The VVIX stands for the Cboe VVIX Index. It is the expected 30-day volatility of the VIX Index and is derived by applying the VIX algorithm again to VIX options. Synonyms are “VIX of VIX“, “volatility of volatility” or “Vol of Vol“.
So, the VVIX measures how rapidly S&P 500 volatility changes. In other words, VIX is like velocity and VVIX is like acceleration.
What is a typical value of the VVIX?
The range of the VVIX is much higher than the range of the VIX which is normal for Vol of Vol.
From 2007 to 2022 the VVIX ranged from an all-time low of 60 in 2008 to an all-time high of 212 in 2015.
Over the same period, the long-term historical mean is 94. The VVIX tends to revert to this historical mean.
Can you trade the VVIX?
You cannot trade VVIX because it is an index and no options, futures or ETFs are available either
Traders can use the VVIX as an indicator because it provides useful insights, e.g.:
- It can help to determine how to trade market volatility using VIX options, VIX futures or VIX ETFs & ETNs.
- A simultaneous low VVIX and low VIX could indicate that VIX is ready to bounce. Traders could open long VIX positions, e.g., buying VIX calls or VIX debit call spreads.
- A simultaneous high VVIX and high VIX could indicate that VIX is ready for mean reversing. Traders could open short VIX positions, e.g., buying VIX puts, selling VIX credit call spreads.
- Some traders watch the VVIX-to-VIX Ratio to determine low and high volatility extremes.