CBOE VVIX Index

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The Chicago Board Options Exchange VVIX Index (VVIX) is an indicator of the expected volatility of the 30-day forward price of the VIX. This volatility drives nearby VIX option prices. VVIX is therefore a measure of the volatility of volatility. It can be thought of more plainly as a measure not necessarily of where the VIX volatility gauge will move (up or down) but rather how quickly it will move in either direction. A higher VVIX means the VIX itself has become more unpredictable.[1]

CBOE also calculates a term structure of VVIX for different VIX expirations. The VVIX or any point on its term structure is calculated from a portfolio of VIX options (VVIX portfolio) using the same algorithm used to calculate the VIX. Approximate fair values of VIX futures prices and their standard deviations are derived from the VVIX term structure. Selling a VVIX portfolio on a consistent basis can capture a volatility risk premium, according to the CBOE. [2]

References

  1. Vol uncertainty reigns as illiquidity takes hold. Reuters.
  2. CBOE VIX of VIX. CBOE.