Volatility Ratios (Term Structure)

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Pricing | Tradewell

VIX:VXV

Ratio between the 1m VIX index and the 3m VIX index. This metric is a measurement of the contango or backwardation of the term structure of short dated volatility indices.

VIX:VXV

Ratio between the 3m VIX index and the 6m VIX index. This metric is a measurement of the contango or backwardation of the term structure of short dated compared to medium dated volatility indices.

VIX:VXST

Ratio between the 1m VIX index and the 9d VIX index. This metric is a measurement of the contango or backwardation of the term structure of ~2 week compared to 1 month volatility indices.