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 my recent post on the “Volatility of Volatility” addressed the realized volatility of VIX, VVIX represents the expected volatility of the 30-day forward price of VIX. This forward price is the price of a hypothetical VIX® futures contract that expires in 30 days.
As calculated by CBOE, the VVIX ranges between 60 and 145 with an average of around 86, while the VIX Spot values range from 10 to 81 with an average of 24. Refer to the chart below.
This points to the relevance of looking at the volatility of volatility and CBOE’S new index provides users with another way to easily access this information. For additional information, please visit www.cboe.com.