Forward Vol Carry Signal

21 de nov. de 2025

A quantitative indicator that identifies volatility mispricings using short-term vs medium-term implied volatility

This indicator measures the term structure of volatility by comparing a short-dated volatility index (VIX9D) with a longer-dated volatility benchmark. Its purpose is to detect volatility curve inversions, a condition where short-term implied volatility rises significantly above medium-term implied volatility.

What This Indicator Shows
Short-Term vs Long-Term Vol Curves (colored)

• Short-term vol (e.g., VIX9D) = teal
  
• Long-term vol (VX2!) = purple

These curves help visualize when near-term panic (short vol) decouples from medium-term expectations (long vol).

This situation often signals:

• Overreaction in short-term IV
  
• Mispricing in the term structure
  
• A potential opportunity for forward-volatility carry trades
  

Clear Trading Signals
Long Forward Vol Signal

• Triggered when the short-term vol significantly exceeds long-term vol.
  
• (Useful for entering long forward-vol structures: long 2M ATM straddle + short 1M ATM straddle.)
  

Short Forward Vol Signal (optional)

• Triggered when short-term vol is unusually depressed relative to long-term vol.
  

Exit Signals

• Generated automatically when the inversion condition is no longer met.
  

Customizable Features

• Select your short-term and long-term volatility sources
  (VIX9D, VIX, VIX3M, VX1!, VX2!, etc.)
  
• Toggle the slope plot ON/OFF
  
• Toggle threshold bands (inversion/normal) ON/OFF
  
• Adjust inversion and depressed-threshold settings
  

21 de nov. de 2025

Notas de Lançamento

Updated Chart

22 de nov. de 2025

Notas de Lançamento

Changing VX3 to VX2