule for each case (including a zone where no marker prints)
• Tracking each spike through a full cycle — spike over, confirmed, or failed — with re-arming after a failure, so repeated whipsaws around 1.00 don't print a marker every time
• Reading the full VX futures curve alongside the ratio, with months 1–8 selected automatically from the date so the curve readings roll themselves
• Separating front-end stress from stress moving into the back and far months
Each component answers a different question: the ratio shows how stressed the front is, the futures rows show how far that stress has spread, and the markers show when a spike has ended.
LIMITATIONS
• Thresholds (1.05, 0.90, 1.03, 10%, 5%, +10%, +5%) are fixed rules, not optimized for any period
• Markers describe the state of the volatility curve. They do not forecast price
• Back- and far-month readings on past bars use the current contracts, so historical STATUS is approximate
• Requires CBOE index data (VIX, VIX3M, VIX6M) and VX futures. Delayed data plans work, but live values lag
DATA NOTES
• Designed for a daily SPX or SPY chart. All markers use the daily close
• Index and VX data are requested on the chart's own timeframe, aligned so each bar uses the same day's index close (VIX indexes close at 4:15pm ET, 15 minutes after SPY/SPX). Without this alignment every historical bar would show the previous day's values. Historical markers reflect values available by 4:15pm that day — no future data is used. On the live bar, values and markers update until the close; a marker near a threshold can change between 4:00 and 4:15pm, so confirm after 4:15pm or reload the chart
• VX contracts for months 1–8 are selected automatically from the date and roll themselves after each expiration. A manual mode is available. Because contracts are chosen from today's date, back/far month readings (and STATUS on past bars) reflect the current contracts. Markers use only VIX/VIX3M and the chart close and are not affected
• If far-month VX contracts are unavailable on your feed, the far row uses VIX6M instead and is labeled "far (VIX6M)"
• If your data plan lacks a symbol, it shows "n/a" — change the prefix in Inputs (CBOE: / CBOE_DLY: / TVC:)
• Optional background shading (off by default): red while in backwardation, gray in the 0.90–1.00 stress zone, faint blue while a marker is pending, and green while confirmed — on the price pane, the indicator pane, or both
• Marker colors are set in Inputs → Marker colors. Line and level styles are in the Style tab
• Thresholds, table colors, table position, text size and the confirmed/failed display length are adjustable
Alerts: spike over (all three types), confirmed, failed, backwardation, inversion spreading, regime fear. Use "Once Per Bar Close" so alerts match the daily-close logic.
For educational and informational purposes only. Not financial advice.
THE LINES
Main line: VIX ÷ VIX3M (30-day vs 3-month implied volatility)
• Green, below 0.90 — calm, curve in normal contango
• Gray, 0.90–1.00 — stress building
• Red, above 1.00 — backwardation: near-term implied volatility is above longer-term
Second line (optional): VIX ÷ VIX6M, light gray
• Above 1.00 means the longer part of the curve is in backwardation too
Reference lines: 1.00 (solid), 0.90 stress (dotted), 0.80 calm floor (dotted)
MARKERS
Markers print when the main line closes back below 1.00 after a spike:
▲ Green — spike over, after a large spike (peak at or above 1.05)
▲ Gray — spike over, after a small spike, with the chart 10% or more below its 1-year high
● Dot — spike over, after a small spike, with the chart within 5% of its 1-year high
▲ Bright green — confirmed: the ratio closes below 0.90 after a marker
✕ Dark red — failed: the ratio closes back above 1.03 before confirming. The next close below 1.00 re-arms
No marker prints after a small spike while the chart is 5–10% below its high.
A confirmed or failed state stays in the table (and shading) for 21 bars by default. Confirmed ends early if the ratio goes back above 1.00.
THE TABLE
STATUS — overall state of the curve:
• CALM — normal contango
• STRESS BUILDING — ratio between 0.90 and 1.00
• SHORT-TERM PANIC — backwardation at the front only
• INVERSION SPREADING — in backwardation, and back months (VX 2–4) up 10% or more vs their 10-day average, or above 24
• REGIME FEAR — in backwardation, and far months (VX 5–8) up 5% or more vs their 10-day average: the whole curve lifting
SIGNAL — where the marker cycle stands: pending (with the spike peak and which marker is next), spike over, confirmed, or failed
VIX/VIX3M — the main ratio, its state, and the previous close
VIX9D/VIX — near-term (9-day) vs 30-day volatility. Above 1.00 means stress is concentrated in the next several days, often around scheduled events. Display only — not used in markers or status
VIX/VIX6M — the second ratio
VX1/VX2 — whether the futures curve is in backwardation
SPREAD — direction of the back months (rising, stable or falling)
• back VX2–4 — % change vs the 10-day average
• far (months) — % change vs the 10-day average, with month names
VX EXPIRY — the next VX expiration and days remaining
WATCH — during backwardation, how far VIX (and VX1) must fall to return to contango
FLOOR — when not in backwardation, whether the ratio's 20-day lows are rising
Full mode adds VIX, VIX9D and VIX3M levels, the full VX curve (months 1–8), front-to-back slope, VVIX, distance of the back months from the 24 level, and any symbols missing from your data feed.
WHAT'S ORIGINAL
VIX/VIX3M is a widely used ratio. This script builds on it by:
• Classifying each spike by size and by where the chart sits relative to its 1-year high, with a separate rule for each case (including a zone where no marker prints)
• Tracking each spike through a full cycle — spike over, confirmed, or failed — with re-arming after a failure, so repeated whipsaws around 1.00 don't print a marker every time
• Reading the full VX futures curve alongside the ratio, with months 1–8 selected automatically from the date so the curve readings roll themselves
• Separating front-end stress from stress moving into the back and far months
Each component answers a different question: the ratio shows how stressed the front is, the futures rows show how far that stress has spread, and the markers show when a spike has ended.
LIMITATIONS
• Thresholds (1.05, 0.90, 1.03, 10%, 5%, +10%, +5%) are fixed rules, not optimized for any period
• Markers describe the state of the volatility curve. They do not forecast price
• Back- and far-month readings on past bars use the current contracts, so historical STATUS is approximate
• Requires CBOE index data (VIX, VIX3M, VIX6M) and VX futures. Delayed data plans work, but live values lag
DATA NOTES
• Designed for a daily SPX or SPY chart. All markers use the daily close
• Index and VX data are requested on the chart's own timeframe, aligned so each bar uses the same day's index close (VIX indexes close at 4:15pm ET, 15 minutes after SPY/SPX). Without this alignment every historical bar would show the previous day's values. Historical markers reflect values available by 4:15pm that day — no future data is used. On the live bar, values and markers update until the close; a marker near a threshold can change between 4:00 and 4:15pm, so confirm after 4:15pm or reload the chart
• VX contracts for months 1–8 are selected automatically from the date and roll themselves after each expiration. A manual mode is available. Because contracts are chosen from today's date, back/far month readings (and STATUS on past bars) reflect the current contracts. Markers use only VIX/VIX3M and the chart close and are not affected
• If far-month VX contracts are unavailable on your feed, the far row uses VIX6M instead and is labeled "far (VIX6M)"
• If your data plan lacks a symbol, it shows "n/a" — change the prefix in Inputs (CBOE: / CBOE_DLY: / TVC:)
• Optional background shading (off by default): red while in backwardation, gray in the 0.90–1.00 stress zone, faint blue while a marker is pending, and green while confirmed — on the price pane, the indicator pane, or both
• Marker colors are set in Inputs → Marker colors. Line and level styles are in the Style tab
• Thresholds, table colors, table position, text size and the confirmed/failed display length are adjustable
Alerts: spike over (all three types), confirmed, failed, backwardation, inversion spreading, regime fear. Use "Once Per Bar Close" so alerts match the daily-close logic.
For educational and informational purposes only. Not financial advice.
면책사항
해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.
면책사항
해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.