An abbreviation for volatility of volatility, which is a statistical concept implying that volatility of of a series of random variables (such as prices) is not constant, but rather varies over time. Every trader’s estimate of volatility has, per se, volatility which gives rise to the “gamma of gamma“. Statistically, this volatility is represented by the fourth moment of an option distribution. This is caused even when an underlying has a low volatility but its volatility has a very high volatility of volatility.