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?

What does the VVIX / VIX comparison add?

How is this different from the VIX indicator?