Vol term-structure (VIX/VIX3M) gate

The question

Do cross-asset stress patterns — volatility-of-volatility, credit spreads, the yield curve, commodities, funding plumbing, and crypto — lead broad equity drawdowns? A family of independent early-warning hypotheses.

How it was tested

The hypothesis, its exact trigger, the outcome it predicts, and the pass/fail bar were written down and cryptographically hash-locked before any data was tested, then held through a mandatory cooling-off period. The backfill ran exactly once against those frozen parameters — no re-tuning, no curve-fitting — using adversarial statistics (stationary-bootstrap confidence intervals, multiple-testing correction, purged cross-validation with an embargo, and walk-forward out-of-sample splits). The specific trigger thresholds are proprietary and omitted here.

The outcome

RAN 2026-06-14 → NOISE (subsumed by VIX level). 62 T1 onsets 2006-2026. Primary SPX 3mo: IC +0.224 [lo 0.182], 4/5 purged, Holm-Sidak ✓ — BUT the LOAD-BEARING no-subsumption fails on all 3 outcomes: T1 lift 0.098 < naive VIX>75th-756d lift 0.154 (deltaLo −0.094), and ~zero marginal lift when VIX isn't already high (T1|lowVIX −0.002). Vol-SLOPE adds nothing beyond 'VIX is high' — the honest prior (vol level is coincident; VVIX + options-skew already failed). Joins yield-curve + options-skew in the graveyard. data/backfill/vol_term_structure_gate_2026-06-14.json. Rule #10: no iterate.

The backfill ran and the hypothesis failed its pre-registered bar. It is recorded and retired — not re-tested without a fresh, separately-registered hypothesis.