We apply the model-free implied risk-neutral measure of variance to VIX options to investigate the volatility-of-volatility (VVIX) term structure. We find that the information content of the VVIX term structure is fairly distinct from the VIX term structure. Both carry different pieces of information about market uncertainty. The second PCA component (SlopeVVIX) of the VVIX term structure is a significant risk factor. In joint regressions SlopeVVIX predicts straddle returns of S&P500 and VIX options incremental to the VIX term structure and the variance risk premium. We propose an affine approximation method of the VVIX and use parameter estimates of a VIX option pricing model to identify three factors that describe most of the term structure. Continuous volatility-of-volatility adds most to the term structure, followed by variance jumps and a lower bound component. These systematic changes of the risk-factors can be put in economic context by the variance-of-variance to variance ratio.