Probably the most common misconception is that UVXY should follow the changes in the VIX index itself, I mean it’s supposed to track vol right? This is so prevalent that ProShares screams this to visitors when arriving at their UVXY page (first paragraph AND a bright banner at the top of the page). You think they’ve heard this before?

The Funds are benchmarked to an Index of VIX futures contracts. The Funds are not benchmarked to the widely referenced Cboe Volatility Index, commonly known as the “VIX.” The Funds should be expected to perform very differently from the VIX or one and one-half times (1.5x) or one-half the inverse (-0.5x) of the performance of the VIX, as applicable.

Since the the VIX index is not traded, and calculated dynamically (rules as to which SPX options to use change daily) there is no effective way for a fund to actually benchmark to the index itself. The next best thing is to use the VX futures contracts which DO trade around the clock from Sunday afternoon through Friday at market close.