While the actual CBOE Market Volatility Index (VIX) peaks have moderated over the course of this decade, the volatility of the VIX has actually accelerated in recent years; perhaps due in some manner to the introduction of the VIX options but in any event very interesting.

The chart below graphs the 10-day volatility of the VIX in blue at the bottom of the chart.

The current VIX volatility level of 96% is still quite high by the standards of earlier in the decade.

From the standpoint of the VIX options, which presumably are priced off these historical volatilities (HV), one could conclude that these options have been historically expensive over the past couple of years, which could indicate something of a bubble in the "protection trade". Note that heavy premium buying enhances realized volatility, just as heavy premium selling depresses realized volatility.

From a sentiment perspective, one might conclude that a high "second derivative VIX" is an indication of excessive bearishness. At the very least one can reasonably conclude that if the protection trade is in fact crowded, then the chances of a major downside accident are significantly reduced as big money is already down on the black swan event.