Just as an update on my February 24th post on the Volatility of Volatility, the CBOE has announced the launch of an index that tracks the volatility of VIX itself, the VVIX. The VVIX is calculated using the the same methodology as the VIX index, using VIX Options to calculate the volatility of VIX. While [...]


Article from IndexUniverse: Volatility Indices Redux
Interesting article on VIX from IndexUniverse: Volatility Indices Redux