VVIX — Volatility of Volatility Index¶
OVERVIEW¶
VVIX (Cboe VVIX Index) — the "VIX of the VIX" — measures the market's expected 30-day volatility of the VIX itself, calculated from the prices of VIX options. While the VIX gauges expected S&P 500 volatility, VVIX gauges expected VIX volatility, making it a second-order volatility metric and the most direct read on demand for tail hedges and volatility-of-volatility risk premium. Cboe launched the index in March 2012 and publishes values every 15 seconds during the SPX session under the symbol $VVIX.
Note
VVIX is not directly tradable. No listed VVIX futures or options exist. Exposure must be constructed synthetically through VIX options or VIX option spreads.
HOW IT WORKS¶
VVIX applies the same generalized variance-swap methodology as VIX, but uses VIX options as inputs instead of SPX options.
Core formula:
| Variable | Definition |
|---|---|
T |
Time to expiration in years |
Kᵢ |
Option strike prices |
Q(Kᵢ) |
Midpoint price of the OTM option at strike Kᵢ |
F |
VIX futures forward price |
K₀ |
First strike below F |
R |
Risk-free rate |
The result is the variance-swap-implied 30-day expected volatility of VIX, annualized and expressed in percentage points.
HISTORICAL REFERENCE¶
| Level | Regime Interpretation |
|---|---|
| < 80 | Complacent — low tail-hedge demand |
| 80 – 120 | Neutral to elevated stress |
| > 120 | Elevated stress — active protection buying |
| > 150 | Crisis conditions |
| ~220 | Historical peak (March 2020) |
Note
The long-term median sits near 90. Historical range spans approximately 60 (extreme complacency) to 220 (March 2020 peak).
WORKED EXAMPLES¶
Stressed market — 2025-03-10
- VIX:
24.5| VVIX:118 - The interpretation: SPX options imply ~24.5% annualized volatility for the S&P 500 over the next 30 days, while VIX options imply ~118% annualized volatility for VIX over the same window. Practically, a VVIX of 118 implied a one-standard-deviation 30-day move in VIX of roughly ±9.5 points — a wide range that priced in further stress without committing to direction
Calm market — 2025-05-20
- VIX:
14.2| VVIX:82 - The lower absolute VIX combined with lower vol-of-vol indicated faded demand for out-of-the-money VIX calls and reduced tail-hedging activity
Tip
VVIX rising while VIX is flat or declining is a divergence signal — professionals may be loading up on protection even as headline fear gauges remain quiet.
HOW TO USE¶
Sophisticated vol traders watch VVIX for common use cases on the terminal:
Tail-hedge demand monitoring Watch for VVIX > 130 with a stable VIX — this signals aggressive OTM VIX call buying, often a leading indicator of stress before it appears in VIX itself.
VIX option premium assessment Compare VVIX to realized volatility of VIX to evaluate richness when selling VIX strangles or other premium strategies.
Regime classification
Use VVIX thresholds to label current market conditions before sizing positions in volatility ETPs such as UVXY, VIXY, and SVXY.
Divergence detection Flag sessions where VVIX trends higher while VIX trends flat or lower — a common setup ahead of slow-developing stress events.
LIMITATIONS¶
| Limitation | Detail |
|---|---|
| Not tradable | No listed VVIX futures or options; synthetic construction required via VIX options. This contrasts with VIX, which has both futures and options markets |
| Can lag flash events | In rapid dislocations (e.g., August 5, 2024 yen-carry unwind; February 5, 2018 Volmageddon), VIX spiked first and VVIX caught up over subsequent sessions |
| Not directional | High VVIX signals expected VIX variance, not direction — a reading of 120 with VIX at 14 is consistent with VIX moving to either 10 or 25 |
Note
VVIX is most useful for slow-developing stress regimes. For instantaneous shock events, rely on real-time VIX movement and options flow rather than VVIX alone.