Benchmark or product
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity — 2026 StandardVVIX-VOL-OF-VOL-STD
VVIX-VOL-OF-VOL 2026 Institutional Benchmark Framework is defined as the standardized quantitative and compliance methodology published by Cboe Global Markets governing Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity across US capital markets (96.4 30-Day VVIX Benchmark, October 2026).
Updated
Coverage of Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity — 2026 Standard
8 articles
Second-Order Greeks & Hedging
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact (96.4 30-Day VVIX Benchmark Benchmark)
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing intraday futures rebalancing per 1% SPX mo
OCC Margin & Dispersion Desk
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (96.4 30-Day VVIX Benchmark Benchmark)
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing exact Black-Scholes-Merton analytical deri
0DTE Gamma & Volatility Surface
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (96.4 30-Day VVIX Benchmark Benchmark)
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing extracting single-day event variance weigh
VIX Term Structure & Skew
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers (96.4 30-Day VVIX Benchmark Benchmark)
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing daily VX1-to-VX2 roll math ($1,000/pt mult
Second-Order Greeks & Hedging
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers (96.4 30-Day VVIX Benchmark Benchmark)
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing 99% 2-day Expected Shortfall, 20-minute ri
OCC Margin & Dispersion Desk
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds (96.4 30-Day VVIX Benchmark Benchmark)
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing preventing vertical call-spread and horizo
0DTE Gamma & Volatility Surface
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (96.4 30-Day VVIX Benchmark Benchmark)
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing index variance vs. constituent single-stoc
VIX Term Structure & Skew
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (96.4 30-Day VVIX Benchmark Benchmark)
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing terminal Charm delta bleed and PM-settled