Volatility of Volatility

You thought volatility was fun? Well how about volatility of volatility (VVIX). A few months ago the CBOE started reported the expected volatility of the 30-day forward price of the VIX. We don’t have a lot of data on  VVIX but based on the data we do have, when it gets below the 88 level, we’ve seen possible bottoms put in for the VIX. We are there today, with the VVIX at 86.27 at the time of this writing.

Below is a chart of the VVIX as well as the VIX, you can see when it gets below 88 what the resulting action in the VIX has been…

VVIX:

VIX:

 
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About Andrew Thrasher

Andrew Thrasher is a Portfolio Manager for an asset management firm in Central Indiana. He specializes and writes about technical analysis as well as macro economic developments.

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