If the VIX is the market's fear gauge, the VVIX is the gauge of how jumpy that fear gauge is. The VIX measures the expected 30-day volatility of the S&P 500. The VVIX measures the expected 30-day volatility of the VIX — the volatility of volatility. The two indices answer different questions, and reading them together gives a richer picture of market stress than either alone.
Cboe introduced the VVIX Index in 2012. It is built the same way the VIX is, only the inputs change: instead of S&P 500 options, the VVIX uses the prices of VIX options. Because VIX itself can spike violently, the options on it carry their own implied volatility — and the VVIX summarizes it.
Same method, different underlying
The VIX applies a model-free variance calculation to a wide strip of out-of-the-money S&P 500 options, producing a single 30-day, annualized expectation of equity volatility (see how the VIX is calculated). The VVIX runs that identical variance machinery on out-of-the-money VIX options instead, producing a 30-day expectation of how much the VIX is likely to move.
This is the same conceptual leap as implied versus historical volatility, applied one level up. The VVIX is to the VIX what the VIX is to the S&P 500: a forward-looking, option-derived measure of expected movement in the thing below it. The VVIX sits alongside the VIX's other relatives, covered in our VIX-related indicators guide.
Side-by-side comparison
| Attribute | VIX | VVIX |
|---|---|---|
| What it measures | Expected 30-day volatility of the S&P 500 | Expected 30-day volatility of the VIX |
| Source options | S&P 500 (SPX) index options | VIX options |
| Methodology | Model-free variance over an option strip | Same variance method, applied to VIX options |
| Introduced by Cboe | Original methodology updated in 2003 | 2012 |
| Typical range | Roughly 12–35 in normal regimes | Roughly 75–145, averaging in the mid-80s to mid-90s |
| Stress reading | Above ~30–40 | Above ~140–150 (rare) |
| What it signals | Demand for equity protection / market fear | Demand for VIX options / tail-hedging intensity |
Ranges are descriptive of historical behaviour, not fixed limits. Both indices can move outside these bands during extreme events.
Reading the VVIX's range
The VVIX has historically spent most of its time in roughly the 75 to 145 region, with a long-run average broadly in the mid-80s to mid-90s. Context for the extremes:
- Below ~80: historically low — can indicate complacency in the VIX options market.
- ~100–130: elevated — increased appetite for VIX options and protection.
- Above ~140–150: rare, and associated with acute stress. Crises have driven it far higher; during the March 2020 COVID shock the VVIX pushed well above 200.
Notably, the VVIX has a high floor compared with the VIX. Because the VIX is itself a volatile, mean-reverting series prone to sudden jumps, options on it always carry meaningful implied volatility — so the VVIX rarely drops to "calm" single- or low-double-digit levels the way the VIX can.
What a high VVIX with a low VIX signals
The most useful divergence to watch is a rising VVIX while the VIX stays low. The VIX says the market is calm now; the VVIX says traders are nonetheless paying up for options that pay off if the VIX jumps. That combination typically reflects elevated tail-hedging demand — participants buying insurance on a spike that has not yet arrived.
Interpreting the pair
- Low VIX, low VVIX: broad calm; little demand for protection on either level.
- Low VIX, high VVIX: surface calm but rising anxiety — demand for upside VIX hedges; a possible early warning.
- High VIX, high VVIX: active stress; the market is moving and uncertainty about the VIX path is large.
- High VIX, falling VVIX: a spike that the options market expects to subside — potential stabilization.
For more on how spikes propagate through these gauges, see how to read the VIX and the deeper treatment in our blog post on the VVIX and the volatility of volatility.
Why the VVIX exists in the first place
Once the VIX became tradable through futures and options, the market needed a way to gauge the volatility of that instrument. The VIX is unusually unstable: it spends long stretches drifting in the teens, then leaps to 40, 60, or higher in a panic before mean-reverting back down. Movements of that magnitude make options on the VIX expensive and their pricing sensitive to expectations about future jumps. Cboe created the VVIX in 2012 to put a standardized, model-free number on exactly that — the implied volatility of the VIX option market.
Two structural features follow directly from the VIX's nature:
- A high baseline. Because the VIX is always capable of a sudden jump, VIX options never get truly cheap, so the VVIX rarely visits low levels. Its "calm" readings of 80–90 are still high in absolute terms compared with the VIX's calm readings in the low teens.
- An upward skew in VIX options. Demand concentrates in VIX calls, which act as crash insurance. That one-sided demand keeps the VVIX elevated and makes it especially responsive to tail-hedging flows. The same skew concept on equity options is covered in volatility skew.
How traders use the VVIX
The VVIX is most directly relevant to anyone pricing or trading VIX options. Just as equity option prices depend on the VIX, VIX option prices depend on the VVIX: a higher VVIX means richer VIX option premiums, and a lower VVIX means cheaper ones. Traders use it to judge whether VIX calls bought as tail hedges are expensive or cheap relative to history, and to time the sale or purchase of volatility-of-volatility exposure.
It is also a sentiment and positioning tool. A persistent climb in the VVIX during an otherwise quiet tape can flag that sophisticated participants are accumulating crash protection — information the headline VIX alone would miss. As always, no single indicator is a trading signal in isolation. This is educational information, not investment advice.
Frequently asked questions
What is the VVIX?
The VVIX, or Cboe VVIX Index, is the volatility of volatility. It measures the expected 30-day volatility of the VIX itself. Cboe introduced it in 2012 and computes it from the prices of VIX options using the same variance methodology the VIX uses on S&P 500 options. Where the VIX prices uncertainty about the S&P 500, the VVIX prices uncertainty about the VIX.
What is the difference between VIX and VVIX?
The VIX measures the expected 30-day volatility of the S&P 500 and is calculated from S&P 500 index options. The VVIX measures the expected 30-day volatility of the VIX and is calculated from VIX options. In short, the VIX is the volatility of the market, while the VVIX is the volatility of that volatility measure.
What is a normal range for the VVIX?
The VVIX has historically spent most of its time in roughly the 75 to 145 zone, with a long-run average broadly in the mid-80s to mid-90s. Readings above about 140 to 150 are uncommon and tend to appear during acute market stress; extreme crises such as March 2020 have pushed it even higher.
What does a high VVIX with a low VIX mean?
A high VVIX while the VIX is still low suggests that, even though the market is calm today, traders are paying up for VIX options that pay off if volatility spikes. It often reflects elevated demand for tail-risk hedges and can be an early warning that participants are positioning for a possible jump in volatility before the VIX itself moves.