Built the same way as the headline index, but from options on the volatility index rather than on equities. It tells you how expensive it is to buy convexity on volatility, which is a different question from how expensive volatility itself is.
Divergences between the two are informative. A high volatility index with a low VVIX suggests the market has settled into a stressed but stable regime. A calm volatility index with a spiking VVIX suggests someone is paying up for protection against a shock nobody has priced yet.
Example: volatility index at 14 (complacent) with VVIX at 115 (historically elevated). Protection on protection is expensive despite calm spot conditions — usually a sign of heavy demand for far out-of-the-money volatility calls ahead of a known event.
Related: vol-of-vol, vix, vix-options, vomma