The VXZ ETN is based on The S&P 500 VIX Mid-Term Futures™ Index, which is designed to provide access to equity market volatility through CBOE Volatility Index® ("VIX") futures. Specifically, the S&P 500 VIX Mid-Term Futures™ Index offers exposure to a daily rolling long position in the fourth, fifth, sixth and seventh month VIX futures contracts and reflects the implied volatility of the S&P 500® Index five months later. The Index futures roll continuously throughout each month from the fourth month VIX futures contract into the seventh month VIX futures contract.
CBOE simultaneously introduced trading in CBOE Options on the iPath® S&P 500® VIX® Short-Term Futures Index ETN.
More information on VXX can be obtained at http://www.cboe.com/micro/vxz/introduction.aspx.