THINKING AHEAD TO (YET ANOTHER) UVXY REVERSE SPLIT
I have seen evidence in both open interest and of people playing both ends of the stick at split when the price of the underlying -- in all likelihood -- will be at a high point, after which contango erosion and/or beta slippage will ensue: (1) buy long-dated (as long as you can go) at-the-money or deep-in-the-money puts; or (2) buy long-dated out-of-the-money puts for about the price you would pay to put on your standard 3-wide long put vertical (or less; some folks literally buy the most out-of-the-money, cheapest long puts they can lay their grubbies on). Because I'm literally not made of money, option (1) is out -- deep-in-the-money is just plain ass pricey on a per contract basis, and I question the usefulness of paying more than you have to in intrinsic and/or extrinsic value when the play is that the underlying is going to erode from that point forward over longer time frames -- just being deeper in the money doesn't necessarily pay more in that event unless you are paying less extrinsic by going that way.*
Consequently, the play I'm going to put on immediately post-split is out-of-the-money long puts in a strike where I'm paying around 2.25 or less per contract (obviously, the less, the better) in the longest dated expiry that exists at the time of the split.** Naturally, it's difficult to price these out at the moment, so I'll just wait for the split and price them out then ... .
* -- The general rule with most underlyings is that the deeper you go in the money, the less extrinsic you should pay. However, if you want to buy a Jan '20 35 long put at the moment (an extreme example, I know), it'll cost you 29.95 at the mid. 35 (the strike) minus 9.67 (current price of the underlying) = 25.33; 29.95 (the price you'd pay for the long put) minus 25.33 = 4.62. That 4.62's extrinsic value you're paying for up front, and that will decay over time.
** -- I can also see the potential in just buying deep out of the money long put verticals instead "on the cheap." Having a short put aspect as part of the play will naturally offset some of the extrinsic you're paying for the long. To a certain extent, it's a matter of how much you want to stick out there for how long ... .