About VIX Central Contango

The VIX Central Contango dataset by VIX Central tracks VIX Futures (VX) contango data. The data covers 12 Futures contracts closest to expiry/maturity, starts in June 2010, and is delivered on a daily frequency. The dataset is created by QuantConnect downloading data from VIX Central website, which collects and analyses VIX and VX (VIX Futures) data.

Contango and Backwardation are terms used to describe if participants in the Futures market are overpaying or underpaying relative to the "spot" price of the underlying commodity when trading a Futures contract ("spot" price is the price of the actual commodity/asset at a given moment in time). Contango and backwardation can be used to determine forward-looking expectations of the commodity's spot price by the time the Future has expired/matured and is set to be delivered by participants of the Futures market. As Futures near their expiration/maturity date, contango and backwardation curves tend to converge on the spot price of the commodity at the time of expiration.


About VIX Central

VIX Central was founded by Eli Mintz in 2012 with goal of displaying historical VIX term structures in a simple and intuitive interface. VIX Central provides access to real-time and historical VIX data for individual investors.


About QuantConnect

QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.


Algorithm Example

class VixCentralContangoAlgorithm (QCAlgorithm):

    def Initialize(self) -> None:

        self.SetStartDate(2014,1,1) 
        self.SetEndDate(2018,1,1)  
        self.SetCash(25000)

        self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.contango = self.AddData(VIXCentralContango, "VX", Resolution.Daily).Symbol

    def OnData(self, slice: Slice) -> None:

        contangoData = slice.Get(VIXCentralContango, self.contango)
        ratio = contangoData.Contango_F2_Minus_F1 if contangoData else 0
            
        if not self.Portfolio.Invested and ratio > 0:
            self.MarketOrder(self.spy, 100)
        elif ratio < 0:
            self.Liquidate()

Example Applications

The VIX Central Contango dataset enable you to explore VIX Future contracts pricing data. Examples include the following strategies: