Features
Contango Slope Index Features
The Contango Slope Index offers a comprehensive set of features for analyzing volatility dynamics:
1. Multi-Tenor Volatility Input
Users can select which VIX futures contracts to include in the slope calculation:
VIX1D– Very short-term volatility (1-day forward)VIX– Spot VIX (1-month implied volatility)VIX3M,VIX6M,VIX1Y– Mid-to-longer-term volatility expectations
Each contract is normalized and forward-filled to ensure continuity in the term structure.
2. Dynamic Slope Calculation
The indicator calculates the slope of the VIX term structure using linear regression on time-to-maturity (TTM) vs. volatility levels. This approach captures the overall shape of the curve more accurately than pairwise spreads.
When fewer than two tenors are active, the CSI defaults to measuring the trend of the single active series over a user-defined lookback window.
3. Moving Average Overlay
A configurable moving average (SMA, EMA, RMA, WMA, VWMA) is applied to the smoothed slope to identify trend direction and momentum shifts:
Default: 200-period MA
Configurable length and type
Visualized with customizable line width and color
4. Regime Classification
Based on the slope value and its relationship to the moving average, the CSI classifies current market conditions into distinct regimes:
Backwardation (Bullish Signal)
Slope < 0
Recovery
Slope < 0 but above MA
Capitulation
Slope < 0 and below MA
Elevated Risk
Slope > 0.0232 and above MA
Cooling Phase
Slope > 0.0232 but below MA
Bullish Contango
Slope ≤ 0.0232 and above MA
Normal
Slope ≤ 0.0232 and below MA
5. Visual Enhancements
Color-coded slope line: Blue when positive, orange when negative
Fill between slope and MA: Green when slope > MA, red when slope < MA
Background shading: Optional regime-based background coloring
Reference lines:
0.0232(%/yr): Long-term average contango level (~2.32%/year)0: Flat curve (transition point between contango and backwardation)-0.02: Mild backwardation threshold
6. Real-Time Label & Tooltip
On the last bar, a dynamic label displays:
Current regime
Slope value and direction
MA value and comparison
Trend interpretation (e.g., "improving structure")
7. Alert Conditions
Six pre-configured alerts are available for integration into trading systems:
🚨 Backwardation Detected – Slope turns negative
🔚 Exit Backwardation – Slope crosses above zero
⚠️ Elevated Complacency – Slope exceeds 2.32%/yr
📈 Potential Bullish Setup – Slope crosses below zero
✅ Slope Crosses Above MA – Momentum improves
⚠️ Slope Crosses Below MA – Momentum deteriorates
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