I agree with Mav wholeheartedly - I have no idea why people keep screwing around with all these VIX ETFs. Just use the options on the index (which is really on the futures in a way) or the futures itself. Stop complicating it and learn how to create your own products to boot.
Why they cannot make a single etf that trades EXACTLY like the ^vix does is beyond me....everything they use to invent these trading ETFS uses such technical instruments that no one understands them but the ones who are inventing them....
It's not possible to trade exactly like ^vix. A variety of reasons, but the most intuitive is that if you could do that you'd have a risk free arbitrage situation with the futures.
If they can create instruments out of thin air in today's market they can create an ETF that trades exactly like the VIX....
Perhaps they can, but they won't. No-one creates an instrument that's 100% guaranteed to lose money for the creator. Someone needs to take the other side of every instrument and no-one is going to take the opposite side of a risk-free arb trade, which is what an instrument that tracks ^vix is. That's like saying they should create an instrument that allows you to sell a 5 point SPX spread for $5.50; because instruments can be created out of thin air. Sure you can, but clearly no-one will.
Just noticed the thread and am intrigued about "zeroing out the roll," which I've been working on. It seems to me it is possible to put on ratio calendar spreads in the futures to take on market exposure without paying a contango tax. Likewise, we could use calendars in a ratio to zero out market exposure and capture contango, couldn't we? The challenge is getting the ratio right. To capture roll, we'd want to neutralize beta to the vix yet remain positive of roll. Based on the CBOE's report on vix futures beta to the vix, (http://www.cboe.com/micro/vix-weeklys/), we could probably hedge out market exposure by, say, going long a beta 40 futures and short 2 beta 20 futures. In doing so, we should remain positive in roll, or so it seems looking at the term structure (http://vixcentral.com/). I wonder if traders are successfully doing this sort of hedging to capture contango without market exposure, and conversely, expressing opinions on vix without contango costs.
Don't assume the arb has been grabbed up just because it's out there. Why can't you be the arbitrageur?