Interesting play. Currently buying 10 VIX Nov 32.5 calls at .60 and buying 1 Emini Dec future at 1246 (alternatively buy 500 spy)
I had the other way on. VIX puts vs short SPY. This was my largest position with 100% notional in SPY and "beta" equivalent in VIX. I don't have the trade on now but will in a week. I think that's a better trade. The VIX is too high vs the SPY on a simple regression and you have technical hurdles to a SPY rally but not to a VIX selloff. Plus I think that on the downside the market can selloff like 10% easily but not rally 10% however, vix can go to 20 easily on a 5% rally. If you want to talk more, PM me.
I made this play for expiration day only. There has been a strong bias to the upside for the expiration day mark of the VIX. Thats why I played it this way today (long calls long SPY) Ended up taking most of the position off, leaving a few calls for a shot that I essentially have on for free. I like your way as well, but I tend to keep it on for a short period of time when one index moves more than the other in the short term. This is really a great tradeable play. I tend to use the VIX futures against the SP futures more. Another great arb to look at is the VIX options vs the VXX options.
I don't really understand the effect of the roll on the VXX. Then again, I don't really understand the VIX and certainly my understanding of VIX options is very limited. But you are right. My trade isn't a few days (though it could be), it could take you weeks to monetize or even months and you find yourself rolling and potentially paying excessive theta. Last week I had long SPY puts vs VIX puts and converted the SPY puts to short calls because of the theta risk. That wasn't helpful when the Italy stuff happend.