Contango Slope Index

A normalized measure of the VIX futures term structure slope, the Contango Slope Index quantifies the rate of change between front-month and second-month VIX futures.

It identifies shifts between backwardation (fear) and contango (complacency), serving as a leading indicator for volatility regime transitions.

Values below zero signal elevated near-term risk aversion, while values above 0.0232%/year indicate stretched complacency.

When combined with price structure metrics like the Dip Index, the CSI improves the timing and reliability of macro-technical signals.