As I've discussed before, the nature of the VIX and its technical dangers provide a large disincentive to ETF issuers. In the absence of a VIX ETF, however, there remain other options to effectively purchase volatility. Transaction costs remain a large issue in any such endeavor, and so I have constructed what is most likely the simplest option.
The most VIX-correlated ETFs on the market are, nearly without expection, ProShares Ultra or UltraShort ETFs. It is likely that ProShares or their managing counterparty is using volatility contracts of some type in the management of these products. As a result, one of the most efficient proxies to volatility is to purchase equal amounts of SDS, the UltraShort S&P500 and SSO, the Ultra S&P 500. This portfolio yields the following returns against the VIX:
The daily log-return correlation squared here is 74%, and the weekly log-return correlation squared is 73%. As I've noted in previous analysis, however, cumulative return series diverge temporarily without failure. The daily cumulative log-return correlation squared is 64%, dropping to 58% when moving to weekly cumulative log-returns.