Ivolution Research Journal · Inconclusive report
VIX term-structure contango -> forward returns
When the VIX-futures curve is in steep contango (front-to-second-month roll in the top decile), forward returns to being long SPX / short front vol are positive over the following month, with a fat left tail when the curve inverts.
Cite as: VRP-04: VIX term-structure contango -> forward returns. Ivolution Research Journal.
Publication status
The completed study did not produce decisive evidence for or against the hypothesis. It is not citable as an edge.
The abstract and product-safe scope metadata are public. Methodology, falsification, limitations, citations, and governed results for VRP-04 are available to Terminal + AI members.
Symbols
SPX
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
21 sessions