VVIX — the vol of vol
VVIX is the implied volatility of VIX options: how much the market expects VIX itself to jump.
Elevated VVIX: the options market is paying up for a VIX spike (jump risk priced in)
Low VVIX: complacency, little jump premium
It shows the historical forward VIX-spike probabilities on days when VVIX was this elevated (by percentile) at a similar VIX level.