What is the VVIX?

By EC Assets Research Team, Volatility & Derivatives Desk · Published 15 May 2026 · Updated 15 October 2026

VVIX: The volatility of the VIX itself. Calculated from VIX options using the same variance-swap methodology as VIX, it summarizes the market's expected 30-day volatility of the volatility index in annualized percentage points.

What the VVIX Measures

The VVIX is the volatility of volatility. Cboe calculates it with the same model-free formula used for the VIX, but feeds it VIX options instead of S&P 500 options. The result is the 30-day implied volatility of the VIX, quoted in annualised percentage points. Daily history from Cboe begins in January 2007.

The two indices answer different questions. The VIX prices how much the S&P 500 is expected to move. The VVIX prices how much that price of protection is itself expected to move: the cost of hedging the hedges. Where the VIX is called the fear gauge, the VVIX is sometimes called the gauge of fear about fear: it rises when investors scramble for protection against a volatility spike, not merely against a fall in equities.

How It Works

The construction mirrors the VIX:

$$\text{VVIX}^2 = \frac{2}{T}\sum_i \frac{\Delta K_i}{K_i^2},e^{RT},Q(K_i) - \frac{1}{T}\left(\frac{F}{K_0} - 1\right)^2$$

Q(K) is the midpoint price of the out-of-the-money VIX option at strike K, and K0 the first strike below the forward F. Because VIX options settle on VIX futures, F is the VIX futures price for that expiry, so the VVIX strictly measures the volatility of the 30-day VIX forward. Spot VIX mean-reverts quickly and is usually more volatile than its futures.

Two features shape the level. Volatility is far more variable than equity prices, so the VVIX sits several times above the VIX. And VIX options show a call skew: the VIX jumps up in selloffs and drifts down in calm markets, investors buy VIX calls as crash protection, and the 1 / K² weighting of the variance-swap strip carries that skew into the index.

Worked Example

The VIX stands at 18 and the VVIX at 90. Under the Rule of 16, the daily one-standard-deviation move in the VIX forward is about 90 / 16 ≈ 5.6 percent, or about 1.0 point. Over 30 days the standard deviation is 90 × √(30/365) ≈ 25.8 percent. Because volatility moves in percentage terms, the one-standard-deviation range is asymmetric in points:

Ranges use 18 × e^(±σ√T); the VIX-to-move converter applies the same scaling to the VIX itself.

Cboe's daily closes since January 2007 put these levels in context. The VVIX has averaged 93.9, with a median of 91.2, and nine in ten closes have fallen between about 71.7 and 122.5. Its lowest close was 59.74 in April 2008 and its highest 207.59 on 16 March 2020, the day the VIX closed at its record of 82.69.

When It Applies (and Limitations)

It does not scale with the VIX. In October 2008, with the VIX near 80, the VVIX peaked at only 134.87. Its biggest spikes came when the VIX jumped from a low base: 168.75 in August 2015, 180.61 in February 2018, 173.32 in August 2024. A VIX that is already high is less uncertain, in percentage terms, than a low VIX that may double.

It measures the forward, not spot. Because the inputs are options on VIX futures, the VVIX describes the 30-day VIX forward. Translating it into moves of spot VIX understates them, especially for short horizons.

Wing liquidity is limited. VIX options are less deep than S&P 500 options, and far out-of-the-money strikes can carry wide or indicative quotes, particularly in stress.

The sample is short and event-driven. With daily history from 2007, VVIX statistics are dominated by a handful of shocks, and the relationship with the VIX shifts between regimes.

Why It Matters for Institutional Investors

Tail-hedge cost. Programmes that buy out-of-the-money VIX calls pay implied volatilities closely related to the VVIX. Park (2015) finds that the VVIX helps predict tail-hedge returns, which is why disciplined programmes accumulate protection when it is low rather than after a spike.

Volatility-of-volatility exposure. The convexity of a variance swap and the volga of an option book are both exposures to the volatility of volatility. Huang, Schlag, Shaliastovich and Thimme (2019) show that this risk is priced separately from volatility itself, so a book flat in vega can still lose when the VVIX rises.

Stress signal. A rising VVIX with a stable VIX shows investors paying up for protection against future tail events. Read alongside the VIX, it separates calm markets from complacent ones.

Sizing volatility positions. A position in VIX calls or VIX futures is best sized in VVIX terms. At a VVIX of 120, a one-standard-deviation monthly move in the VIX forward is about a third of its level, so a hedge that pays off in a spike also carries a high chance of losing most of its premium in quiet months.

Joint calibration. Models that price S&P 500 and VIX options consistently must match both the VIX and the VVIX, a demanding test that rules out many stochastic-volatility specifications.

References

1. Cboe Global Markets. (2019). Cboe Volatility Index (VIX) White Paper. Cboe.
2. Cboe Global Markets. (2026). VVIX and VIX Daily Index History. Cboe.
3. Park, Y.-H. (2015). Volatility-of-Volatility and Tail Risk Hedging Returns. Journal of Financial Markets, 26, 38-63.
4. Huang, D., Schlag, C., Shaliastovich, I., & Thimme, J. (2019). Volatility-of-Volatility Risk. Journal of Financial and Quantitative Analysis, 54(6), 2423-2452.
5. Whaley, R. E. (2000). The Investor Fear Gauge. Journal of Portfolio Management, 26(3), 12-17.