Volatility regime
What environment the market is in, read off the VIX term structure. The current level of implied volatility, the shape of its curve, and the price of tail protection, each placed against its own history since 1990. A regime reading, not a direction call: it shows how much stress is priced, and where.
The VIX term structure read against its own history back to 1990: each tenor percentiled, and the contango-or-backwardation state named.
Spot VIX stands at 14.51, the 28th percentile of its history since 1990; the 3M/spot ratio is 1.21 and the curve is in contango.
- VIX 9-day12.10
- VIX (30-day)14.5128 pctl
- VIX 3-month17.56
- VIX 6-month20.36
- VVIX (vol of vol)vol of vol82.9026 pctl
- CBOE SKEWtail price144.0593 pctl
Each index is read against its own full history, not against the others. A high SKEW with a low VIX is calm on the surface and paying up for the tail underneath.
Common questions
What is the volatility regime right now?
The VIX term structure is in contango, with spot VIX at 14.51 and CBOE SKEW at the 93th percentile of its history since 1990.
Is this a trading signal?
No. It is a descriptive reading of the volatility environment, placed against its own history. It carries no recommendation and no direction call.
What is contango versus backwardation?
Contango means near-dated volatility trades below longer-dated: the normal, calm shape. Backwardation means near-dated trades above longer-dated: the market is pricing stress now.