This is my flavor of spice. Practically it's a short term instrument to make a 1-day bet on vol. Technically, it's a derivative of a derivative of a derivative - it's turtles all the way down - which makes it really unsuitable for anything but 1-day holding.
Options prices are notionally risk-adjusted. The market determines the prices. Therefore, the prices of options on S&P 500 Index (SPX) reflect what the market think of as the likelihood of price change of SPX, aka volatility.
The derivatives involved:
1. VIX is an amalgamation of the prices of SPX options expiring in ~30 days . i.e. the SPX 30D forward vol.
2. VIX futures are prices on bets of the VIX value at monthly intervals in the future. i.e. what will VIX be in April, May, June, etc
These things are directionally linked
3. UVIX continually buys and sells VIX futures contracts, so that its 1-day exposure is roughly equivalent to the 2x change in VIX.
There are some persistent qualities in the futures term structure that makes the mechanics of #3 a very bad idea. It results in the value of UVIX degrading over the long time. This is why it's bad for people to buy, but can be good in a lottery ticket type of way. The sponsor of UVIX don't care because people buy it and they earn money on the fees.
Because of the effect of #3 above, I like to sell options on UVIX and UVXY, which is mostly very fun, and sometimes scary, but mostly fun.