Is Volatility of Volatility Unusually High?

After reading news reports the past few weeks about the Eurozone crisis, one might get the impression that the volatility of volatility is unusually high. 

 A key measure of volatility of volatility is the CBOE VIX of VIX Index (ticker VVIX, ) which is designed to measure the expected future volatility of the CBOE Volatility Index® (VIX®)

 Last Friday the month-end closing values were 89.59 for the VVIX Index and 17.08 for the VIX Index – both of these closing values are below the average values for each index over the past year (see the chart and below). 

 The VVIX Index can serve as a valuable gauge for investors who use the popular VIX options.


 On Thursday, June 28, the VIX options put/call ratio was 0.15 (with volume of 35,879 puts and 241,628 calls).  The June 28 put/call ratio was the lowest since January 13, 2012. A spreadsheet with daily volumes and put-call ratios is available at the VIX microsite at


VVIX and VIX VOLATILITY INDEXES – ONE-YEAR CHART  (June 30, 2011 – June 29, 2012)

The average daily closing values over the past year were 99 for the VVIX Index and 24.7 for the VIX Index. .

Volatility of Vlatility

Measures of the implied volatility of VIX and SPX options







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

Post a Comment

Thank you for submitting a comment. We ask you to use the comment guidelines to promote thoughtful and productive discussions. Your comment will be approved before it will be posted. Thank you for your patience.

Required fields are marked *


You may use these HTML tags and attributes: <a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <s> <strike> <strong>

  • Categories

  • Recent Comments

  • Tags

  • Subscribe to
    VIX Views
  • Contributors


  • Quick Links

  • Blogroll

  • Follow Us

  • Archives