New VVIX Index Measures the Volatility of Volatility

Bonita Springs, Fla., March 14, 2012 – Today CBOE introduced the new “VIX of VIX® Index (ticker: VVIX(SM)).

The new VIX of VIX Index tracks the expected volatility of the CBOE Volatility Index® (the VIX® Index), the world’s most widely-followed market volatility index.

VVIX reflects the market’s consensus of expected volatility of the 30-day forward price of the VIX Index.  The VVIX Index offers investors a way to gauge the risk premium in VIX Index option prices, much like the CBOE’s VIX Index reflects the risk premium in S&P 500® Index options (SPX) prices.

The VVIX White Paper at made the following points:

  • The range of values of the VVIX is at a significantly higher level than that of the VIX.    The VVIX has ranged between 60 and 146, with an average of 86. The VIX ranges between 10 and 81 around an average of 24. The range of variation of the VVIX tends to widen at higher values of the VIX.
  • Except at high values of VIX, there is little correlation between variations of the VIX® and VVIX. The VVIX and VIX® both reached local peaks in October 2008, during the credit crisis of 2008 and in May 2010, the “flash crash” month. In general however, the relationship between their variations is weaker than the relationship between the VIX and the S&P 500.
  • Since the flash crash of May 2010, the VVIX has rarely dropped below 80.  This suggests that a new volatility regime came about after the flash crash. Market participants appear to have become more tentative about the future value of the VIX®.
  • The VVIX tends to revert to its historical mean.


Note that in 2011 the historic volatility was 139.9% for the VIX (spot) index, and 97.0% for the VIX near-term futures.  VIX options investors often look at the VIX futures prices (not VIX spot) to gain a better idea of the fair value of VIX options.  Please visit the FAQs at the VIX microsite at for more information.


Using the end-of week values of from Bloomberg for the 22-year period from Feb. 9, 1990 through Feb. 3, 2012, here are some key statistical measures for the 30-trading-day-historic volatility of spot VIX —

Maximum       245.0

Minimum       34.4

Average         93.1

Median           86.2


VVIX is calculated using the same methodology as the VIX Index.  VVIX is derived from the price of a portfolio of out-of-the-money VIX option puts and calls.

The average daily volume for VIX options rose from 93,181 in 2007 to 388,845 in 2011.

For more information on the new VVIX Index, please visit

The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

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