Case Study · This Tool Would Have Told You
Free to readThe Fastest Crash on Record — March 2020
The COVID crash drove the term structure into the deepest backwardation most traders will ever see. The curve was screaming days before the bottom.
If August 2024 was a sharp, fast inversion, March 2020 was the curve turned fully upside down for weeks. It is the textbook example of what extreme backwardation looks like — and of how the shape leads the headlines. No VIX needed: read it on VolDex® and TermDex®.
The setup
The S&P 500 peaked at 3,386 on February 19, 2020, with the term structure in ordinary contango — calm, upward-sloping, positive TermDex®. Then COVID went global. Over the next five weeks the index fell 34% to a closing low of 2,237 on March 23 — the fastest 30% drawdown in market history.
S&P 500 tops at 3,386. Term structure in calm contango — front below the back.
First market-wide circuit breaker. Front-end VolDex spikes; the curve flips into backwardation.
Two more circuit breakers; Mar 16 was the worst single day. Backwardation deepens — front VolDex far above the long end. TermDex® at an extreme low.
Closing low, 2,237 (−34% from the peak). The Fed's backstops are landing. Front-end VolDex begins to roll over while the back holds — the first hint of normalization.
Curve grinds back toward contango as the rally begins. TermDex climbs back through zero.
What the curve showed
This was backwardation at its most violent. Front-week VolDex didn't just rise above the long end — it towered over it, because the market was pricing a genuine, immediate systemic shock. The back end rose too (unlike a one-day scare), but the front rose far more, so the curve sloped steeply down across every tenor. That is the signature of a market that believes the danger is now.
Actual SPY VolDex® by tenor: 02/19/2020 (calm contango — front-week ~10, rising to ~15 at one year) versus 03/16/2020 (deep backwardation — front-week ~108, collapsing to ~39 at one year). Tenors spaced by calendar days.
Positive and calm on Feb 19. By Mar 9 it had flipped negative; through Mar 16 it sat at an extreme low you'd rarely see in a decade. Crucially, TermDex started climbing off the bottom as the front rolled over in the days around Mar 23 — the curve hinted at the turn before price confirmed it.
This case study is free to read. To replay the actual curve for these dates and compare it across history, you need historical data — Everything.
See plans →The trade — and the catch
A backwardated curve says the front is rich and the back comparatively cheap; the snap-back structure is a calendar — short the rich front-week ATM vol, long a further-dated ATM option. But March 2020 carries the warning that comes with extreme inversions: when stress is systemic, the front can stay bid for weeks and realized volatility can be enormous. A short-front structure put on too early, too big, gets run over.
The lesson
March 2020 is the case that teaches respect for the front end. The shape told you the regime in real time — calm, then violent inversion, then the first roll-over before the bottom. But it also shows that reading the regime and surviving it are two different skills. The curve gives you the map; position size keeps you in the game.
Your next step
Open the VolDex® Term Structure tool → Case study: Aug 2024 → Case study: Mar 2023 banking →Educational content from Nations Indexes. VolDex® and TermDex® are registered marks of Nations Indexes. Event facts (peak/bottom levels, circuit breakers, dates, drawdown) are historical and verifiable. The curve description characterizes how the options market priced risk on those dates; the figure is an illustrative recreation of the shape change, not a price chart, and nothing here is investment advice or a guarantee of any outcome.