VIX Term Structure
171 VVIX spike episodes (>= 100).
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VIX/VIX3M backwardation episodes + VVIX vol-of-vol regime — capitulation timing.
- 94 VIX backwardation episodes since 2011.
- 171 VVIX spike episodes (>= 100).
- 94 backwardation exit signals.
- Backwardation episodes: median 1M return +3.4%, 81% win rate.
- Signal 2026-03-03 (~67td ago): 3M = +11.9% (hist. median +6.2%, above by 5.7%).
- Signal 2026-03-09 (~62td ago): 1M = -0.1% (hist. median +3.4%, below by 3.5%). Next window: 3M (1td remaining), hist. median +6.2%.
- Signal 2026-03-12 (~60td ago): 1M = +3.3% (hist. median +3.4%, below by 0.1%). Next window: 3M (3td remaining), hist. median +6.2%.
- Signal 2026-03-24 (~52td ago): 1M = +8.5% (hist. median +3.4%, above by 5.1%). Next window: 3M (11td remaining), hist. median +6.2%.
- Signal 2026-03-30 (~47td ago): 1M = +12.6% (hist. median +3.4%, above by 9.2%). Next window: 3M (16td remaining), hist. median +6.2%.
- Signal 2026-04-07 (~42td ago): 1M = +11.3% (hist. median +3.4%, above by 7.9%). Next window: 3M (21td remaining), hist. median +6.2%.
- VVIX spike: 102 >= 100 threshold. Median 1 month forward: +3.4%. Elevated VIX rewards staged entries; size in tranches.
VIX Now
21.5
VIX3M Now
21.8
VIX/VIX3M Ratio
0.986
92th pct (5Y)
VVIX Now
102
threshold 100
Backwardation Episodes
94
since 2011
When to run this study
Run when VIX is elevated or when there is a notable divergence between near-term and long-term implied volatility. Contango normalization after backwardation spikes has historically marked durable market lows.
Historical results
Backwardation Bucket Summary (VIX/VIX3M > 1.0)
| Ratio Bucket | N | Avg Duration | 1W Win% | 1W Mean% | 2W Win% | 2W Mean% | 1M Win% | 1M Mean% | 3M Win% | 3M Mean% |
|---|---|---|---|---|---|---|---|---|---|---|
| 1.0–1.1 | 92 | 3.20 | 77.20 | 1.87 | 75 | 2.36 | 80.40 | 3.29 | 82.80 | 5.58 |
| 1.1–1.2 | 2 | 4.50 | 100 | 2.22 | 100 | 1.72 | 100 | 3.58 | 50 | 0.44 |