vx_terms

17 sept 2021

USAGE
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This script helps train your intuition for changes in the VX term structure. I recommend using it on the VIX chart, so you can compare changes in the terms to changes in VIX. It's also nice for calendar spread traders who want to get a feel for the same changes.

1. Select a day, month, and year using the inputs
2. Observe the data table.
3. Open the input again and increment or decrement the day (and month, year as necessary).
4. Click "Ok".
5. Click to deselect the indicator, which allows the chart to load new data.
6. The data table will be reloaded with the next/previous day's data.

The data table has the following columns:

- contract: the VX contracts, in sequence. refer to the CBOE for month codes (F for January, etc.)
- close: the closing price of the contract.
- ma:mb: the spread (difference) between this row and the next row.
- ma:mb chg: the spread's change from prior close.

For example, given the following values for the first two columns:

VXQ2021, 16.5, -3.1, -0.2
VXU2021, 19.6, ..., ...

The front month (Q = august) closed at 16.5, $3.1 below the s\September contract. The negative spread enlarged by $0.20 from $2.90 on the previous trading day.

BUGS, ODDITIES, AND LIMITATIONS:
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- The first column will be greyed out after expiration day, which is the 3rd Tuesday of that month. Unfortunately, I can't load the next month's contract due to some limitations with TV.

- The active date is highlighted with a yellow background. When a non-trading date is selected, the highlight will disappear. However, the data table will sometimes fill with the nearest trading date, prematurely. No worries, just know that the data is probably for the previous Friday.

- The script is clunky and slow, but this is the best I can do with TV. Hopefully they add more continuous contracts or allow true dynamic symbol loading.

SPECIAL THANKS:
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Thanks to HeWhoMustNotBeNamed for helping me get through some messiness. Very helpful guy.

tradingview.com/u/HeWhoMustNotBeNamed/