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 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 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.