The following index is defined by :
The S&P 500 VIX Futures Index Series measures the return from a daily rolling long position in the VIX futures contracts traded on the CBOE. The short-term index is comprised of the first and second contract months and the mid-term index is comprised of the fourth through seventh contract months.
Its by definition exactly the same as the VXX etf. Actually I calculated the VXX prices and compared them to the index and the correspond exactly, the difference being just a proportionality factor.
So great that index is exactly the VXX in a different scale, good to know I calculated it right, so it is indeed constructed by selling 1st month and buying 2nd month and maintaining a daily 1 month average future price.
Now we know how to calculate that index which is the VXX and we also have the proof its correct and the exact underlying data that generated it to provide us with insight.
Here we can see, as calculated by the CBOE, how the VXX behaves on percentual terms by just making a graph of the S&P 500 VIX Short-Term Futures Index and we can also compare it in the same graph with the S&P. Not only is it clear how violently, and fast can the S&P futures spike, therefore also the VXX since it moves in the same proportion, but you can also see that during the great recession it spike significantly before the market bottom:
Soon we will even have more data and its VXX calculated values, since I am processing futures data up to mid 2004 (there is not more data than that, I think VIX futures were not traded on the CBOE or at all before that date).
PD: Thanks Orgasmic_Jihad for telling me about that index!