The volatility of volatility. A measure of volatility which supposes that volatility is a random market risk variable, rather than a known and constant factor as the Black-Scholes model assumes.

It is a barometer that measures fluctuation in spot VIX values (known as VVIX). As empirical evidence demonstrates, the volatility of the VIX index was historically higher than that of the S&P 500 index (SPX), the NASDAQ-100 index (NDX), and the Russell 2000 index (RUI). That was the case also with several stocks, including Google, Apple and IBM.

The VVIX captures the expected volatility of the 30-day forward price of the Volatility Index (the VIX). This expected volatility drives the prices of VIX nearby options.

It is also known as Vvol.