Thank you! Great question — VVIX is the “vol of vol,” how much the market expects its own fear estimate to change. The VIX/VIX1D spread tells you where fear is concentrated across time. VVIX tells you how unstable that fear reading is. When both are elevated simultaneously — forward fear plus uncertainty about magnitude — that’s historically the most dangerous setup.
Great article as always ! And how do you think the VVIX places itself compared to the two ?
Thank you! Great question — VVIX is the “vol of vol,” how much the market expects its own fear estimate to change. The VIX/VIX1D spread tells you where fear is concentrated across time. VVIX tells you how unstable that fear reading is. When both are elevated simultaneously — forward fear plus uncertainty about magnitude — that’s historically the most dangerous setup.