Volatility of Volatility (VVIX)
The Formal Definition
A market indicator calculated by the CBOE that measures the 30-day implied volatility of the VIX index itself, derived from the pricing of out-of-the-money VIX options contracts.
VVIX = CBOE Implied Volatility Index derived from the pricing of standard front-month VIX Call and Put Options
Cole Barrett's Reality Check
The Unvarnished Bottom Line"If the VIX measures the stock market's fear, the VVIX measures the fear of the fear. A high VIX means options on the S&P 500 are expensive. A high VVIX means options on the VIX itself are expensive. When VVIX spikes above 115 while the stock market is still making highs, institutions are quietly loading up on crash insurance."
Interactive Simulator: Test the Math
Real-World Example: Scenario Breakdown
Examining the real numbers for: Monitoring market-wide systemic tail-risk using VVIX vs. standard VIX metrics
| Execution Metric | Second-Order Volatility Trader | Traditional VIX Observer |
|---|---|---|
| Fee / Rate | Standard fee | $0.00 |
| Spread / Buffer | Observed VIX was calm at 15, but VVIX surged from 85 to 125 | Looked only at headline VIX (calm at 15.0) |
| Execution / Status | Recognized institutional demand for tail-risk VIX call options | Assumed market conditions were stable and added leveraged equity risk |
| Total Cost / Result | Avoided being caught in the volatility shock 3 sessions later | Caught off guard by sudden volatility expansion |
How Brokers Weaponize This Term
Basic trading platforms provide VIX tickers while withholding second-order volatility indices like VVIX and SKEW, leaving retail traders without early warning signals of institutional volatility hedging.
Broker Evaluation Matrix
Cole Approves
Tastytrade / Charles Schwab (Thinkorswim): Native charting and scanning support for non-equity market indicators including VVIX, SKEW, and term-structure curves.
Read Audit →Cole Flags / Avoids
Simplified Mobile Apps: Omits secondary market index indicators, displaying only standard retail equity charts.
View Trap Details →Frequently Asked Questions
What is considered a normal baseline level for VVIX?
A VVIX reading between 80 and 95 is generally considered normal, while readings above 115 to 130 indicate elevated demand for volatility options and potential upcoming market instability.
Can you trade the VVIX directly?
No. The VVIX is an informational calculation index; investors trade volatility using VIX options, VIX futures, and exchange-traded volatility products.