http://www.theoptionsinsider.com/education/?id=868

http://www.theoptionsinsider.com/education/?id=8687

Another good article on contango.  Contango is an absolute killer when it comes to comodities ETF's and ETN's.  A fellow trader did clue me into possibly using the current nasty contango and futures curve as they relate to VIX and sell VXX bear calls.  VXX is the prefered instrument because it is much more liquid than TVIX, VIXY or UVXY.

This strategy could work out very well.  Not only would you have time erosion working for you but you woud also be able to take advantage of contango.  Two things working for you are always better than one.  I am still researching this but from what I can gather, barring an apocalyptic event, VXX is going to continue to decline until it reverse splits.

Because of the potential for a reverse split, I would only trade options in multiples of four (e.g. 4, 8, 12, 16 etc.).  Last time VXX performed a reverse split, it was a 1 for 4.  I've noticed that funds generally reverse split in the same multiples.  For example, FAZ usually does a 1 for 5.

I'm still looking into this strategy.  I can't think of a reason why it would not be in my best interests to not only have time decay but also contango working for me.

I guess is Israel bombs Iran...I get screwed.