iPath S&P 500 VIX Short-Term Futures ETN (VXX)
Finally, an actual VIX you can trade! Sort of. Listed in late January 2009, the iPath S&P 500 VIX Short-Term Futures ETN (NYSE:VXX) is an exchange-traded note (ETN) that proxies a perpetual 30-day VIX future.
In order to replicate that future, it must roll out nearer month futures or swaps each day. If the cycle it rolls into trades higher than the one it rolls out of (contango), VXX loses money in the process. VXX spends most of it’s time in contango.
According to some work by MKM Partners, VXX captures about 42% of the VIX move on up days, and 52% on down days, but keep in mind the relatively small sample size to work with here. In a non-contango backdrop, those numbers may vary.