It's not a mathematical flaw, its a consequence of the fact that risk aversion is not free.
people (over)pay for volatility protection and that overage creates vxx's behavior.
shorting vxx is selling risk, which is why its inherently RISKY to do!
Same reason anyone plays any game--the challenge of winning. Sounds stupid, but I do believe that is often the motivation. Sometimes people needlessly take on challenges because if they can meet them it boosts self-esteem and creates a sense of omniscience.
spy is always up...even bad news...up...trading at premarket highs now. Economy sucked...still we trade at highs...it's all justified...fed, or the fact that it may be sunny outside means the market should be positive
Don't forget you were a long at one point. But I think all lifelong shorts were once devoted longs who were waiting for the big crash but ended up crashing their own brokerage accounts. Kind of a hazing ritual in a sense...