The past month has not been kind to investors as worries over the global economic recovery has kept the markets depressed. However, VIX exchange traded notes (ETNs), which usually rise when markets fall, have surged.

According to John Spence of Market Watch, the iPath S&P 500 VIX Short-Term Futures ETN (NYSEArca: VXX) was up 86% for the month ended May 20. The CBOE Volatility Index, meanwhile, was up more than 100% in the same period. [ETF Spotlight on the VIX ETNs.]

The reason for the performance difference is that the ETN, as its name implies, doesn’t follow the spot price of the VIX, but rather its futures price. Specifically, the fund targets a constant weighted average futures maturity of one month.

Last Thursday, the VIX spot surged 29.6% while the VXX jumped 14.1%. The iPath S&P 500 VIX Mid-Term Futures ETN (NYSEArca: VXZ), which is even more subdued than its sister fund, rose 7.8%. [How to Mitigate Market Volatility.]

One reason VIX futures don’t move as sharply as spot VIX is that investors price for mean-reversion in the futures contracts. This means that futures are priced to reflect sharp changes in the spot VIX toward the historical average.

Because the VIX tends to move inversely with the market, some investors use VIX ETNs as an insurance policy for a falling market, which is what we’re seeing now. However, if held for long periods in quiet markets, VIX ETNs languish. That means you’d be paying for insurance, but would not be fully participating in volatility spikes.