Any country defaulting probability approaching 100%
Recent global polls showing Ireland over 50% and Greece over 80%, meaning either of these defaulting has over a 90% chance over the next few years. Adding to that countries like Argentina and all the other trouble makers, we are sure to see some big news to shake the stock and bond markets soon. That means huge volatility, as seen in the Russia and Argentina cases in the past. Some big hedge fund or mutual fund will have exposure to a totally safe spread like the US treasuries, but the liquidity will dry up and things will blow up in a few days. That always means huge volatility. Also, finding the bottom in any normal correction means VIX stays over 40 for a few weeks, usually in backwardation. So VXX will eventually spike and the drop will not be so sudden once it happens. Again all this seen in the historical charts in their prospectus.