The VVIX Radar isolates historical instances where VIX and VVIX exhibited similar conditions, then projects the forward probability of VIX spikes or collapses. Those projections run across 5-, 10-, and 20-session trading windows.
While the Cboe Volatility Index (VIX) quantifies implied 30-day volatility for the S&P 500, the VVIX measures the implied volatility of the VIX itself ("vol-of-vol").
Each level prices the uncertainty of the level above it. VIX prices the expected movement of the index, and VVIX prices how uncertain the market is about where VIX itself goes next.
Rolling Percentile Ranking & Dual-Variable Matching
Raw VVIX figures drift across market regimes over multi-year cycles. To establish statistical equivalence, the analyzer converts absolute VVIX readings into rolling 12-month percentile ranks and enforces dual-variable filtering.
1. Rolling 12-Month VVIX Percentile
Every historical VVIX observation is ranked strictly against the preceding 252 trading sessions (1 trading year), eliminating forward-looking bias (look-ahead bias):
VVIX Percentile = ( Count of Prior 252 Closes ≤ Current VVIX / 252 ) × 100
The rank is taken inside a window that rolls forward with each session, so a historical day carries the percentile it would have had at the time rather than one computed with hindsight.
2. Dual-Variable Filtering Protocol
To isolate the predictive value of volatility-of-volatility, candidate historical matches must satisfy two conditions simultaneously:
Both conditions have to hold on the same session for it to enter the sample. Either one on its own would describe a different setup.
Why Hold VIX Constant?
Because VIX and VVIX are positively correlated, filtering solely on high VVIX would inadvertently select high VIX regimes. Isolating VIX level ensures the output isolates the incremental signal provided by VVIX.
Chapter 3
Cumulative Intraday Spike Probabilities
The Spike Probability Engine evaluates how frequently VIX touched absolute point thresholds (measured from the entry session close) across three forward time frames: 5, 10, and 20 trading days.
1. How Spike Rules Work (Intraday Touches)
A path counts as a "hit" the moment price reaches the target level at any point during the session, so you do not have to wait for the close.
Upward Moves: Triggered if the session's high touches or crosses the upper target.
Downward Moves: Triggered if the session's low touches or crosses the lower target.
This path hits the target early in the window and then closes lower than it started. The hit is what gets recorded, so the session still counts toward that level.
Key Rule
Once price hits the target, it counts as a hit across all active timeframes (5, 10, or 20 days), even if VIX drops back down before the market closes.
The Setup Log details every individual historical session that satisfied the dual-variable match criteria, providing an audit trail for the probability calculations.
The Columns
Column Header
Definition
Analytical Value
Date
Historical trading session timestamp.
Tracks distribution across market regimes.
VIX
Closing VIX on the match date.
Confirms VIX level equivalence to current spot.
VVIX
Closing VVIX on the match date.
Displays raw vol-of-vol level.
VVIX Percentile
12-month percentile rank on that date.
Confirms percentile match to active setup.
Highest VIX Move (5 / 10 / 20 Days)
Max intraday point expansion above entry across 5/10/20 sessions.
Supplies raw intraday metrics feeding probability calculations.
Interpretation Rules
"Never Went Higher": Recorded when VIX fails to trade above its entry closing price at any point during the designated window.
Pending Status: Identifies recent historical matches whose 5-, 10-, or 20-session forward windows have not yet fully elapsed.
Skew Evaluation: Comparing average peak moves against median peak moves identifies whether sample outcomes are driven by isolated extreme tail events or broad systemic moves.