The Relationship between VIX Futures Term Structure and S&P500 Returns

19 Pages Posted: 21 Sep 2016

See all articles by Athanasios Fassas

Athanasios Fassas

University of Thessaly; Hellenic Open University

Date Written: September 20, 2016


The current paper tests and documents the relationship between the term structure of VIX futures and the underlying equity returns. Furthermore, it investigates the signaling effects of VIX futures term structure in respect to future stock index movements. The objective of this empirical analysis is to verify if a steep upward-sloping term structure indicates a late phase of a bullish trend and conversely if an extreme negative term structure suggests an over-sold market, as certain market participants believe.

The empirical findings of this study suggest that there is a strong statistical significant positive contemporaneous relationship between the changes in the VIX futures term structure and the returns of the underlying equity index. Finally, the econometric analysis lends some support to the hypothesis that the term structure of VIX futures can be used as a contrarian indicator for investing in the equity market.

Keywords: VIX Futures, Implied Volatility Term Structure, Future Equity Returns

JEL Classification: G10, G11

Suggested Citation

Fassas, Athanasios, The Relationship between VIX Futures Term Structure and S&P500 Returns (September 20, 2016). Available at SSRN: or

Athanasios Fassas (Contact Author)

University of Thessaly ( email )

Argonafton & Filellinon
38221 Volos, 41110
United States

Hellenic Open University ( email )

Parodos Aristotelous 18
Patra, 26335

Do you have negative results from your research you’d like to share?

Paper statistics

Abstract Views
PlumX Metrics