In broad strokes, this is similar to the strategy implemented by SVXY, an inverse volatility ETF. It is continuously short contracts of the front month and seco

In broad strokes, this is similar to the strategy implemented by SVXY, an inverse volatility ETF. It is continuously short contracts of the front month and second month of VIX futures, weighted accordingly to give a 30-day effective maturity. The idea is that the VIX term structure is usually in contango (the market expects that volatility in the future will be higher, so you can short the longer-term contracts and buy them back closer to expiration). The fund was structured such that it attempted to give -1.0x the return of a VIX short-term futures index on any given day. That way, as long as the term structure stays in contango and there isn't a bulk increase in volatility across the curve, you will profit. From early 2016 to early 2018, this strategy was extremely effective, returning over 700% from February 2016 to January 2018. Then "Volmageddon" happened[1] and the fund lost over 90% in one day. Several other similarly-structured inverse volatility funds closed after that day; from what I can tell, SVXY is the only one left, and ProShares later changed the target return factor of the fund to 0.5x to reduce the probability of a similar event in the future. In more turbulent environments, where volatility is either in backwardation (the front month volatility is higher than later months, often during some kind of market shock), or if the whole volatility term curve just shifts upward (an overall increase in volatility across all expirations), this strategy will lose money. And, as always when trading futures, it can lose lots of money very quickly if you aren't careful.