Used to short it 7-8 years ago. Then the cost to borrow got so high, all profits went to the loan desk. Not worth it.
It's been ~3% for the last five years. Occasionally unavailable, but only about 5 times a year in my observation. I've never been bought in. though, as I say above, it could always happen at the very worst time.
Thanks for this report, it was an interesting read (I just read the short vol part). Certainly would have to keep a short position in VXX as a small part of the portfolio. Should be noted that VXX is not a leveraged instrument and just as long exposure, though I do need to wrap my head around historical vix spikes and what that could do to the vix futures curve and the subsequent impact on the price of the ETNs as they rebalance from one contract to another.
Sure - short the VXX & make a lot of $, until you go bust. That is like picking up pennies in front of a steam roller.