Let’s check what continuous future position on futures on volatility indexes look like.
I used data from CBOE exchange http://cfe.cboe.com/data/historicaldata.aspx
Since GVZ/OVX futures are not liquid enough, especially first years right after inception, I used Settlement price values, they are available for every date. I calculate daily log returns for closest future contract and sum results cumulatively.
VIX futures for last years:
GVZ (gold) futures:
OVX (oil) futures:
It is obvious that contango drives futures prices down not only on VIX, but also on gold/oil volatility. It brings up an idea of a portfolio built with these 3 futures, all in short position, with continuous rebalancing. Another question then arises: how correlated are volatilities on gold, oil and equities?