Volatility of Volatility (Vol-of-Vol)
How much implied volatility itself fluctuates
What is Volatility of Volatility (Vol-of-Vol)?
Volatility of Volatility (Vol-of-Vol) A measure of how much implied volatility itself fluctuates, representing the second-order uncertainty in the market. The CBOE VVIX index measures the volatility of VIX options. High vol-of-vol indicates uncertainty about future volatility levels, increasing the value of options on volatility products and affecting vomma-heavy positions.
Complete Definition
A measure of how much implied volatility itself fluctuates, representing the second-order uncertainty in the market. The CBOE VVIX index measures the volatility of VIX options. High vol-of-vol indicates uncertainty about future volatility levels, increasing the value of options on volatility products and affecting vomma-heavy positions.
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