This paper investigates the most traded VIX exchange traded products (ETPs) with focus on their performance, price discovery, hedging ability, and trading strategy. The VIX ETPs track their benchmark indices well. They are therefore exposed to the same time‐decay (high negative expected returns) as these indices. This makes them unsuitable for buy‐and‐hold investments, but it gives rise to a highly profitable trading strategy. Despite being negatively correlated with the S&P 500, the ETPs perform poorly as a hedging tool; their inclusion in a portfolio based on S&P 500 will decrease the risk‐adjusted performance of the portfolio. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:164–183, 2017