VXX is supposed to track an index that tracks a varying proportion of the front 2 months of VIX futures. However, there appears to be an element of supply and demand at work, too, because VXX trades with a finer granularity than the VIX futures and varies in price even when the VIX futures' bids/asks are not changing. There are also days when VXX underperforms both the front 2 months' VIX futures; people posit that these are particularly lossy rollover days.
