Any strategy that hopes to offset down days in the market with volatility products that go up on those same days needs to figure out how much leverage the volatility product provides. A little calculation produced the equation below for computing the expected price of Citigroup’s CVOL from the VIX index quote:
(VIX – 10) * 9.6 = CVOL
So if the VIX jumps or drops a point, we would expect CVOL to jump or drop around $9.6. This relation probably won’t hold as well on big up or down days, on Fridays (due to the weekend decay effect), and likely will drift over time, but it gives us a feel of what sort of hedge CVOL can provide.