Strategies · Core
Exploiting Term Structure of VIX Futures
Trade the VIX curve — short steep contango, respect backwardation — a roll-yield book in vol futures.
Definition
When the VIX curve is in contango, short the front or a calendar; when it inverts, flatten or flip. Weight by the slope. This is VRP plus roll, not a VIX level call.
Why it matters
Most of the VIX-ETP decay is this curve. Being systematic about when not to short is the whole game.
Case
Feb 2018 and Mar 2020: curve inverts, a stubborn short-contango rule is a blow-up. The invert is the exit.
How to read it
Which contracts, the invert rule, and size vs a vol-of-vol spike. A permanent short-VIX product is not this strategy.
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