Backwardation dates


Here are the dates from vixcentral where we enter backwardation (e.g. below the red line). Maybe useful to assist with backtesting.

Backwardation (F1-F2):
2012, Dec 28th
2013, Feb 25th
2013, Apr 15th
2013, Jun 20th
2013, Oct 8th
2013, Oct 15th
2013, Dec 13th to 17th
2014, Jan 24th
2014, Jan 30th to Feb 6th
2014, Mar 13th to 17th
2014, Apr 11th
2014, Aug 7th
2014, Oct 9th to 30th (with exception of three days during this period)
2014, Dec 12th to 16th *Deep backwardation w F1-F2 -13%
2015, Jan 6th to 20th (with exception of two days during this period)
2015, Jan 28th to Feb 2nd
2015, Jul 8th to 9th
2015, Aug 20th to Oct 7th (with exception of two days during this period)
2015, Nov 13th to 17th
2015, Dec 10th to 15th *Deep backwardation w F1-F2 -8.5%
2016, Jan 4th to Feb 16th
2016, Jun 13th
2016, Jun 24th to 27th
2016, Nov 2nd to 4th
2017, Apr 5th to 21st
2017, Aug 10th to 11th​

Backwardation (F4-F7):

These dates occur also in the list above for F1-F2.

Aug-Sept 2015:
2015, Aug 24th
2015, Sep 1st
2015, Sep 4th to 7th​

Jan-Feb 2016:
2015, Jan 15th to 21st
2015, Jan 25th
2015, Jan 27th
2015, Feb 2nd to 16th
Regards, Dave
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Does anyone know how to auto import SPX "Open" prices into Glen's spreadsheet? From there we could formulate the change in SPX price going in and out of contango and perhaps see "levels" of contango that is most indicative of needing to make delta changes. Or maybe when Contango changes by "x" percent one direction or the other could be a good signal if we could analyze per SPX pricing info. Glen and MrRobot (?) Thank you for posting the data :)