What is the difference between Contango and Backwardation?

Contango occurs when futures prices are higher than the spot VIX, indicating low immediate fear. Backwardation occurs when futures prices are lower than the spot, indicating high immediate fear or panic.

How is the market regime determined?

The regime is classified as Complacent if contango is greater than 5%, or Panic if backwardation is greater than 5%. Otherwise, it is considered Normal.

Can I calculate the roll yield for specific contracts?

Yes, you can use `calculate_roll_yield` by providing the prices for the first and second month contracts and the days remaining until the first contract expires.

VIX Term Structure Calculator MCP Connector for Claude

A+

Analyze VIX futures term structure, roll yields, and market regimes.

3 tools Official Updated Oct 1, 2026 Official Vinkius Partner

More Details Connect to Claude

This MCP server provides deterministic tools to analyze the VIX futures term structure. It identifies market regimes like Contango and Backwardation, calculates the theoretical roll yield between contracts, and determines the term structure slope using linear regression. Use analyze_term_structure to identify if the market is in a Complacent or Panic state, calculate_roll_yield to quantify returns when rolling positions, and get_structure_slope to find the price trend relative to time to expiration.

vixfuturesvolatilityfinanceterm-structure

Connect to Claude

Subscribe on Vinkius, then add this connector to Claude.ai or Claude Code.

① Claude.ai (web app)

Go to Settings → Connectors → Add custom connector
Paste the MCP endpoint URL below

https://edge.vinkius.com/vk_preview_qJzcV2f2oCEsQBv9vqbN2biQTVZR3F0uuHUkRoyz/mcp

② Claude Code (terminal)

claude mcp add --transport http vix-term-structure-calculator https://edge.vinkius.com/vk_preview_qJzcV2f2oCEsQBv9vqbN2biQTVZR3F0uuHUkRoyz/mcp

③ Claude Desktop

Add to claude_desktop_config.json:

{
  "mcpServers": {
    "vix-term-structure-calculator": {
      "url": "https://edge.vinkius.com/vk_preview_qJzcV2f2oCEsQBv9vqbN2biQTVZR3F0uuHUkRoyz/mcp"
    }
  }
}

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