macrocephalopod

so if e.g. VIX is 20 and near-term futures are 23, to open a long position it's not enough to believe that VIX is going higher -- to make a profit you would need VIX to go above 23 *within a month* of you opening the position. If it goes to 22 you still lose.

In this example you lose 0.1 = (23-20)/30 of a VIX point every day, assuming that the term structure doesn't change. This is called *rolldown* and it's necessary to understand it if you want to trade VIX futures.

It's not sufficient though! There are many terrible "VIX carry" strategies out there which go long when rolldown is +ve (curve is backwardated) and short when rolldown is -ve (curve is contangoed) and ignore predictable movements in spot VIX.

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.

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.