gb50k

Intraday Contango Indicator

VXX*XIV  
VXX*XIV  
If you trade volatility products you need to know the amount of contango between futures 1 and 2. You can see the EOD             value using: VI2!/VI1!

For a intraday indicator, the expression VXX*XIV contains a good approximation. The Rate Of Change of this expression shows you how much contango there is (in relative terms) and can warn you if we enter backwardation - when there is a sudden dip in the indicator value.

In summ: ROC (vxx*xiv)
snapshot
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