Invent a product that tracks only the ATM volatility of all option-able equities for the front two month expiry options. So it is a product that doesn't need to be rolled as the underlying moves, and is constantly exposed just to the ATM vola. The problem it solves is this. The underlying is trading at say 50. Among others, there are option strikes at 47.5, 50.0, and 52.5 trade-able for this underlying. Say you buy the 47.5 put, the 52.5 call. So you are long the ATM strangle. Now the underlying moves to $53. You are no longer just exposed to the ATM vola and you have to worry about underlying (delta) exposure. If there was a product that continuously made a market in the ATM vola, this would solve this problem.