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.
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.
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 Quotes & Data page (enter “VVIX” in the search field marked “Get Quote – Enter Symbol”).
You can also get it on this page on Yahoo Finance: http://finance.yahoo.com/q?s=^VVIX
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):