I'd love to hear some other trader's opinions on this. VXX, Barclays ETN that tracks the first 2 VIX futures contracts, is down something like 99.99% since inception. The reasons are well known: 1. The VIX futures curve is usually in contango, so when VXX systematically rolls to the next contract (buying a higher priced contract) it erodes the value of VXX. 2. Implied vol has been shown to consistently be above actual realized vol, making vix futures in general systematically too expensive. 3. A behavioral reason: people seem to like like being long vol as a "hedge" against a downturn in equities, which creates constant demand for this toxic ETN (even though VERY good arguments can be made that this is a terrible hedge for that scenario). This thing has a huge market cap and is very liquid, with a large volume traded each day. The borrow, as far as I can tell, isn't great but isn't terrible, certainly isn't bad enough to make shorting this thing an unprofitable strategy. I am seeing the borrow at about 3% annualized over the last year or so. Playing devils advocate, the downside to being constantly short VXX is that it can rip in your face in a huge way. Looking back at the daily data, it looks like the largest 1 day increase in VXX is about 33% (though that is much less than how much the actual VIX ripped that day). The largest 10 day increase with VXX is over 100%. Knowing these risks, if you size your short position to say 2-5% of total account value, and you are fine with this ripping in your face 100% at times, this seems like a simple way to make money most of the time. I have run simple trend following methods on VXX (short or flat) and results are very good. Anybody have any thoughts on this? Are there risks I am missing?