FAQs

Contango Slope Index FAQs

What does a negative slope mean?

A negative slope indicates backwardation in the VIX futures curve—near-term volatility is priced higher than longer-term expectations. This often reflects panic or crisis conditions and has historically been a statistically significant predictor of short-to-medium-term equity market rallies.

Why is 2.32% the threshold for elevated complacency?

The 0.0232 value (~2.32% per year) represents the long-term average slope of the VIX term structure under normal market conditions. When the current slope exceeds this level, it suggests that investors are paying a premium for longer-dated protection, which can signal excessive calm and increased vulnerability to shocks.

Can I use CSI on instruments other than VIX?

While the default implementation uses VIX futures, the underlying methodology can be adapted to any futures curve exhibiting contango/backwardation behavior (e.g., oil, gold, crypto perpetuals). However, the thresholds and interpretations may need recalibration.

Does CSI predict market direction?

The CSI does not predict direction in isolation. It identifies regimes of fear and complacency that have shown statistical tendencies to precede certain types of moves. It should be used as part of a broader analytical framework, not as a standalone signal generator.

Why does the slope sometimes jump unexpectedly?

Sudden jumps can occur due to:

• Data gaps in VIX futures

• Contract rollover effects

• Extreme intraday volatility moves

The forward-filling mechanism minimizes discontinuities, but delays may occur depending on data availability.

Is CSI suitable for intraday trading?

No.