Here was a huge winner in early June going Short SPY/Short VIX ...
On June 8, into a drop in VIX, this setup emerged.
VIX Jul20 26 puts trading $2.75
SPY Jun29 395 puts trading $3.85
I bought both for $6.60
Over the next few trading days, VIX spiked ... while SPY fell out of bed.
After just five days, on June 13, things looked like this:
VIX Jul20 26 puts trading $1.35
SPY Jun29 395 puts trading $20.70