An indicator measuring the volatility of VIX itself, meaning how jumpy the "fear gauge" is. When it rises, the market is unsure even of how afraid it is.
What it measures
Volatility of volatility (VVIX) measures the implied volatility of the fear gauge itself: how much the market expects the volatility index to move. It is the derivative of the derivative, pricing options on the fear gauge the way the fear gauge prices options on the market.
Why it deserves a look
Because it exposes the fragility of calm. A low fear gauge with a high VVIX means the market is quiet but dealers are paying generously to insure themselves against a jump in fear itself. Tension is compressed under a still surface. When both fall together, the calm is genuinely deep.
Reading it with its sibling
The relationship matters, not the level. VVIX sometimes jumps before the fear gauge, because buyers of insurance on insurance move first. When the two diverge (fear falling while VVIX refuses to come down), that is a sign of institutional doubt that does not show up in prices.
Hypothetical example
The fear gauge sits at its seasonal lows and the market at its highs, yet VVIX climbs for two weeks in a row: someone is buying calls on fear in size, betting on a volatility blowup ahead. Not a sell signal by itself, but an orange light on the risk panel.
Common mistake
Trading it as an absolute level: its numbers mean nothing in isolation. Its meaning lies in its changes and in how it diverges from the fear gauge, not in a magic fixed threshold.
Reading it with its sibling
The relationship matters, not the level. It can jump before the fear gauge, because buyers of insurance on insurance move first. When the two diverge (fear falling while it refuses to come down), that is a sign of institutional doubt that does not show up in prices.
Where to see it on the platform
The market regime panel includes it in reading underlying tension, with term structure and volatility skew in one view.
The market regime panel includes it in reading underlying tension, alongside term structure and skew.
