Abstract
The authors investigate the question of whether the VIX futures term structure curve can detect inflection points in the U.S. stock market. They find that transformations of the slope of the VIX futures term structure, such as exponential moving average of past slopes, curvature, and polynomial fitting, outperform the simple slope and can be used as factors to improve probabilistic models that predict downturns in the U.S. stock market.
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