Velocity of risk refers to the direction a large move is more expected to occur. If the velocity of risk is to the downside, it is because sell-offs are anticipated to be more violent than Vice-versa, if the velocity of risk is to the upside, it is because an explosive movement is expected more out of a rally than a sell-off.
Generally, the velocity of risk for the overall market is to the downside. Rallies are expected to be gradual, while declines may have the perceived potential to be much more violent. On the flip-side, in a cheap commodity the fear of decline may be minimal due to a natural The potential for an explosive up-move, however, could be much greater. This would be an example of velocity of risk to the upside.