Because the index itself cannot be held, exposure runs through futures that settle to a special opening calculation on their expiration date. Each contract prices the market's expectation of where the 30-day volatility index will be on that future date, which is why the futures curve is usually far above a low spot reading and below a high one.
That curve shape is the whole trade. In calm markets the curve is in contango, so a long position bleeds as each contract rolls down toward spot; in stress it flips to backwardation and the bleed becomes a tailwind. Anyone holding volatility exposure for more than a few days is trading the curve, not the index.
Example: spot volatility index at 15, the front future at 17 and the second month at 18.5. Holding the front contract for a month, with the index unchanged, costs roughly two points as it converges to 15. That is the structural cost behind every long volatility product.
Related: vix, vix-futures-curve, vix-roll-yield, volatility-etp