VIX-Contango Squeeze Resolver

Family: breakout · Regime: trending · Complexity: high · Asset classes: US Equities, S&P 500 E-minis, Nasdaq 100 · Timeframes: 15m, 1H

Thesis

Markets exhibit 'volatility clustering' where periods of low volatility (Squeeze) lead to high volatility. By using the VIX/VIX3M ratio, we identify periods of 'Contango' where market participants are not pricing in immediate panic, making breakouts more likely to trend rather than mean-revert. Integrating proxy-order-flow (GHOST) and relative volume (RVOL) identifies whether the squeeze resolution is driven by genuine participation or price-churn, providing an edge over simple ATR-based breakout systems.

Components

TTM Squeeze (Carter Ratio version) (regime) — Identifies the 'coiling' phase where Bollinger Bands move inside Keltner Channels, indicating an imminent volatility expansion.
GHOST — OrderFlow Intelligence (direction) — Uses candle-geometry proxies for CVD and Sentiment to determine if the 'squeeze' is being resolved by aggressive buyers or sellers.
SuperTrend & Pivots (entry) — Provides the final execution trigger when price breaks the ATR-based trend line in alignment with the broader order flow.
MACD (exit) — Captures the exhaustion of the momentum move to provide a late but safe exit before a full trend reversal.
VIX Curve Regime (Simple) (risk) — Acts as a global 'Risk-On' circuit breaker; trades are only permitted in Contango (VIX/VIX3M < 1.0), as backwardation often produces erratic breakout failures.
RVOL (Relative Volume) (volatility_filter) — Ensures the breakout from the squeeze is supported by high relative participation, filtering out low-liquidity 'head-fakes'.

Known failure conditions

Prolonged periods of 'Squeeze On' without expansion (choppiness), leading to multiple SuperTrend whipsaws.
VIX/VIX3M ratio hovering exactly at 1.0, causing frequent risk-on/risk-off toggling.
Failure of proxy-delta (GHOST) to correlate with actual exchange volume in low-liquidity environments.

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