Let's say you do, knowing that it loses more than it gains on reversals, when would you take profits?
made to trade said:
Time to buy VXX? I'm showing it might be undervalued.
That's the clincher, for every % you gain, you lose more than the gain on a reversal.
If, say, the EU pulls an overnight political Hail Mary and you were up 5% on your cost average, but the VIX crashes 20% on the news after hours - ouch, and there's no getting that money back.