“The long speculator certainly made money, but nowhere during the few-hundred percent rise in VIX was there an opportunity to make more than about a 50% profit – in a futures market with a few-hundred percent annual headwind,” Nadig said. “Conversely, the short speculator lost nearly half their investment in a hurry. The presence of contango – and contango-hoarding sellers – acts as a dampener on the actual realizable gains from even the most prescient VIX ETF investor.”

SEE MORE: VIX ETFs Surge as Fear Grips Market

For example, VXX, which tracks the S&P 500 VIX Short Term Futures Index, rolls contracts every day to gain a notional exposure that is always 30 days out. However, since the VIX market is perpetually in a state of contango, where later dated contracts are costlier than near term contracts, the ETN is essentially selling low and buying high each time it rolls over its contract.

“This crippling contango is persistent in VIX futures for a pretty simple reason – the future is always unknown, and thus an estimation of potential outcomes has a wider variance than the driver of immediate volatility in the market, which is information,” Nadig said.

Consequently, as the ETPs roll over contracts in a contagoed market, investors may find their VIX ETP falling short of the spot price movements of the VIX.

For more information on the CBOE Volatility Index, visit our VIX category.