Dashboards Cross-asset
Volatility term structure
Implied volatility across expiries, and how its shape is shifting.
How to read it
Each dot is a Cboe index of the S&P 500 volatility that options imply over a horizon: 9 days, 1, 3 and 6 months. Normally the line rises with the horizon (contango): calm now, more uncertainty further out. When near-term volatility rises above longer-term volatility (backwardation), the market is pricing stress now. The dashed line is the structure at the start of the range.
Pick a date to compare the curve with any session in the last two years. Change shows how far each expiry has moved since then, in volatility points. Over time follows chosen expiries, and adds the one-day VIX, the VVIX (the volatility of the VIX itself) and the VIX less the 3-month VIX: above zero, the curve is in backwardation.
Source
Cboe VIX9D, VIX, VIX3M and VIX6M index closes, from Yahoo Finance. Levels are in volatility points (annualised percent). Cboe VIX1D and VVIX from Yahoo Finance in the Over time view.
For information only. Not investment advice.