What is VVIX?
Volatility *of* the VIX — the market's fear of fear changing. Second-order risk.
Definition
VVIX measures the implied volatility of VIX options over a 30-day horizon. While VIX prices uncertainty about SPX returns, VVIX prices uncertainty about *VIX itself* — i.e. how violently the fear gauge could spike or collapse.
Why it matters for trading
- A VIX spike with a flat VVIX is "ordinary" risk-off — the market is repricing risk but is not panicked about the repricing. A VIX spike *with* VVIX spiking is institutional hedging stress; convexity buyers are paying up.
- VVIX > 110-115 is historically associated with crisis-level option markets (March 2020, Aug 2024 yen-carry unwind). It is a leading indicator that VIX itself can run another 30-50%.
- When VVIX leads VIX higher, it tells you the *vol-of-vol* market saw the move first — usually a dealer-positioning signal worth respecting.