We first looked at the VVIXSM Index in "Behold! Fear Squared! CBOE Launches VIX of VIX Index! (VVIX)" wherein we saw the bizarrely titled CBOE White Paper: "DOUBLE THE FUN WITH CBOE's VVIXSM Index" I read the paper and made inquiries of some pretty sharp people and have not figured out how to use the VVIXSM .
I do know that I'm going to get very cranky if the CBOE wants me to use the Service Mark supercript each time I type the symbol.
I also know that today the VIX is up 5.19% while the VVIX trails at up 3.65% which tells me I'm missing something in my analysis of the mood of the mood of the market.
No word yet on when the exchange plans to trade derivatives on this derivative of derivatives.