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I've had a great trade for the last two years now: 1. Buy DITM, far dated, VXX puts. I challenge you to find ANY 180 day period where the value of the VXX did not drop. (When looking at the chart, don't forget that VXX has gone under several reverse splits and account for those). 2. Hold until you have a 10-15 % return. Sell, open again 180 days out. I have yet to lose on this trade. It requires patience, as sometimes VXX does increase, and you have to watch your portfolio balance get crushed, but it comes back down. Will this always work? I highly doubt it, either (a) we'll have a prolonged crash as we did in 2008 and I'll get torched, or ( people with bigger wallets who are smarter than me will price me out. E.g. allocation is key. I never have more than 3-5% of my portfolio in this trade. I also find it very interesting that Barclays ADMITS they take the opposite side of this trade every month, and make a killing doing it. In other words, they know this instrument is a POS, that will always lose value, but they market the crap out of it, attract billions of dollars into it, then make money taking the opposite position while at the same time making money on loads, management fees, and commissions. I'll leave the ethics of that too you, but if the company who designed it, takes very large positions against it regularly, that should tell you all you need to know. Again though, I can't emphasize enough, understand the risk involved in naked puts.