Truth be told, UVXY is not one of my favorite VIX derivatives to play, largely due to options liquidity, which leads to wide bid/asks that you have to putz with in order to get filled for something vaguely approaching a "fair price." Nevertheless, I think splits in the derivatives ( VXX , UVXY , and SVXY ) are something to be taken advantage of to put on "contango drift" plays in these instruments, (See Post Below), particularly here, where contango is particularly steep. (See http://vixcentral.com/).
Since I don't know precisely at this moment what the "split-to" price is yet, I won't know exactly what strikes to use and what the cost of the setup is. However, this is the plan:
1) Post split, buy the long call that is ATM or one strike below.
2) Post split, sell the short call that is 3 strikes below the long call strike.*
This will create a 3-strike wide, short call vertical, for which you'll receive a credit and which you'll look to exit for at least 50% of the credit received. If price breaks through your setup running into expiry, you'll roll it out "as is" for duration (to a later expiry), wait, and repeat the process until contango erodes price to such an extent that you can exit the setup profitably. (Alternatively, you can roll the setup down, chasing the underlying's price on its decent ... .)
* -- A possible alternative setup is to go deep in the money with this credit spread. You'll get a larger credit "at the door" and experience a smaller buying power effect. However, you'll be stuck rolling the spread out repeatedly for duration until contango erodes the price of the underlying such that price eventually clears your short call. Naturally, a pop in VIX (and therefore UVXY ) could occur while you're attempting to do this, leading you to be in such a setup longer than you'd like.