I'm not sure what this all means, can you elaborate, please?
flatirony
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The main panel obviously shows VIX, VXX, and UVXY, to show the relative medium term rate of decay of the latter two against the VIX and each other.
The top indicator shows contango vs backwardation degree for front-month vs. second-month VIX futures, as a percentage. This determines the decay rate of VXX and UVXY. Green is decay, and red is backwardation. So VXX/UVXY suffer positive roll yield and decay in value relative to the VIX when it's green, and gain advantage from negative roll yield and rise in value relative to spot VIX when it's red.
This may seem counterintuitive, but it's done from the point of view that the normal condition in a healthy market is contango, and the normal best position is to be short VXX/UVXY (or long SVXY). Backwardation only happens when the market is correcting or coming off of a correction.
The bottom indicator shows front-month VIX future contango vs spot VIX. It's not as useful for UVXY/VXX as the top indicator, but I still think it's a very useful indicator. When it's backwards it means there's a very high probabiilty of the spot VIX mean-reverting lower.
All that make sense? Anything I'm missing?
jscottw
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@flatirony, Thank you, that was very helpful. Cheers