One may argue that the discrepancy between the price of VXX and its underlying index is due to rolling front month contracts. But in doing so, the VIX daily change as compared to the VXX daily change should be positive, and again this is not always the case on a day-to-day bases, says White.

The daily change in the ETN’s component percent weights and the way the funds roll out contracts with higher or lower values will affect the ETN’s values. The change should be more evident in VXX as compared to VXZ since VXX only has two components and VIX futures tend term structure is more steep in the short-term.

Before investing in these ETNs, be sure to understand what they are created to do and that they fit with your investment goal.

For more information on the VIX, visit our VIX category.

Max Chen contributed to this article.