The CBOE VIX of VIX Index, which measures the expected volatility of the VIX index itself by calculating implied volatility from VIX options prices. VVIX essentially measures the volatility of volatility and is used by advanced traders to assess uncertainty about future fear levels. High VVIX readings indicate that options market participants expect large swings in the VIX, which often precedes periods of significant market turbulence or major directional moves.
Example
“VVIX surged above 130 ahead of the FOMC decision, indicating that traders expected extreme moves in the VIX regardless of whether the Fed outcome was hawkish or dovish.”