hodedofome nailed it. It isn't practical to short those dogs in real life (usually). If any inventory exists at all, the borrow rates are insane. And at the first big move in the wrong direction, the short term longs sell to capture profits and your shares get called away at the worst possible time. Believe me, I tried and it doesn't work. You can still short the ones with options via options (synthetic short) but most are so thinly traded they have no options. The ones that do have options have no options liquidity to speak of.
I have found it is possible to do (synthetic) shorts on the volatility tracking indexes. I stay more or less permanently (synthetic) short on UVXY. It is by far my best holding as I average over a 100% a year return on the 10% [max] of my portfolio I dare to go short a leveraged and quick moving instrument. [No bullshit.]
WORD OF WARNING: I started using that strategy in real life with naked calls on VXX. Over a 5 month period, I was up about 118 thousand (more than I made in a year and a 200% return on my total port versus when I started shorting...), then the "Greek Crisis" hit and I lost it all plus another 12k or so in about 3.5 hours. My phone was blowing up with pings because my broker had liquidated positions to cover my margin calls. I ultimately came away from that trade about 8k up (with lots of lost sleep and nausea) and swore to never experience a margin call again (Trust me, it isn't worth it!) Now, instead of betting the farm on front month at the money naked calls, I use FAR out of the money longest dated LEAP naked calls. My current nc leg of my syn-short was written 100% out of the money at the 40 strike. And I keep the allocation usually around 5% of portfolio value (keep it mind, UVXY has moved as much as 70% the 'wrong way' in as little as a month before, your margin balance can balloon like crazy if you aren't careful.)
When I recommend the trade to new people (like I did at my blog:
http://velociraptor.cc/blog/2015/01/13/proshares-ultra-vix-short-term-futures-uvxy/) I recommend ONLY long puts. This is sort of "do as I say and not as I do" hypocrisy but I think people need to learn slowly (the easy way) how fast this position can move against you before exposing themselves to theoretically UNLIMITED losses.
Be careful, please.
Anyway, if you are new to options, I recommend doing cash secured puts and/or buy-write (covered calls) on slow moving blue chips first to get experience. If you've never been swimming before, you shouldn't start with the high-dive...
