There are numerous VIX futures maturity dates and the VIX futures term structure is the relationship between VIX futures prices and VIX futures maturity dates. It represents the expected range of movement (not necessarily direction), over the next 30 days. The VIX Index is a financial benchmark designed to be a market estimate of expected 30-day volatility of the S&P 500 Index ® and is calculated from both call and put options. But what has happened to the shape of the VIX futures curve and how might this be a precursor of market performance? In fact, the 200 Day Simple Moving Average has risen from 18.59 on January 3 rd to its current level of 24.03, a 29% increase.
Since the beginning of 2022, the Cboe Volatility Index ® (“VIX”) futures curve has shifted higher, indicating that expectations for volatility in the market remain elevated.
