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if you trade enough contracts that you can trade in a ratio the different price of VIX and VXX is the least of your issues. You are facing the same problem on VIX as with VXX though as you dont buy calls on VIX spot but on the VIX future. Take today. As I write this the VIX spot is 13.90 and the April future is 14.40, the May future is 15.55 if VIX spot stays unchanged until the April future expires the future will converge (pretty much) to the VIX spot - so 13.90. If you buy a 14 Call with April expiry it is in the money now but it will expire worthless at expiry in above scenario. So as you trade VIX futures or option on it you face the same issue as if you trade VXX - the futures drift down the curve towards spot (assuming contango and VIX spot pretty unchanged - to see 'the curve' have a look here.) The difference between VIX and VXX is that VIX has a fixed maturity (if you trade VIX April futures or options the maturity will shorten every day and it will expire/settle on April expiry) whereas VXX keeps rolling from front to back month future to maintain a 30 day maturity. So right after the Mar VIX future expires it will be 100% in April futures (so ~30 days maturity) and with every day passing it will sell some April and buy some May so that the average weight is ~30 days maturity. If you have VXX vs VIX right after the Mar expiry you have the same thing but then every day your VIX position becomes shorter dated while VXX will maintain a 30 day exposure to VIX futures which gives that spread a dynamic which is hard to control in my opinion. You don't make money because VXX will drifts down and VIX doesn't - which seems to be you idea if I understand you right. As explained the futures also drift down. You might make money IF just before your options expire VIX spikes a lot as then you are long an option on a future which also expires in a few days and is therefore more sensitive to a VIX spike and you are short an option on an underlying (VXX) that is essentially a position in mostly back month future which will be less sensitive to a sudden spike in VIX hope that makes sense. Marco.