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Big Move For The 'Vol Of Vol'

Published 10/19/2014, 01:34 AM
Updated 07/09/2023, 06:31 AM

Staying with the volatility theme, the latest jump in the VIX was clearly dwarfed by what we saw in 2008 or even in 2011. However what's not true for the volatility of VIX - the so-called "vol of vol". The CBOE's VVIX Index, "an indicator of the expected volatility of the 30-day forward price of the VIX" (see description), has been comparable to or higher than what we saw during those high stress periods.

The possibility of VIX doubling or even tripling ("tail" risk) does not seem outside of the realm of possibilities these days - even from the current elevated levels. And traders are willing to pay a relatively high premium to be able to take advantage of such moves.

S&P VIX vs VIX Volatility

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