Last week iPath debuted a S&P 500 Dynamic VIX ETN trading with ticker XVZ (press release, info sheet, prospectus) When I first saw the chart of XVZ backtest I had a sense of déjà vu - XVZ looks a lot like VOLT ETN that Nomura launched in Europe few months ago (bloomberg ticker VOLT:LN) However while XVZ strategy is based on the slope of implied volatility VOLT is based on volatility of volatility. The index that XVZ is tracking is SPDVIXTR index, construction of which is explained on page 21 of the prospectus. XVZ dynamically allocates to short-term futures, long or short depending on the ratio of VIX to VXV, the rest is allocated to a long position in mid-term futures. One can see that in the backtest the index rose sharply during 2008 financial crisis, but held its value relatively well during the subsequent volatility decline that decimated VXX.
EDIT: Read more about XVZ on Six Figure Investing blog.