Volatility Indices Advanced Volatility of the volatility index Forward-looking

VVIX

The expected size of moves in the market's expectation of moves — and why VIX options are never cheap.

Quick answer: VVIX is the volatility of the volatility index — a model-free measure of how much the VIX itself is expected to move over the next 30 days, computed from the prices of options on the VIX exactly as the VIX is computed from options on the index.

In simple words

The VIX tells you how much the market expects the S&P 500 to move. VVIX goes one level up: it tells you how much the market expects the VIX to move. If the VIX is a measure of expected wobble, VVIX is a measure of expected wobble in that expectation. That sounds abstract until you own an option on the VIX — because the price of a VIX option depends on VVIX, not just on the VIX. When VVIX is high, options on the VIX are expensive; when it is low, they are cheap. A VVIX of 90 is a calm environment for volatility itself; a VVIX of 130 means the market thinks the VIX is about to become unstable.

The single most useful thing VVIX teaches is that being right about the VIX is not enough. You can correctly predict that the VIX will rise, buy a VIX call, watch the VIX rise exactly as you expected — and still lose money, because the VIX rose quietly and VVIX fell, deflating the price of your option. VVIX is the reason volatility of volatility is a distinct thing you have to pay for, separately, on top of volatility itself.

Not to be confused with: The VIX itself, and the level of the VIX. VVIX is not a higher VIX or a faster VIX — it is the volatility of the VIX, a genuinely different quantity that can rise while the VIX is falling and fall while the VIX is high. The classic trap is a calm-but-nervous market: a low VIX with a high VVIX, where nothing is moving yet but the market is paying heavily for the possibility that everything soon will.

VVIX against the VIX it measures

It reacts to movement, not to level

VVIX plotted alongside the VIX over time.

The two series rise together during genuine shocks, but watch the periods where they part: VVIX can climb while the VIX sits low and still — a market that is quiet but bracing — and it can stay elevated after a spike has begun to fade. VVIX is a picture of the market's uncertainty about its own uncertainty, and its peaks line up with when the VIX moves, not with when the VIX is high.

Professional explanation

VVIX is the VIX methodology applied one level up

The construction of VVIX is exactly parallel to the VIX, which is the cleanest way to understand it. The VIX is a model-free variance strip built from options on the S&P 500; VVIX is a model-free variance strip built from options on the VIX. Where the VIX reads a strip of S&P 500 option prices to price 30-day equity-index variance, VVIX reads a strip of VIX option prices to price 30-day variance of the VIX itself, and reports it as an annualised volatility. So VVIX inherits every property of the VIX one level up: it is forward-looking, model-free, un-tradeable as spot, and interpolated to a constant 30-day horizon. It just measures the movement of a different underlying — and that underlying is itself a volatility index.

It rises when the VIX MOVES, not when the VIX is high

This is the distinction that costs people money, so it is worth stating precisely. The VIX prices the expected size of moves in the S&P 500. VVIX prices the expected size of moves in the VIX. A high VIX that sits still — grinding sideways at an elevated level — can coincide with a falling VVIX, because the VIX is not moving much even though it is high. A low VIX that is about to jump can coincide with a rising VVIX, because the market is pricing instability in the VIX even while the VIX is quiet. Reading VVIX as "a more extreme VIX" gets this exactly backwards. VVIX is about the second derivative — the volatility of the volatility — and its natural home is the tension between how calm things are and how nervous the market is about that calm continuing.

Why VVIX is what makes VIX options expensive

A VIX option is an option on the VIX, and like any option its price rises with the volatility of its underlying. The volatility of the VIX is VVIX. So the price of a VIX call or put depends directly on VVIX, which produces a consequence that ambushes beginners: you can be right about the VIX and still lose. Suppose you buy a VIX call because you expect a spike. The VIX does rise — but it rises slowly and calmly, and while it does, VVIX falls because the market decides the VIX has become less jumpy. The vega of your VIX call, priced off VVIX, works against you, and the option can lose value even as the VIX moves your way. Volatility of volatility is not an academic curiosity; it is a Greek you are long or short every time you hold a VIX option, and it is why those options are rarely cheap.

Mean reversion, and the call skew VVIX explains

VVIX is itself mean-reverting, like every member of this family, and it has a typical home well above 100 because the VIX is a genuinely jumpy underlying — a volatility index moves more, in percentage terms, than the equity index beneath it. VVIX also explains a feature of the VIX option market that puzzles people arriving from equity options: the VIX smile has a pronounced CALL skew, the mirror image of the equity-index put skew. On stocks and equity indices, out-of-the-money puts are the expensive wing, because crashes are the feared event. On the VIX, out-of-the-money calls are the expensive wing, because a VIX spike is the feared event — the VIX explodes upward when equities crash, so upside VIX calls are the protection everyone wants. VVIX is the number that summarises how much that upside protection costs, and a high VVIX is a market that is calm but nervous about being calm — the most honest three-word description of the pre-crisis state anyone has.

Formula

VVIX — the VIX methodology, applied to VIX options

VVIX = 100 × √( (2/T)·Σ (ΔK_i / K_i²)·e^{rT}·Q(K_i) − (1/T)·(F/K_0 − 1)² )

Identical in form to the VIX, but every option price Q(K_i) is the price of an option ON THE VIX, and F, K_0 and the strikes K_i are VIX-option strikes. The output is the annualised expected volatility of the VIX over a 30-day horizon. Nothing is inverted through Black–Scholes; the VIX option prices are read straight from their chain, one level up from the equity options the VIX itself reads.

VVIXThe reported index — the annualised 30-day expected volatility of the VIX, in percent.
TTime to expiry of the VIX-option series in years, interpolated to a constant 30-day horizon.
ΣSummation over every out-of-the-money VIX-option strike K_i with a valid two-sided quote.
K_iThe i-th VIX-option strike in the strip — a strike on the VIX, not on the equity index.
ΔK_iThe strike interval around K_i — half the gap between the neighbouring VIX-option strikes.
rRisk-free interest rate for the tenor; e^{rT} carries the option price forward to expiry.
Q(K_i)Price of the out-of-the-money VIX option at strike K_i, taken as the bid-ask midpoint.
FThe forward VIX level for the expiry, derived from put-call parity on the VIX options.
K_0The first VIX-option strike at or below the forward F — the boundary between the VIX puts and the VIX calls.

The intuition in one line

VIX ≈ vol(index); VVIX ≈ vol(VIX) ≈ vol of vol

The VIX is the expected volatility of the equity index; VVIX is the expected volatility of that expectation. Each is one derivative higher than the last. A VIX option's vega is priced off VVIX, which is why a correct VIX view can still lose money when VVIX moves against you.

How to read VVIX alongside the VIX

Read VVIX as the expected volatility of the VIX, not as a more extreme VIX. Its typical home is above 100 because the VIX is a jumpy underlying.
Compare VVIX to the VIX, not in isolation. The interesting information is in the relationship: a low VIX with a high VVIX is a calm market that is nervous about staying calm.
Before buying a VIX option, check VVIX. A high VVIX means the option is expensive, so even a correct VIX view can lose if VVIX subsequently falls.
Remember VVIX reacts to VIX movement, not VIX level. A VIX that is high but sitting still can coincide with a falling VVIX.
Use the VIX call skew as a cross-check: when upside VIX calls are unusually bid, VVIX is elevated, because a VIX spike is the feared event VVIX prices.
For Indian markets, treat VVIX as a concept, not a number you can look up — there is no official Indian VVIX, so the framework applies but the index does not exist here.

Practical example

NIFTY worked example

Suppose the VIX is at 14 — low, in the normal band — and VVIX is at 125, which is high. What does that combination say, and how would it burn you? The low VIX says the S&P 500 option market is pricing a calm month for equities. The high VVIX says the VIX-option market is pricing a lot of movement in the VIX itself — the market is quiet but paying heavily for the possibility that it will not stay quiet. Now put on the naive trade: you buy a VIX call, reasoning that the VIX is cheap and can only go up. Two weeks later the VIX has drifted up to 16, exactly the direction you wanted — but it drifted there calmly, and VVIX has fallen from 125 to 100 as the market relaxed. Your VIX call, whose vega is priced off VVIX, has lost value despite the VIX rising, because you were long vol-of-vol at 125 and it repriced to 100. You were right about the VIX and wrong about VVIX, and the second bet was the one you did not know you had made. That is the entire lesson of vol-of-vol in one trade.

BANKNIFTY worked example

Here the honest answer is uncomfortable and important: India has no official VVIX, and there is no VVIX for BANKNIFTY. The concept applies perfectly well — the volatility of India VIX is a real quantity, and options on India VIX futures would have their prices governed by it — but the index does not exist, because the Indian VIX-derivatives market is too thin to support a liquid strip of VIX options from which a model-free vol-of-vol could be computed. So a BANKNIFTY worked example for VVIX is a worked example in what is absent. If you wanted the vol-of-vol of BANKNIFTY's volatility, you would have to estimate it statistically from the historical wobble of BANKNIFTY's implied volatility, which is a backward-looking approximation, not the forward-looking, option-implied number VVIX represents. The reader must not go looking for an Indian VVIX on a screen. It is not there, and any figure presented as one is not computed the way the CBOE's VVIX is.

Lot sizes used above (NIFTY 75, BANKNIFTY 30) are those in force at the time of writing; NSE revises them periodically. Figures exclude brokerage, STT, exchange charges, stamp duty and GST. Examples are teaching scenarios built on round numbers — they are not historical quotes, not backtests and not trade calls.

Risk note. VVIX is used to rationalise the most seductive trade in the volatility complex: selling VIX options when VVIX is high, on the argument that vol-of-vol is expensive and mean-reverts. It is true that VVIX is high and true that it mean-reverts, and it is also true that selling VIX options is selling convexity on convexity — a position whose losses are squared. A VIX spike and a simultaneous VVIX spike revalue short VIX-option positions violently, because both the underlying and its volatility move against you at once. High VVIX is not evidence that vol-of-vol is overpriced; it is usually evidence that the VIX is about to become unstable.

Advantages & limitations

What it is good for

It isolates a genuinely distinct risk — the volatility of volatility — that no other index captures, and that anyone holding VIX options is exposed to whether they measure it or not.
It prices VIX options honestly: because a VIX option's vega runs off VVIX, the index is the direct input to whether those options are cheap or expensive.
It reveals the calm-but-nervous state that the VIX alone hides — a low VIX with a high VVIX is a market bracing for instability that no equity-level number shows.
It is forward-looking and model-free, inheriting the VIX's clean properties one level up, so it is not contaminated by inverting a pricing model.
It explains the VIX call skew: the expensive upside wing of the VIX smile is exactly the vol-of-vol protection VVIX summarises.

Where it breaks down

It exists only where there is a liquid market in options on the volatility index. Without a deep VIX-option chain there is no strip to read, which is precisely why India has no official VVIX.
It is one more level removed from anything tradable. You cannot hold spot VVIX, and the instruments that would express a vol-of-vol view are thin even in the US and largely absent elsewhere.
It is easy to misread as a more extreme VIX. It measures the volatility of the VIX, not its level, and treating it as a stronger fear gauge inverts its actual meaning.
Like every index in this family it is model-free but not quote-free: it depends on the out-of-the-money VIX options having real two-sided quotes, and those can evaporate in exactly the stress it is meant to describe.
Its signal is relational, not absolute. A VVIX level means little on its own; it is informative only against the VIX and against its own history, so a single number is nearly uninterpretable in isolation.

Common mistakes

Reading VVIX as a higher or faster VIX. It is the volatility of the VIX — a different quantity that can rise while the VIX falls. Treating it as a stronger fear gauge inverts what it measures and leads to backwards conclusions.
Buying a VIX option without checking VVIX. The option's vega is priced off VVIX, so a high VVIX means you are paying up; a correct VIX view can still lose money if VVIX subsequently falls, which is the classic vol-of-vol ambush.
Assuming a high VVIX simply confirms a high VIX. VVIX reacts to VIX movement, not VIX level — a high, still VIX can coincide with a falling VVIX, and a low, jumpy-feeling VIX with a rising one.
Selling VIX options because VVIX looks high and mean-reverting. That is selling convexity on convexity; a simultaneous VIX and VVIX spike revalues the position violently, because both the underlying and its volatility move against you at once.
Expecting to find an Indian VVIX on a screen. There is no official Indian vol-of-vol index, because the VIX-option market here is too thin to support one — the concept applies, the index does not exist.
Ignoring the VIX call skew when judging vol-of-vol. The expensive upside wing of the VIX smile is the same information VVIX carries; dismissing it as an oddity means missing the market's price for a VIX spike.

Professional usage

Volatility-arbitrage and dispersion desks treat VVIX as a tradeable factor in its own right. They run books that are long or short vol-of-vol independently of their VIX exposure, hedging the first-order VIX risk and isolating the second-order VVIX risk, because the two do not always move together and the relationship between them is itself a source of edge and of danger. A desk pricing structured products with embedded volatility options — or any payoff convex in the VIX — must mark VVIX to value that convexity, and mis-marking it is a classic way for a book to carry hidden short-gamma-on-gamma. Risk managers watch VVIX as an early tell that the volatility surface is about to become unstable: a rising VVIX under a calm VIX has historically been one of the few forward signals that the market's own uncertainty is growing before the equity index shows it.

For desks running short-volatility strategies, VVIX is the alarm they most respect and most often ignore. A short-volatility book is implicitly short vol-of-vol, and it is at its largest precisely when the VIX is low — which is exactly when a rising VVIX is warning that the low VIX is fragile. The professional use of VVIX is less to make money directly and more to size and de-risk the short-volatility exposure that dominates the complex, because the moment both the VIX and VVIX spike is the moment those books are designed, however unintentionally, to fail.

Key takeaways

VVIX is the volatility of the volatility index — the expected size of moves in the VIX itself — built by the same model-free variance method the VIX uses, applied to options on the VIX.
It rises when the VIX MOVES, not when the VIX is high. A high, still VIX can coincide with a low VVIX, and a low, calm VIX with a high VVIX.
A VIX option's price runs off VVIX, so you can be right about the VIX and still lose money if VVIX falls — vol-of-vol is a separate exposure you carry whenever you hold a VIX option.
VVIX is mean-reverting, typically sits above 100, and explains the VIX call skew: a VIX spike is the feared event, so upside VIX calls are the expensive wing.
India has no official VVIX. The concept applies to India VIX, but the index does not exist here, because the Indian VIX-option market is too thin to support it.

VVIX is the point at which the volatility complex becomes genuinely recursive, and the point at which most people's intuition quietly breaks. The mistake is always the same: to treat it as a more intense VIX, when it is a measurement of something one level higher — how much the VIX itself is expected to move. Get that right and two things follow. You understand why a correct call on the VIX can still lose money, because your VIX option was priced off a vol-of-vol you were also, unknowingly, betting on. And you understand what a calm-but-nervous market actually looks like on a screen: a low VIX sitting under a high VVIX, the market paying up for the possibility that its own calm is about to end. India does not publish this number. That does not mean the risk it measures is not sitting in every short-volatility book in the country.

Frequently asked questions

What is VVIX in simple terms?

VVIX is the volatility of the VIX. Where the VIX tells you how much the market expects the S&P 500 to move, VVIX tells you how much the market expects the VIX itself to move over the next 30 days. It is computed from options on the VIX, exactly as the VIX is computed from options on the index.

How is VVIX different from the VIX?

The VIX measures the expected volatility of the equity index; VVIX measures the expected volatility of the VIX — one derivative higher. They are genuinely different quantities: VVIX can rise while the VIX falls, because it responds to how much the VIX moves, not to how high the VIX is.

Why does VVIX rise when the VIX moves rather than when it is high?

Because VVIX measures the expected size of moves in the VIX, which is about change, not level. A high VIX that grinds sideways can coincide with a falling VVIX, while a low VIX that the market thinks is about to jump can coincide with a rising VVIX. VVIX is the second derivative — vol of vol.

How is VVIX calculated?

By the same model-free variance replication the VIX uses, but applied to options on the VIX instead of options on the S&P 500. A strip of out-of-the-money VIX options is combined with 1/K² weights to price 30-day variance of the VIX, interpolated to a constant horizon and reported as an annualised volatility.

Why can a long VIX call lose money when the VIX rises?

Because a VIX option's vega is priced off VVIX. If the VIX rises but rises quietly, and VVIX falls as the market relaxes, the option can lose value even though the VIX moved your way. You were long vol-of-vol without realising it, and that second bet went against you.

What does a high VVIX mean?

It means the VIX-option market is pricing a lot of movement in the VIX — options on the VIX are expensive. Combined with a low VIX, a high VVIX describes a calm market that is nervous about staying calm: nothing is moving yet, but the market is paying heavily for the possibility that it will.

What is a normal level for VVIX?

VVIX typically sits above 100, because the VIX is a jumpy underlying that moves more, in percentage terms, than the equity index beneath it. Readings around 80 to 90 are calm for vol-of-vol, while readings well above 120 signal that the market expects the VIX itself to become unstable.

Why does the VIX have a call skew instead of a put skew?

Because on the VIX the feared event is a spike upward, not a crash downward. The VIX explodes higher when equities fall, so upside VIX calls are the protection everyone wants, making out-of-the-money calls the expensive wing. VVIX summarises how much that upside protection costs.

Is VVIX just a more extreme version of the VIX?

No, and reading it that way inverts its meaning. VVIX is the volatility of the VIX, not a stronger VIX. It can rise while the VIX falls and fall while the VIX is high, because it tracks the movement of the VIX rather than its level.

Can I trade VVIX directly?

No. Like the VIX, VVIX is a synthetic index with no tradable spot, and it is one further level removed from anything you can hold. You would express a vol-of-vol view through VIX options themselves, whose prices VVIX governs — and even those are thin, and largely absent outside the US.

Does India have a VVIX?

No. There is no official Indian vol-of-vol index, because the Indian market in options on India VIX is too thin to support the strip of prices a model-free VVIX would need. The concept applies to India VIX perfectly well, but the index simply does not exist here.

Does VVIX mean revert?

Yes, like every index in the volatility family. It clusters and reverts, pulled back toward its typical home above 100. But mean reversion tells you nothing about timing, and a rising VVIX can keep rising well past where it looks stretched before it turns.

How does VVIX affect the price of VIX options?

Directly and completely, because VVIX is the volatility of the VIX and a VIX option's price rises with the volatility of its underlying. A high VVIX makes VIX calls and puts expensive; a low VVIX makes them cheap. It is the single most important input to whether a VIX option is worth buying.

What is a calm-but-nervous market in VVIX terms?

It is a low VIX sitting under a high VVIX. The low VIX says equities are quiet; the high VVIX says the market is paying heavily for the possibility that the VIX — and therefore the quiet — is about to break. It is one of the few forward-looking pictures of pre-stress conditions.

Is VVIX a good predictor of a coming crisis?

It is one of the few forward signals that the volatility surface is becoming unstable — a rising VVIX under a calm VIX has historically preceded stress. But it is a biased and noisy signal, not a timer, and reading it as a countdown to a crash over-interprets what is really a price for uncertainty.

Why is vol-of-vol a separate risk I have to pay for?

Because the volatility of an option's underlying is a distinct input to its price, and when the underlying is itself a volatility index, that input is VVIX. Anyone holding a VIX option is long or short vol-of-vol whether they measure it or not — it is a real Greek, not an abstraction.

How do dispersion and volatility-arbitrage desks use VVIX?

They trade it as a factor in its own right, running books that are long or short vol-of-vol while hedging their first-order VIX exposure, because the two do not always move together. Mis-marking VVIX leaves a book with hidden short convexity-on-convexity, which is a classic way to blow up.

Why is selling VIX options when VVIX is high so dangerous?

Because it is selling convexity on convexity. A simultaneous spike in the VIX and VVIX revalues the position violently — both the underlying and its volatility move against you at once. A high VVIX is usually a sign the VIX is about to become unstable, not that vol-of-vol is overpriced.

Is VVIX model-free like the VIX?

Yes, it inverts no pricing model — it reads VIX-option prices directly and combines them into a variance price. But it is not quote-free: it depends on out-of-the-money VIX options having real two-sided quotes, which can vanish in exactly the stress VVIX is meant to describe.

Should I look at VVIX if I only trade Indian markets?

As a concept, yes — it explains why a correct volatility view can still lose money, and what a fragile calm looks like. As a number, no, because there is no Indian VVIX to look up. The framework travels; the index does not exist here.

What does it mean when VVIX stays high after a VIX spike fades?

It means the market remains uncertain about the VIX even as the VIX itself settles — the shock has passed but the expected instability of volatility has not. It is a sign that participants are still pricing the risk of another move, and that VIX options remain expensive despite the calmer headline VIX.

Voice search & related questions

Natural-language questions people ask about vvix.

What is VVIX?

VVIX is the volatility of the VIX — a number that says how much the market expects the VIX itself to move over the next month. If the VIX measures expected wobble in the stock index, VVIX measures expected wobble in that expectation. It is the vol-of-vol.

Why should I care about the volatility of volatility?

Because if you ever own an option on the VIX, its price depends on VVIX. You can predict the VIX correctly, watch it rise, and still lose money if VVIX falls — the vol-of-vol was a second bet you made without knowing it. Being right about the VIX is not enough.

Can VVIX go up while the VIX goes down?

Yes, and that is exactly what makes it useful. VVIX tracks how much the VIX moves, not how high it is. A quiet, falling VIX can sit under a rising VVIX when the market is calm on the surface but paying up for the fear that the calm is about to break.

Why are VIX options never cheap?

Because the VIX is a jumpy underlying, so the volatility of the VIX — VVIX — is high, and a VIX option's price rises with that volatility. The market knows the VIX can explode upward in a crash, so the upside calls in particular carry a heavy premium. VVIX is the number that measures that expense.

Does India have anything like VVIX?

No official index, no. The idea applies — India VIX has its own volatility — but there is no liquid market in options on India VIX to build a model-free vol-of-vol from, so no Indian VVIX exists. Anyone showing you one did not compute it the way the CBOE does.

What does a high VVIX with a low VIX tell me?

That the market is calm but nervous about being calm. Equities are quiet, so the VIX is low, but the VIX-option market is pricing a lot of movement in the VIX, so VVIX is high. It is one of the clearest pictures of a market bracing for something it cannot yet see.

Sources & references

Last reviewed 10 July 2026. Educational content only — not investment advice.