  We analyze the VIX futures market with a focus on the exchange-traded notes
written on such contracts, in particular, we investigate the VXX notes tracking
the short-end part of the futures term structure. Inspired by recent
developments in commodity smile modeling, we present a multi-factor stochastic
local-volatility model able to jointly calibrate plain vanilla options both on
VIX futures and VXX notes. We discuss numerical results on real market data by
highlighting the impact of model parameters on implied volatilities.
