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Spot VIX is not tradable, which means there is nothing which stops it from being predictable. To profitably trade VIX you need to know what the rolldown is and *also* have a good model for how prices are going to change.
The right way to think about it is to separate the rolldown component of P&L from the price component. If F(t,T) is the price of a futures contract at time t with T days to expiry and R(t+h,T) is the P&L from holding it for one day then the equation relating them ispic.twitter.com/Tt1Mg966cg
This can be neatly decomposed into two components -- the first is rolldown (observable at time t when you trade) and the second is the price component (not observable, but predictable)pic.twitter.com/3ehBaxOevX
To model this you should build constant-maturity VIX curves by interpolating forward VIX prices to a floating grid of expiry terms (e.g. 1 mo, 2 mo, 3 mo) rather than a fixed grid of expiry dates. You then build a model to forecast the changes in constant-maturity forward VIX
for whatever forecast horizon you care about, and combine it with the observable rolldown to get a forecast for the P&L for particular points on the constant-maturity curve, which you can then interpolate back to a forecast for the actual contracts.
For obvious reasons I won't elaborate on how you should forecast price moves, but I will note that (a) the term structure itself is important and (b) constant-maturity VIX prices are highly mean reverting. Add your own intuitions on top of that!
My final point is that nothing I've said here is particularly specific to VIX, but VIX is a very clean example because the underlying is not tradable (so there aren't any arbitrage relations and everything is priced on expectation) and it's not seasonal.
With suitable adjustments to take arbitrage bounds and seasonality into account, this is a very general framework for trading all kinds of futures. FIN.
Gonna tag the vol nerd crew for their input @KrisAbdelmessih @Ksidiii @bennpeifert @pauleluard @SqueezeMetrics @NewRiverInvest @VixCentral @VolQuant @QuantVol @varianceswap @selling_theta
This should say "the P&L from holding it for h days" 
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