Volatility ETFs are designed to track VIX futures contracts rather than the spot price. Therefore, they can be hurt by “contango” when longer-dated contracts are higher, or more expensive, than the spot price. The products lose money on the so-called roll trade when they move into new futures contracts.
The VIX hasn’t traded above 20 since July.
iPath S&P 500 VIX Short Term Futures ETN
