# Volatility of Volatility

Volatility of Volatility is an indicator on [Vela](https://vela.luxalgo.com/chart), our next-generation charting platform, written in Pine Script®.

Volatility of Volatility measures how unstable a volatility series itself is: a 20-bar standard deviation of changes in realized volatility, ATR, or an implied index, percentile-ranked over 252 bars. Readings above the 80th percentile flag regimes where ATR stops and volatility-sized positions go stale fastest. For traders whose risk numbers depend on volatility staying put.

- Indicator in the LuxAlgo Library, by LuxAlgo, published Jun 20, 2026.
- Access: free.
- Concepts: [Volatility of Volatility](https://www.luxalgo.com/library/concept/volatility-of-volatility/) (primary)
- Open on Vela: https://vela.luxalgo.com/chart?pineScriptCodeId=tlkb6fu4stys38d80yl1dbve
- Page: https://www.luxalgo.com/library/indicator/volatility-of-volatility/

**Volatility of Volatility** answers the second-order question most volatility tools skip: how unstable is the volatility reading itself? The build differences a first-stage volatility series (realized volatility, ATR, or a published implied index), takes a rolling standard deviation of the changes, and percentile-ranks the result, since raw [volatility of volatility](https://www.luxalgo.com/library/concept/volatility-of-volatility/) readings do not transfer across instruments.

## How to Trade the Volatility of Volatility?

- **Unstable regime**: at or above the 80th percentile the volatility estimate is on the move. ATR stops, volatility-targeted sizes, and fresh band widths go stale quickly; the background shades these stretches.
- **Stable regime**: at or below the 20th, trailing calibrations are at their most trustworthy, the footing quiet setups presume.

## Volatility of Volatility Settings

- **Volatility Basis** (default Realized Volatility): the first-stage series; Implied Index reads **Implied Index Symbol** (default CBOE:VIX).
- **Volatility Length** (default 20): first-stage window; ignored for an implied index.
- **Change Basis** (default Log Change): scale-free log changes, or Simple Change in the series' own units.
- **Vol-of-Vol Length** (default 20): the second-stage standard-deviation window.
- **Percentile Lookback** (default 252) with **High Percentile** (default 80) and **Low Percentile** (default 20): the one-year ranking window and its regime cuts.
- **VVIX / VIX Comparison** (default enabled) with **VVIX Symbol** (default CBOE:VVIX) and **VIX Symbol** (default CBOE:VIX): dashboard rows for the listed implied counterpart.
- **Show Percentile Levels** (default disabled), **Show Dashboard**, **Gradient Fill**, and **Highlight Unstable Regime** (default enabled): the reference levels, stats panel, fill, and regime shading.

## Frequently Asked Questions

### Why rank percentiles instead of reading the raw value?

Raw dispersion values depend on the instrument, the basis, and every window choice, so no absolute cutoff travels. The percentile rank asks the portable question: is current instability unusual for this instrument? The regime logic, shading, and alerts run on the rank.

### What does the VVIX / VIX comparison add?

VVIX is the listed vol-of-vol benchmark (the VIX's own expected 30-day movement), the implied counterpart to this pane's statistical reading. When VVIX runs rich against the VIX, volatility convexity is expensive.

### How is this different from the VIX indicator?

The [VIX indicator](https://www.luxalgo.com/library/indicator/vix/) reads the level of first-order implied volatility; this build works one derivative higher. Two instruments can average identical volatility while only one swings between calm and panic; this reading tells them apart.

## Related indicators

- [Hot Zone Radar](https://www.luxalgo.com/library/indicator/hot-zone-radar/) (Volatility Percentile/rank): markdown at https://www.luxalgo.com/library/indicator/hot-zone-radar.md
- [Volatility Signature Plot](https://www.luxalgo.com/library/indicator/volatility-signature-plot/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/volatility-signature-plot.md
- [The Range Indicator](https://www.luxalgo.com/library/indicator/the-range-indicator/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/the-range-indicator.md
- [Jump Detection](https://www.luxalgo.com/library/indicator/jump-detection/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/jump-detection.md
- [Garman-Klass–Yang-Zhang Hybrid](https://www.luxalgo.com/library/indicator/garman-klass-yang-zhang-hybrid/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/garman-klass-yang-zhang-hybrid.md
- [GARCH-family Clustering](https://www.luxalgo.com/library/indicator/garch-family-clustering/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/garch-family-clustering.md
- [Kase Studies](https://www.luxalgo.com/library/indicator/kase-studies/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/kase-studies.md
- [Yang-Zhang Estimator](https://www.luxalgo.com/library/indicator/yang-zhang-estimator/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/yang-zhang-estimator.md

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Source: https://www.luxalgo.com/library/indicator/volatility-of-volatility/ (LuxAlgo Library). Free to use with attribution: https://www.luxalgo.com/library/license/