What is the VVIX? Definition, Formula, and Example
VVIX is the Cboe 'VIX of the VIX' Index — it measures the market's expected 30-day volatility of VIX itself, calculated from VIX option prices, and signals demand for tail hedges.
VVIX is the Cboe VVIX Index — the "VIX of the VIX." It measures the market's expected 30-day volatility of the VIX itself, calculated from the prices of VIX options. While the VIX gauges expected S&P 500 volatility, VVIX gauges expected VIX volatility, making it a second-order volatility metric and the most direct read on demand for tail hedges and volatility-of-volatility risk premium. Cboe launched the index in March 2012.
How VVIX Is Calculated
VVIX applies the same generalized variance-swap methodology as VIX, but to VIX options instead of SPX options. The formal calculation:
VVIX² = (2/T) × Σᵢ (ΔKᵢ / Kᵢ²) × eᴿᵀ × Q(Kᵢ) − (1/T) × (F/K₀ − 1)²
where T is time to expiration in years, Kᵢ are strikes, Q(Kᵢ) is the midpoint of the out-of-the-money option at strike Kᵢ, F is the VIX futures forward price, K₀ is the first strike below F, and R is the risk-free rate. The result is the variance-swap-implied 30-day expected volatility of VIX, annualized and expressed in percentage points.
Historical range: VVIX has traded between roughly 60 (extreme complacency) and 220 (March 2020 peak). The long-term median sits near 90. Cboe publishes the value every 15 seconds during the SPX session and disseminates it under the symbol $VVIX.
Worked Example
On 2025-03-10, VIX closed at 24.5 and VVIX closed at 118. The interpretation: SPX options imply ~24.5% annualized volatility for the S&P 500 over the next 30 days, while VIX options imply ~118% annualized volatility for VIX over the same window. Practically, a 118 VVIX implied a one-standard-deviation 30-day move in VIX of roughly ±9.5 points — a wide range that priced in further stress without committing to direction.
Two months later, on 2025-05-20, with markets calmer, VIX printed 14.2 and VVIX printed 82. The lower absolute VIX combined with lower vol-of-vol indicated faded demand for out-of-the-money VIX calls and reduced tail-hedging activity.
When Traders Use the VVIX
Sophisticated vol traders watch VVIX for:
- Tail-hedge demand — VVIX > 130 with a stable VIX signals aggressive OTM VIX call buying, often a leading indicator of stress before it shows up in VIX itself
- VIX option pricing — traders selling VIX strangles compare VVIX to realized vol of VIX to assess premium richness
- Regime classification — VVIX < 80 marks complacent regimes; > 120 marks elevated stress; > 150 marks crisis
- Divergence signals — VVIX rising while VIX is flat or declining suggests professionals are loading up on protection even as headline fear gauges sleep
Volatility ETP traders (UVXY, VIXY, SVXY) treat VVIX as one of the highest-signal inputs to position sizing.
Limitations and Common Misconceptions
VVIX is not directly tradable. There is no listed VVIX future or VVIX option; exposure must be constructed synthetically through VIX options or VIX option spreads. This contrasts with VIX, which has both futures and options markets.
VVIX can also lag. In flash events — the August 5, 2024 yen-carry unwind, or the February 5, 2018 "Volmageddon" — VIX spiked first and VVIX caught up over subsequent sessions. VVIX is more useful for slow-developing stress than for instantaneous shocks.
Finally, a high VVIX does not guarantee a VIX spike. It signals expected variance of VIX, which can resolve in either direction. A 120 VVIX with VIX at 14 can mean VIX is about to crash to 10 just as easily as it can spike to 25. VVIX is a volatility gauge, not a directional one.