Have tried iron condors, strangles , condors on NDX and VXX at low implied volatility. In this market the IV changes too rapidly to be able to manage the spread. Was looking at multiple condors long and short on NDX one week out or maybe closer.
Short VIX looks attractive to me. The problem is that if you want to put on a defined-risk play on VXX, the risk-reward is horrible. So it appears that collapse is already priced in. I assume that the borrowing cost to short is also very high.