VIX contango – backwardation historical graph

Here below you can see the vix futures contango backwardation graph with all the vxx data since vix futures were available.

This is simply the daily percentual difference between the 1st month and 2nd month VIX futures. 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 over 20%.

You can see how backwardation and contango affect the vxx price by comparing it with the vix / vxx graph also available here.

The graph was made using the historical data available for download here.


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 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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17 Responses to VIX contango – backwardation historical graph

  1. Pingback: VXX data since VIX futures available: March 2004 | The Intelligent Investor Blog

  2. Pingback: Contango/Backwardation VIX Graph | The Intelligent Investor Blog

  3. NEIL FEIN says:


    Wanted to thank you for all your great work. 90% of the time – shorting the VXX is the easy trade – the people on here who bash you just dont get it..I have to admit – i am on the wrong side of the trade – but still respect your work very much

    Would love to have a dialogue with you off the message board – i am hoping we can help each other make more money. I have a great background in options, pair trading, and the general US markets

    If you would like to reach me – my direct email is [email protected] – if you put jrv or VXX in the subject heading – it will def get my attention

    Hope you are doing well

    Beijos (i think that is an appropriate greeting – lol??)


  4. jrv says:

    Hi Neil, I just wrote you to your e-mail, I hope this is the beginning of a profitable friendship! :)

  5. jrv says:


    It was around 10 hours work to put all the futures in the correct format in the spreadsheet but well worth the effort to get a pricing model I can use to predict future tendencies or just analyze its history.


    Backwardation / contango in itself alone affects the number of 1st and 2nd month contracts constituents of the vxx.

    When backwardation exists the number of contracts increases because 1st month contracts are sold to buy 2nd month ones which are cheaper, so if for example there is 10% backwardation every 1st month contract can buy 1.1 second month ones.

    That by itself alone affects the vxx price because its price is directly proportional to the number of contracts but the effect is amplified when combined with growing future prices because it means that vxx growth is accelerated by both the futures increase and the increasing number of contracts.

    So the most effective way for the vxx to increase in an accelerated way is backwardtion combined with growing futures a bit like we have had in the last 3 weeks.

    If we had had no backwardation in the last 3 weeks then vxx would have grown just following the futures growth so approximately a 12% less.

    Note that exactly the opposite happens with contango. The best way to bring the vxx down is decreasing number of contracts (due to contango) and simultaneous decreasing vix futures.

    Its important that you understand the dynamic. Because you can perfectly have contango and vxx increase and also backwardation with vxx decrease (like yesterday).

    So if one day you have 7% backwardation and there are 19 days between the last expiration of the first contract and the immediate next one then the number of contracts increases by 7%/19=0.368%

    So if the next day the futures (combined) grow by 10% the backwardation of the previous day will make it grow by 1.1 x 1.00368 or more than 10.368 % instead

    That adds up fast, note that this was just for one day. If backwardation remains in average 15% for the whole month then the vxx price grows 15% more than if there had been no backwardation or falls 15% slowlier (because vix futures tend to spot price).

    In 2008/2009 there were 5 months of bacwardation so the vxx grew like 60% more than what it should have if it only followed the futures

  6. Richard Kain says:

    This is extremely helpful data. Thank you for sharing!

  7. Daniel Webb says:

    Excellent work jrv. I was thinking about doing similar analysis myself, and am very excited to see you have done a lot of the work already!

  8. HP says:

    Hi jrv,

    what a coincidence that I just finished studying recent VIX term structure. Would like to send you my result and can you please send me your email addr?

    I’m an option trader doing income style. I still have my day job and am working my way to be an independent trader. I hope I can retire like you do.


  9. jrv says:

    Hi HP, here’s my e-mail

  10. Pingback: Good VIX and VXX Articles and Links | ??????

  11. Andrew says:


    Thank you for your work. It has been very helpful for me in my analysis.

    Have you ever considered a strategy where you would invest in XIV and buy and sell based on the Contango or backwardation level? For example you would sell at the EOD if the Contango was less the 1% and when it went back above 1% you would buy and hold. I did some back testing on it and it looked very promising. Over the last 10 years it would averaged 63% per year.


  12. jrv says:

    thanks Andrew, I haven’t considered it. At most I like to sell short when both the first two futures are quite high and backcwardation stopped increasing. Unfortunately that happens rarely but I also consider the macro economic situation. I do not have hard rules actually. I also like to keep adding to the shorts and hold them forever, since I am fairly convinced that vxx on the long run tends to zero. But when I short I make sure that even if the vxx triples or more I can withstand it so I never short amounts that would make me sleep bad. As I see it, the vxx can go to 0, but it can pass by periods where it increases 500% so careful trading is needed.

    Wish you good !

  13. Andrew says:

    Thanks for the reply.

    What I am considering would not involve shorting but buying XIV, VXX’s inverse, using the the contango/backwardation as a buy sell trigger. If you send me your email I can show you my strategy backtested over your data. I would love your input on the outcome.


  14. Dan says:

    Hi Andrew and jrv, thanks for the work and info.

    I’m working on similar strategy using XIV. VXX and XIV both at times benefit from contango, XIV has been benefiting from contango since sometime in Dec 2011. Today (at the time of this post) I see that we have VIX down around -0.51% XIV down -0.62% and VXX up around +.38%. First time in a while contango is benefiting VXX in quite a while.

    This may be an early warning sign for me to exit XIV or VXX shorts. I’m watching closely and would love if you can share any data or strategies you both are using. I’ve only been studying the vix xiv and vxx relationship for a few months.

    My email is [email protected]

    Thanks again for your posts.

  15. jrv says:

    Hi Dan, my strategy is based on the belief that over a time long enough vxx goes to 0, therefore I sell short adding to my previous shorts every time that the vix futures reach a certain level and backwardation is falling.

    Best luck!

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