VIX Futures Curve

VIX Futures Curve Chart

VIX Futures Curve

VIX Futures Curve Explained

A futures curve is a curve made by connecting prices of futures contracts of the same underlying, but different expiration dates. It is displayed on a chart where the X axis represents expiration date of a futures contract and the Y axis represents prices. The concept of futures curve is similar to that of yield curve, which is used for bonds or the money market and displays interest rates of different maturities.

VIX futures curve is made of prices of individual VIX futures contracts. The first point (the left end of each curve) on the chart on this page is the spot VIX Index value; the others are futures prices.

VIX Futures Contango vs. Backwardation

VIX futures contango

When a futures curve is upward sloping from left to right, it is called contango (we say that a market is in contango). In contango, near term VIX futures are cheaper than longer term VIX futures. Contango is very common in VIX futures, especially when the spot VIX Index is very low. Contango can be interpreted in the way that the futures market expects the VIX (and volatility in general) to rise in the future.

VIX Futures Curve in Contango

VIX futures backwardation

The opposite situation, when near term futures are more expensive and futures curve is downward sloping, is called backwardation. Backwardation is less frequent than contango in VIX futures, but not uncommon. It typically occurs when the spot VIX Index spikes up (to levels such as 35-40 or more) and the market expects volatility to calm down somehow in the future.

VIX Futures Curve in Backwardation

VIX Futures Curve vs. VIX Term Structure

There is often confusion regarding VIX Futures Curve, which is also sometimes called VIX Futures Term Structure, and VIX Term Structure, which is a similar concept, but calculated from the prices and implied volatility of S&P500 options with various expiration dates. You can see a detailed explanation of the difference here.

VIX Futures Curve Data

The data for VIX futures curve – daily settlement prices of individual VIX futures contracts – is available for free on the official website of CBOE (Chicago Board Options Exchange – the exchange which owns and calculates the VIX and operates trading in its derivatives). Direct link: http://cfe.cboe.com/data/CFEMktStat.aspx (CFE is CBOE Futures Exchange).

The data for VIX term structure (based on S&P500 option prices) is also available on CBOE website: http://www.cboe.com/data/volatilityindexes/volatilityindexes.aspx