In my more adventurous days, I would run a deep in the money bear put spread on VXX on front month expiries. I earned 8% a month or 96% annualized. I had to have a separate brokerage acct with just VXX options in it because I was always getting early assigned and sent to margin call hell. I never had a losing trade on that deal but it was a PITA and the taxes thereon were a flippin nightmare. Brokerage couldn't seem to distinguish basis from its ass. Also, ran afoul of wash rule on early assignments many times. It can be done but I question the legality. You are doing something that puts the brokerage at risk in a way you know will likely result in margin (contractural) violations. It's straight up abuse of the broker.