No. of Recommendations: 3
1) Sorry to be unclear. The short answer to the question in your first point is, AFAIK, "no". Let me try to explain more clearly:
The point I was trying to make is that the VIX futures are very special futures. Futures are fine in general, nothing wrong with futures, that's not the point, it's that VIX futures prices are not well tied to the underlying, i.e. to VIX (as can be seen by looking at the charts of the VIX futures ETF 'VXX' and the the index '^VIX'). The reason why is that the arbitrage argument that gives a 'fair price' for (most) other futures, e.g. futures on soybeans, pork bellies, stocks, etc doesn't work for VIX, because you can't actually "hold" (or sell) VIX itself. VIX is just a number, and this means that the arbitrage argument and associated process that sets a 'fair price' for normal futures fails for VIX futures. Looking up the arbitrage argument for a future's "fair price" might help regarding this point. Admittedly, the charts do show some relation, but it's not very good and w/o arbitrage setting a VIX futures 'fair price', it's the wild west out there in VIX land. I'm no futures expert, just suggesting that if you're interested in VIX futures you might want to investigate this point.
2) You had asked about index volatility ETFs, and VXX is one of the more well known ones. But it has the problem outline above, as do all VIX futures based products.
If you're comfortable selling cash secured puts on some underlyings yourself, then you can harvest 'volatility premium' where everything is under your control. No issues of VIX futures wrapped into a daily reset ETF arise. I'm selling some CSPs (also CCs) myself, given that the only certainty right now seems to be uncertainty!
