Many people had found that shorting vix futures is a strategy with a positive edge. You can simpy look at the performance of CBOE's VPD index, which tracks the result of systematically shorting vix 1-month futures. This index had risen from the initial 100 to 215 in 5 years. This year, the index rose about 50%,a winner among numerous systematic investment strategies. However, if you short vix futures, you will be hurt if the market goes panic. You can see the VPD index dropped sharply in 2008 and 2011 in a short period. To avoid unlimited risk, you can buy OTM vix calls to protect. And the CBOE has a capped vix shorting index, the VPN, which tracks the performance of shorting vix futures and buy OTM vix call to hedge. Strange enough, the VPN index seems to have the same risk as VPD. You can look at its historical performance. The OTM vix calls seem to have no protective ability at all. How can that happen? And if I want to realized the edge of shorting vix futures, can I do any form of dynamic hedging to get it without being hurt by sudden jump of vix?