Z-scan and pump-probe measurements with ultra-fast 800 nm laser pulses were used to compare the ultrafast third-order optical nonlinearities of VO2 nanoparticles and thin films in both semiconducting and metallic states. It is found that when the samples are hold at temperatures above 67oC in their metallic state, both nanocrystals and thin films present a positive intensity-dependent nonlinear index of refraction. In this metallic state the nanocrystals exhibit a saturable optical nonlinearity and enhancement of the nonlinear effects larger than those found in thin films. Below the transition temperature, the optical nonlinearities are more complex, since they arise from alterations in the VO2 that arise both from the phase transition and from unrelated third-order nonlinear effects. Under these conditions, thin films exhibit a complete reversal to a negative nonlinear index of refraction while the nanocrystals, remarkably, show a smaller but still positive index. Pump-probe measurements on vanadium dioxide nanocrystals and thin films show they both exhibit an ultrafast response, undergoing the phase transition induced by a single laser shot in less than 120 fs. The speed of the solid-solid transformation, along with the striking reversal of the nonlinear properties across the phase transition, puts vanadium dioxide in a unique category among nonlinear materials.