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twingall
18 Jun 2022 pukul 21.06

VIX: Backwardation Vs Contango 

CBOE VOLATILITY INDEX (VIX) FUTURESCBOE

Huraian

VIX: Backwardation Vs Contango

Quickly visualize Contango vs Backwardation in the S&P 500 Volatility Index by plotting the prices of the futures contracts over the next 9 months

Note: indicator does not map to time axis in the same way as price; it simply plots the progression of contract months out into the future; left to right; so timeframe DOESN'T MATTER for this plot
TO UPDATE(every few months recommended): in REQUEST CONTRACTS section, delete old contracts (top) and add new ones (bottom). Then in PLOTTING section, Delete old [expired] contract labels (bottom); add new [distant future] contract labels (top); adjust the X in 'bar_index-(X+_historical)' numbers accordingly

This is one of several similar indicators: Meats | Metals | Grains | VIX

Tips:
-Right click and reset chart if you can't see the plot; or if you have trouble with the scaling.
-Right click and pin to Scale A to plot on the same scale as price

--Added historical input: input days back in time; to see the historical shape of the Futures curve via selecting 'days back' snapshot
updated 15th June 2022
© twingall

Nota Keluaran

-now works on VIX as well as VX
-updated contracts 30th Jan 2023

Nota Keluaran

-added function to detect if contract is expired: Now will stop showing contracts once they expire, unless using the backtesting 'snapshot' mode
Komen
user1928374560XYZ
thanks a lot!
Lebih