Volatility Term Structure Slope

Quick Reference

Property	Value
Dimension	stability
Category	volatility
Version	v1.0
Output Column	term_structure_slope

Slope of volatility term structure 鈥?measures how vol decays with time scale

Formula

rv_300s - rv_1s

CDM Inputs

Column	CDM Table	Description
rv_1s	cdm_*	CDM source table
rv_10s	cdm_*	CDM source table
rv_60s	cdm_*	CDM source table
rv_300s	cdm_*	CDM source table

Parameters

This FeatureType has no configurable parameters.

Output

Column: term_structure_slope

Slope of log-vol vs log-time regression

Market Intuition & Trading Rationale

Volatility term structure slope measures how volatility changes with the measurement horizon: rv_300s - rv_1s. A positive slope means long-horizon volatility exceeds short-horizon 鈥?typical of trending markets where sustained moves build over time. A negative slope means short-horizon volatility exceeds long-horizon 鈥?typical of mean-reverting markets where short-term fluctuations cancel out over longer periods.

The slope captures the market's "volatility personality." Upward-sloping term structures favor momentum strategies (trends build over time). Downward-sloping term structures favor mean-reversion strategies (short-term dislocations revert). Flat term structures suggest efficient markets with no timescale-dependent predictability 鈥?the hardest regime for any strategy.

The four input horizons (1s, 10s, 60s, 300s) span from microstructure to intraday. The slope is computed as the difference between the endpoints, providing a simple but effective summary of the full term structure.

Usage Cases

• Strategy rotation: Positive slope 鈫?deploy momentum strategies. Negative slope 鈫?deploy mean-reversion strategies. Near-zero slope 鈫?reduce exposure; neither strategy class has an edge.
• Regime transition early warning: A slope that was positive and is flattening toward zero signals that momentum is losing steam 鈥?the trend may be ending. A slope crossing from positive to negative signals a regime change from trending to mean-reverting.
• stability context: Used in realized_volatility_spectrum pack 鈥?the slope provides the stability dimension, confirming whether the volatility term structure is stable (consistent slope) or unstable (fluctuating slope indicating regime uncertainty).

YAML Definition

name: volatility_term_structure_slope
description: Slope of volatility term structure 鈥?measures how vol decays with time
  scale
category: volatility
dimension: stability
version: v0.9.0 (Beta)
required_inputs:
  - rv_1s
  - rv_10s
  - rv_60s
  - rv_300s
output_column: term_structure_slope
output_description: Slope of log-vol vs log-time regression
tags:
  - stability
  - volatility
  - term_structure
parameters: {}
formula: rv_300s - rv_1s