From Volatility Futures and Options:
I just came across an excellent paper from DB about TVIX. There are significant structural changes in the market with increasing TVIX AUM, and its impact on all other volatility instruments.
The main takeaway from the article is that leveraged products are short-gamma - requiring ETN provider to buy after positive move in the underlying, and sell after negative move - whether it is bull or bear. Natural hedge for such product, a long gamma ETN, would require leverage between 0 and 1, and does not exist, or likely to ever appear in the market.
