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VIX term slope

What it is

VIX term slope — registry key vix_term_slope.

Daily-signals column exposed for sparkline charts; raw value, no classification bands.

Data-pyramid tier

T1 — Signal. This metric sits at the signal layer of the platform’s six-tier data pyramid (T0 raw inputs → T5 actionable read). The tier reflects how far the value is from a raw measurement — not how strongly it is validated. Abstraction and validation are separate axes: a higher tier is not a claim of stronger evidence.

Horizon & validation

Horizon: 1d — the window this metric’s measured skill speaks to. A horizon stamp is an evidence claim, not a trading signal.

Evidence: Backwardation read (slope > 0): deep-tail amplification, ~5% duty cycle, OOS 5.51x on n=47 (thin-n caveat mandatory); R7 F1 1d OOS 1.70x down / 1.62x up (all25), decays sharply past 3-5d. Amplification both ways, NOT direction.

Source

Source module: market
Data source: computed

Derived metric — produced inside the platform (app/sources/market.py or equivalent) rather than fetched as a raw upstream value. See the How it's computed section below for the formula.

How it’s computed

Front-month VIX vs second-month VIX futures slope: (VX2_settle − VX1_settle) / VX1_settle. Positive = contango (calm); negative = backwardation (stress). See app/sources/market.py:VIX_Term_Slope.

Where it surfaces

• API field: volatility.term_slope on GET /api/v1/signals/latest
• Surface: daily_signals row (daily-cadence persistence)
• Surface: /signals/sparklines (UI sparklines)

Health-score / alignment role

Data carrier — no implication, no health-score contribution.

Persisted for downstream consumers (sparklines, base-rate matcher, calibration substrate) but does not classify into BULLISH / NEUTRAL / BEARISH and does not contribute to the 0-100 health score.

Release cadence

• Publishes: intraday

See also

• /kb/api/get-signals-latest — API endpoint that serves this field.