VVIX (CBOE VIX Volatility Index)

This page provides basic information and resources for VVIX, the “VIX of VIX”: explanation, calculation, difference between VVIX and VIX, and how to get VVIX historical and intraday data.

What Is VVIX?

VVIX is a volatility index calculated and published by CBOE. It is often nicknamed “the VIX of VIX”, which it is. It measures implied volatility of VIX options, applying the VIX methodology to the VIX index itself.

It is very hard (probably impossible) to understand the VVIX index without a good understanding of volatility, the VIX index, and VIX derivatives. If you are a complete beginner, see: What Is VIX?

VVIX vs. VIX Difference

Both indices measure implied volatility of options with 30 days to expiration. There is no difference in calculation.

The only difference between VVIX and VIX is in the underlying of the options used for the calculation. While the VIX index is calculated using prices of S&P500 options, the VVIX index is calculated using VIX options. VVIX is the VIX of VIX.

VVIX Calculation

The VVIX index is calculated using exactly the same logic as the VIX index.

Here you can find detailed step-by-step explanation of VIX calculation. The same applies to VVIX calculation (only the underlying for the options is different).

VVIX Historical Data

An Excel spreadsheet with daily historical data of VVIX index is available on the official website of CBOE. The data goes back to 3 January 2007. Only daily closing values are available (no open, high, low). The spreadsheet is updated every day. You can download it directly using this link:

VVIX Real-Time and Intraday Data

You can get real-time data in most trading platforms of major brokers. The data subscription will probably be in the same package as the VIX and other CBOE volatility indices.

Delayed intraday data and chart for the VVIX index are available on CBOE website. At the time I am writing this VVIX is not listed among the quotes on the CBOE homepage, but you can get it on the (enter “VVIX” in the search field marked “Get Quote – Enter Symbol”).

You can also get it on this page on Yahoo Finance:

Official CBOE Resources for VVIX

Main page of the VVIX index on CBOE website (follow the links on that page for VVIX White Paper, FAQ, and historical data):

The press release announcing the introduction of VVIX (14 March 2012):


Related pages


options volatility calculatorcollar option payoffs&p futures symboleuro stoxx 50 historical datashort strangle option strategyvix futures expiration calendardaily volatility calculation formulaoption black scholes calculatorcftc cotcboe holidaysharmonic mean calculatormedian calculation excelshort vixprotective put payofftrading macd histogramcontango futuresunbiased estimate of population varianceatm straddleindexation calculatorarithmetic progression calculatorform 13f hrbond volatility formulawhat is squared deviationfx implied volatilitystand deviation calculatorcost of ending inventory formulaformula for coefficient of variation in exceladaptive moving average formulanotepad color codesdelta hedgecalculate sharp ratiohow to calculate percent deviationvariance formula for excelmerits and demerits of mean median modesec hedge fund filingsformula for skewyahoo finance currency historical datan d1 calculatorrealised volatilityhow to trade vixdefine sharpe ratiofinding the median in excelsharpe ratio definitionsoros fund management portfoliomodel black scholesvxx optionsstandard deviation formula calculatorcalculate population mean from sample meanyahoo finance currency historical datasample variance excel formulaoptions on vix futurescapitalization weightedstandard deviation calculator for stocksoex option chainbears and bulls meaningtrading thetawhat is a formula in excel definitionmerits and demerits of mean median modegreeks optionexcel volatilityfxf trackingkurtosis calculationvixy prosharesproshare short s&p 500different hedge fund strategiesleptokurtic graphinterpret kurtosishow to buy vixoption deltasstandard deviation calculator in excelcorrelation etfkurtosis coefficientcalculate median in exceldaily volatility calculation formula