VRatio is the ratio of VIX3M and VIX. This ratio rises above 1.1; in a bear market, it decreases and goes below 1. VRatio=VIX3M/VIX. VRatio > 1: Risk-On signal.
Volatility Momentum compares today’s VIX to last 50 days. It has, therefore, quite a bit of lag but it is a useful measure when combined with other indicators. Volatility Momentum=SMA(VIX,50) -VIX. Volatility Momentum > 0: Risk-On signal.
Contango is the ratio of VX2 and VX1 minus one. In a bull market, this indicator rises above 5%’ in a downtrend market, this indicator goes below -5%. Contango > -5%: Risk-On signal.
Contango Roll is the ratio of VX2 first back-month contract) and the VIX minus one. In a bull market, this indicator rises above 10%, in a downtrend market, this indicator goes below -10%. Contango Roll > 10%: Risk-On signal.
VRP Volatility Risk Premium (VRP) compares IV to the recent HV; it attempts to quantify how much “extra” premium (in volatility term) S&P500 option sellers are charging investors for the protection of their portfolio. It can be seen as an insurance premium. A simple way to compute the VRP is VRP= VIX -HV10 where HV10 is the 10-day historical volatility of S&P500. Some people also look at the 5-day moving average of the VRP to smooth this indicator. VRP > 0: Risk-On signal.
FVRP Fast Volatility Risk Premium (FVRP) is a variant of the VRP. FVRP=EMA(VIX,7)-HV5 where HV5 the 5-day historical volatility of S&P500. FVRP > 0: Risk-On signal.
Kerbs Vullish Indicator 7EMA/12EMA of the VIX/VXMT ratio. If 7EMA > 12EMA, $VIX TS is in backwardation (bearish). If 7EMA < 12EMA, $VIX TS is in Contango (bullish)