VIX term structure: VIX1D, VIX9D, VIX, VIX3M and VIX6M
The VIX family of indexes measures the volatility the S&P 500 options market expects over different horizons: one day (VIX1D), nine days (VIX9D), 30 days (VIX), three months (VIX3M) and six months (VIX6M). Lined up by horizon at the latest close they form the VIX term structure, the market's price of near-term risk set against the longer run.
Contango and Backwardation
Most of the time the curve slopes upward, each longer horizon priced above the shorter one. This is contango: uncertainty grows with time, and sellers of longer-dated protection ask a premium for it. Under stress the curve inverts, with near-term volatility bid above the longer horizons as traders pay up for protection now. This is backwardation, and it has historically come with sell-offs. The page reads the shape across the 9-day to 6-month indexes that closed on the same day; the 1-day index moves with each day's scheduled events and is shown but left out of the shape.
VIX Against VIX3M
The ratio of VIX to VIX3M is a common one-number summary of the front of the curve: below 1 it is in contango, at or above 1 it is inverted. The page charts the two indexes over the last year.
VVIX
VVIX measures the expected volatility of VIX itself, from options on VIX: how much the market expects its gauge of fear to move over the next 30 days.
Why It Matters for Options Traders
The slope of the term structure sets the relative price of near and far expirations, which is what calendar and diagonal spreads trade. In contango, near-dated implied volatility tends to drift down toward the spot level as expirations approach; in backwardation the front is the expensive part of the curve. VIX futures and the products built on them roll along the same curve.