Contango/Backwardation VIX Graph

This is simply the daily percentual difference between the 1st month and 2nd month VIX futures. Done with the data from october 2008 until August 15th 2011. As you can see the great recession had an incredible amount of backwardation up to 50%, the European 2010 sovereign crisis had barely any and the current market correction has reached 20%.

A more recent and complete graph with the full data since futures were available is here.

More recent vxx data and the futures needed to calculate it since those futures were available in 2004 can be downloaded here.

As a note of interest: during the great recession there were more than 60 backwardation days in a row.

During the 2010 European sovereing crisis there were 14 backwardation and 10 contango days between the 6th of May until June 9th. Their magnitude was quite smaller than the ones of the current correction but the 1st and 2nd futures values were then quite higher and similar so backwardation was not so big.

During the current correction we have until today 11 backwardation days in a row, since the 1st August until now included, with relatively small 2nd month futures values compared to the 1st month, therefore the backwardation is much bigger than in the 2010 Eurpean debt crisis.

Cheers!
jrv

About jrv

I was born in Spain and lived in Belgium, Chile, France, USA, Argentina among other places. Currently I am trying to settle down in a wild place. I am "retired", even though now I dedicate more hours "working" for my investments than I ever worked in the real labor market where I used to work in IT and Banking. I am a family man, I have a lovely wife, several sons and one step daughter. I have humble tastes, I like to stay home and read about companies and investments. I started investing at 25 before the internet bubble exploded. I did not know much about investing and liked technical analysis so my results were pretty bad. Fortunately I did not have much to lose. Some years later in 2006 bored of doing only real state investments and with quite a lot of money saved I opened an account in a cheap and excellent online broker and started again. This time I did not want to commit the same mistake, so I decided to follow a model. I heard that Warren Buffett was the best at making money via stocks so I started by reading a lot about him, all of his shareholders letters and several of the books that he recommended. I learned a lot, started applying his investing principles and reading a lot of 10K's. Digested news from lots of different sources. Basically I started buying very good and cheap companies and holding them for ever if possible and if nothing changed fundamentally. When the housing crisis started I was more than 75% cash. At that time I identified good companies at incredibly cheap prices so I invested most of my savings in stocks. In less than I year I doubled. By the second semester of 2009 I turned my software company into an investment vehicle and dedicated myself full time to it. My wife and I decided to change our lifestyle and moved from Belgium to the beach in a wild country. The goal was to keep fixed costs low in order to be able to live with a minimum 6-8% yearly return but specially to move away from the inhuman life of civilization and to have finally some peace and sunny weather to concentrate better on investing. Now I can think and study about companies 60 hours a week and I am doing great. I can finally do what I want full time and can proudly say that I have never been so happy, specially also with my just born 4th son, my other great kids and my sweet wife who supports me fully while I study most of the day and patiently wait for the opportunity to make a swing ! You can learn a bit more about my portfolio by viewing it at www.kuchita.com/view/sumo.php or you may learn more about me and my family by following the link "Author's site" from the menu above.
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4 Responses to Contango/Backwardation VIX Graph

  1. Pingback: How VXX is calculated and why backwardation amplifies it | The Intelligent Investor Blog

  2. Damian says:

    Hi jrv,

    Great Blog with substantive material. I think this may help you very much. It is a screenshot of some material from a hedge fund research project. I am technically not supposed to have it nore redistribute… but I have learned much from this document.

    http://screencast.com/t/hHNREptTo

    Best,

    Damian

  3. jrv says:

    Great graph Damian a contango/bacwardation graph for vxx/vxz since 1992, thanks, it confirmed what I suspected !

    Cheers!
    jrv

  4. Pingback: VXX data since VIX futures avilable: March 2003 | The Intelligent Investor Blog

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