VVIX

The VVIX is Cboe's volatility-of-volatility index. VVIX, also known as VIX of VIX, volatility-of-volatility index, is a Breadth, Sentiment & External Data concept. A reference entry: the Library explains it rather than implements it.

What is the VVIX?

The VVIX is Cboe's volatility-of-volatility index. It applies a VIX-style calculation to options on the VIX itself, producing a 30-day, option-implied measure of how violently the market expects volatility to move. Where the VIX prices expected swings in the S&P 500, the VVIX prices expected swings in the VIX.

Because VIX calls are a standard crash hedge, the VVIX largely tracks demand for tail protection. When investors bid aggressively for VIX upside, the implied volatility of those options rises and the VVIX climbs, sometimes before the VIX itself moves. A depressed VVIX signals cheap volatility convexity and, often, complacency.

Much of the index's history has been spent roughly in an 80 to 120 band, with spikes far above that during acute stress, including August 2015, February 2018, March 2020, and August 2024. VVIX spikes tend to be sharp and brief, since demand for volatility optionality is bursty and fades quickly once a shock passes.

Why there's no indicator for this

The VVIX is computed from the prices of out-of-the-money VIX options across strikes and expirations, so its raw input is an options chain on a derivative index. None of that exists in the price and volume of any chartable symbol; a platform can only display the VVIX if its data feed licenses the index from Cboe. The nearest chart-native substitute, realized volatility of the VIX itself, is computable but answers a different question: it measures how much the VIX has moved, not what the options market is currently paying for future VIX movement. No indicator built on OHLCV data can close that gap.

How to read the VVIX

The VVIX is a published index, so reading it well is mostly about context.

  1. 1Compare the current level to its own multi-year range rather than fixed thresholds; the typical band drifts across regimes.
  2. 2Watch divergences: a VVIX grinding higher while the VIX stays quiet suggests hedgers are paying up for crash protection under the surface.
  3. 3Note spike behavior: an elevated reading that refuses to fade is more unusual, and more informative, than the spike itself.
  4. 4Read it jointly with the VIX to gauge hedge cost: a high VVIX against a low VIX means optionality on a volatility spike is expensive relative to the calm tape.

How traders use it

  • As a fear gauge one derivative removed from equities: volatility traders watch it to judge whether the options market believes the current volatility regime is stable.
  • As a hedging-cost dial: a high VVIX makes VIX calls and tail hedges expensive, pushing desks toward alternative structures, while a low VVIX makes convexity cheap to own.
  • As an early-warning divergence: VVIX firming ahead of the VIX has preceded some stress episodes, though it also produces false positives and is treated as a nudge rather than a trigger.
  • As regime confirmation alongside dealer-flow estimates like gamma exposure and sentiment composites such as the Fear & Greed Index when judging whether a quiet tape is genuinely quiet.

VVIX vs related volatility measures

VIX: The VIX tracks expected swings in equities; the VVIX tracks expected swings in the VIX itself. They usually spike together, but the VVIX can firm first when hedgers accumulate protection quietly.

Implied Volatility: Standard IV readings describe an asset's own options. The VVIX is implied volatility applied to volatility itself, making it a gauge of demand for convexity rather than direction.

VVIX FAQ

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