A Better Way to Track the VIX

The last couple of years has shown that the VXX ETN is not an efficient way to track the VIX. It seems to be good for one thing only - sell calls as the darn ETN seems to know only one direction - down. The only time it goes up is when they reset the price because it is under $10.


Look at the price action and the relative performance between VXX and the VIX in the last 24 months:

In November, the VIX was down 60% and VXX was down 90%!


Well, it seems that another ETN is a better instrument - VXZ. The iPath S&P 500 VIX Mid-Term Futures ETN invests in longer term instruments than the VXX. Looking at the relative performance over the last 24 months, it doesn't seem to track the VIX perfectly either, but doesn't suffer from decay as the VXX does! 

It is actually a lot less volatile than the VIX, but seems to be trending in unison with the index it is supposed to replicate. VXZ is optionable although more thinly traded than VXX. You can drive a truck between the bid and ask. I hope this changes!