If yesterday was an understatement of VIX, today we saw a massive overstatement in VVIX (the VIX of VIX options). VVIX absolutely exploded. On a day where the VIX was up more than 2 points, the VVIX was up almsot 9 and got as high as up over 14!.
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In mid November the market had a minscule sell off. However, the VIX had a huge rally moving from in the 15s all the way to over 20.50. On a sell off similar to today, VIX moved from 16 to well over 18.5%. This time, with a nice 23 point sell off, the VIX was only up 1.35% and could not hold above 16% today. Notice the differences in how hard vol moved on somewhat similar moves.