VVIX — the 30-day implied vol of VIX itself, i.e. the price of convexity / demand for VIX options ('uncertainty about uncertainty') — alongside the VVIX/VIX ratio.
How to read Higher VVIX = the market paying up for convexity right now. A present-state read of demand for tail/convexity protection.
DESCRIPTIVE. The result that a higher VVIX forecasts lower tail-hedge returns (Park 2013) is a forecasting study — it is reframed here as a 'price of convexity' level, not built as a signal.
The CBOE SKEW index — the option-implied price of the left tail of the 30-day SPX distribution. Rises as out-of-the-money puts get richer relative to the body.
How to read Higher SKEW = the market paying more for crash protection right now — a present-state read of tail-risk PRICING.
Cboe's own 2025 consultation concedes the academic third-moment SKEW diverges from how desks read skew (it proposed a 25-delta risk-reversal instead). Treat SKEW as the price of the tail, not a literal crash probability or forecast.