A Velarium was a type of awning

Awning

An awning or overhang is a secondary covering attached to the exterior wall of a building. It is typically composed of canvas woven of acrylic, cotton or polyester yarn, or vinyl laminated to polyester fabric that is stretched tightly over a light structure of aluminium, iron or steel, possibly...

 used in Roman

Ancient Rome

Ancient Rome was a thriving civilization that grew on the Italian Peninsula as early as the 8th century BC. Located along the Mediterranean Sea and centered on the city of Rome, it expanded to one of the largest empires in the ancient world....

 times. It stretched over the whole of the cavea

Cavea

In Roman times the cavea were the subterranean cells in which wild animals were confined before the combats in the Roman arena or amphitheatre....

 (seating area) in the Colosseum

Colosseum

The Colosseum, or the Coliseum, originally the Flavian Amphitheatre , is an elliptical amphitheatre in the centre of the city of Rome, Italy, the largest ever built in the Roman Empire...

 to protect spectators from the elements. Precisely how the awning was supported is a matter of conjecture.

The velarium that covered the Colosseum in Rome had a use of giving off shade and slight protection from rain, although the main use of the Velarium was to create a ventilation shaft creating circulation and a cool breeze.

Contemporary references

• Juvenal iv.121 http://www.thelatinlibrary.com/juvenal/4.shtml
• Suetonius
  Lives of the Twelve Caesars
  De vita Caesarum commonly known as The Twelve Caesars, is a set of twelve biographies of Julius Caesar and the first 11 emperors of the Roman Empire written by Gaius Suetonius Tranquillus.The work, written in AD 121 during the reign of the emperor Hadrian, was the most popular work of Suetonius,...
  
  - Life of Caligula 26 http://penelope.uchicago.edu/Thayer/E/Roman/Texts/Suetonius/12Caesars/Caligula*.html#26