VIX Closed at 18.21 and VVIX at 98.51: How to Read Volatility of Volatility

VIX Closed at 18.21 and VVIX at 98.51: How to Read Volatility of Volatility

Two Cboe volatility indices fell by almost the same percentage on Tuesday, 28 July 2026. VIX closed at 18.21, down 0.46 point or 2.46%. VVIX closed at 98.51, down 2.40 points or 2.38%.

The similarity ended with the session change. VIX is derived from SPX option prices and estimates 30-day expected volatility in the S&P 500. VVIX is derived from VIX option prices and estimates 30-day expected volatility in VIX forward prices.

The distinction is the central market fact. A VIX reading describes the expected variability of equity returns. A VVIX reading describes the expected variability of the volatility measure itself. Neither index predicts direction, and their numerical levels cannot be ranked on one scale.

One market, two layers

Cboe applies the VIX calculation framework at two different layers of the options market.

Both values are annualised, non-directional volatility measures. The underlying exposure changes from the S&P 500 to VIX forwards.

That second layer matters because expected volatility can move much faster than the stock index it describes. A quiet equity session can still produce a large repricing in VIX options if traders see more uncertainty about the future path of volatility. A sharp equity move can also lift VIX while VIX option prices imply a different degree of uncertainty about what happens next.

VVIX at 98.51 is an annualised percentage input. It supplies no 98.51-point VIX target or 98.51% probability. Contract prices, probabilities and expected direction require their own evidence.

A forecast and a changing forecast

Imagine a weather service that publishes a range for next month's temperature. The width of that range resembles VIX: wider means more expected variation in the underlying weather.

Now imagine that the forecasters keep changing the width of the range as new information arrives. The expected size of those changes resembles VVIX. It describes uncertainty around the volatility forecast; it supplies no second temperature forecast.

The analogy has limits. VIX and VVIX come from option prices under risk-neutral valuation. The weather example only illustrates the hierarchy: stock-index uncertainty sits at the first layer, while uncertainty about volatility sits at the second.

Model output: translating the annualised numbers

Annualised volatility becomes easier to compare after it is scaled to a common horizon. Under a constant-volatility, square-root-of-time model using 365 calendar days:

Horizon scale = annualised volatility x square root of days divided by 365

The observed closes produce the following model outputs:

The two rows apply to different underlyings. The 5.22% figure is a rough 30-day S&P 500 return scale. The 28.24% figure is a rough 30-day return scale for the relevant VIX forward.

Consider a hypothetical VIX forward price of 19.00. Applying the 28.24% scale gives an approximate 5.37-point standard-deviation scale over 30 calendar days:

19.00 x 0.9851 x sqrt(30 / 365) = 5.37

The assumed forward is 19.00; no 28 July market quote supplies that input. Cboe did not publish the 5.37-point figure. The calculation illustrates units and scale; it does not forecast where spot VIX or a VIX future will settle.

Real VIX option pricing includes strike skew, jumps, interest rates, quote filtering and two expirations that bracket the 30-day target. Volatility also changes through time, so constant scaling can fail when the market reprices suddenly.

Similar declines can conceal different exposures

VIX and VVIX both fell by about 2.4% on 28 July. The matching percentages record two simultaneous daily changes and supply no combined signal.

Observed fact: option prices reduced both the 30-day SPX volatility index and the 30-day VIX-forward volatility index during the session.

Model output: the square-root calculation translates the two annualised closes into different underlying scales.

Interpretation: expected equity variability and uncertainty about future volatility both eased on the day. The closes alone cannot identify a cause, predict the next move or show whether VIX options were cheap or expensive.

The calendar makes that boundary useful. The Federal Open Market Committee's two-day meeting had begun by the Tuesday close. Its statement is scheduled for 2:00 p.m. Eastern time on Wednesday, 29 July, followed by a press conference at 2:30 p.m.

The scheduled event can explain why a researcher would inspect both layers. It cannot prove how much of either close came from the Fed. VIX spans a 30-day SPX horizon, while VVIX uses VIX option strips around its own 30-day target. Both also incorporate other risks, market positioning and pricing inputs.

From index observation to contract risk

The spot VIX Index cannot be purchased or sold. VIX futures have expiration-specific prices, and VIX options have their own strikes, expirations, spreads and settlement rules. A VVIX observation therefore becomes executable only after the researcher identifies the actual contract and its underlying forward exposure.

This is where a correct index reading can still produce a poor contract decision. VIX option values respond to the relevant VIX forward, time, implied volatility and strike. The spot VIX can move while a farther-dated future changes by less. A wide spread can overwhelm a small modelled advantage, and settlement behavior can differ from an ordinary equity option.

OMP's implied-volatility lesson explains why an annualised volatility level describes magnitude rather than direction. The options-Greeks guide connects vega with delta, gamma and theta. The liquidity guide keeps the live bid, ask, spread and size beside any model output.

A four-check volatility-of-volatility review

1. Name the underlying. Record whether the index is derived from SPX options, VIX options or another option class.
2. Match the horizon. Confirm the constant-maturity target and the expirations used to build it.
3. Keep the units separate. Scale annualised percentages to time, then apply them only to the underlying named by the methodology.
4. Inspect the contract. Check the relevant future, option expiration, strike, spread, liquidity, Greeks and settlement terms before drawing an execution conclusion.

The first check prevents the most common category error. VIX and VVIX can move together, move apart or change by similar percentages because they describe different layers of the same derivatives market.

Sources, limitations and risk

The 28 July closes and changes came from Cboe's official delayed quote records for VIX and VVIX. Cboe's VIX market page also displayed VIX at 18.21 for 28 July.

Cboe's current selected-index methodology identifies VVIX as a 30-day measure built from standard monthly VIX options. Cboe's VVIX methodology paper explains the use of VIX option mid-quotes, bracketing expirations and VIX forward prices. The VIX options specifications provide the contract and settlement framework.

The Federal Reserve event time came from its July 2026 calendar. The schedule should be rechecked if publication moves beyond 29 July.

The worked example assumes constant volatility, a 365-day year, square-root-of-time scaling and a hypothetical VIX forward of 19.00. It omits the option surface, jumps, rates, transaction costs, taxes and contract-specific settlement effects. Volatility products can change abruptly, option liquidity can deteriorate and losses can exceed premium received.

Options Matrix Pro publishes this article and has a commercial interest in its research platform. The internal links are first-party educational pages. This material is general education, not personal financial advice or a recommendation to buy, sell or hold any security, future or option. Options and volatility products involve substantial risk and are not suitable for every investor.

The decision rule

Name the underlying before comparing volatility indices. Use VIX to frame expected S&P 500 variability and VVIX to frame expected variability in VIX forwards. Translate each annualised level to the required horizon, then require contract-level prices and settlement terms before reaching an execution conclusion.