Methodology

What is this ratio? VVIX measures the implied volatility of VIX options — the market's expectation of how much VIX itself will swing. Dividing by VIX normalises it. Low values usually mean VIX has risen faster than VVIX. During market stress, this can indicate realized panic or capitulation, but it does not necessarily mean volatility is expected to remain calm.

Detrended Percentile Rank (bottom canvas). A port of the Pine Script v6 "Detrended Percentile Rank" indicator, adapted to run point-in-time on the weekly ratio. For every week t the study takes a window of weekly observations — the full history, a trailing lookback, or everything from a start date (the current week is included, exactly as in the original) — fits a trend, and percentile-ranks the current week's detrended value against every other week in that window:

• Detrending. Log-linear (default): ordinary least squares of ln(ratio) against week index; residual = actual − trend. Linear: OLS of the raw ratio. None: rank the raw values directly.
• Percentile rank. DPR = (count below + 0.5 × count equal) ÷ window size × 100 — the share of window weeks the current week sits above, on a 0–100 scale, ties split evenly. Not rescaled, not clamped.
• Every week is computed point-in-time using only data up to that week — no look-ahead.

Reading it. DPR near 0 means the ratio is at the bottom of its detrended range — VIX has outrun VVIX — the stress/capitulation zone. DPR near 100 means the ratio is at the top of its range. Reference lines at 90/75/50/25/10. The ⚙ button (bottom-right of the study canvas) opens the settings: source (weekly close/low/high), window (full history / lookback weeks / start date), detrend model, colour mode (gradient with editable bands, or solid), reference lines and optional SMA smoothing. Settings persist in the browser (localStorage).

The grey line on the right axis of the bottom canvas is the SPX drawdown from its trailing 52-week high — the stress context in which the ratio dislocates. A low DPR identifies unusual downside dislocation in VVIX/VIX; it is not automatically a market-bottom signal.

Top canvas. Weekly VVIX/VIX candles (Friday is the nominal week-end date; the current, not-yet-complete week is retained and labelled as provisional) with optional local trend lines — the 26/52/104/260-week OLS forecasts of the weekly close, hidden by default to avoid clutter.

Where does the history come from? Yahoo Finance daily closes for ^VVIX, ^VIX and ^GSPC (delayed data). The ratio cannot exist before VVIX inception (3 January 2007). Weekly OHLC is aggregated from the daily ratios in the browser.

How is this page live? On load (and via Refresh now) the page fetches the three series through the site's live-fetch.php proxy, builds the weekly aggregation in the browser, runs the detrended percentile ranks point-in-time, and redraws. Changing any setting recomputes everything client-side.