Daily Options Report

I realized we can in fact chart "Volatility of Volatility". Here's the 20 Day HV for the VIX over the last 6 month's. And it has indeed more than doubled over the past few weeks from 60 to 130ish.

It's a little trickier to measure implied volatility of VIX options (not to mention confusing as it gets). VIX options price off their corresponding future, but I can't find a system that picks them up the stats correctly. They all base their VIX volatility calculation off the "spot" VIX. When spot and future line up, then it's about correct, but that's not a common event.

But for our purposes, does the surge in volatility of volatility mean much? You'd think it's the same principal as the VIX itself. A big ramp should indicate excessive Fear and nervousness, and is ergo bullish. But like the VIX itself, that works very well until it doesn't. So let's just say VIX volatility confirms fear we already know was in the system.