Can the VIX curve tell us when protection is worth carrying?

Public research brief

The price of protection matters. So does where that price sits along the futures curve.

Jungle Rock's Squid Programs use the ordering of the first seven VIX futures contracts as a regime signal. More departures from the usual upward-sloping order shift the allocation toward volatility exposure and away from equity exposure.

The idea aims to avoid carrying the same protection through every environment. We have reviewed the white paper, not replicated its performance. The implementation question is whether the signal remains useful after the next executable trade.

AI assists curation and drafting. The research status distinguishes paper reviews from house tests. Read our research approach.