There has been a lot coverage of the big fall of TVIX an ETN that "supposedly" tracks VIX futures. GAZ is another ETN one should be wary of. It is supposed to track natural gas futures, but currently trades at 4.00, but its NAV is 1.89, a premium of 112%! Here is a 3 month chart of GAZ vs UNG, notice something unusual?
So when dealing with these exotic ETNs be careful. I personally believe there are opportunities to make money in these for trading purposes but not so much for investing. Look how someone would have fared if they bought VXX for long-term "hedging purposes", yikes! Although to be fair, one could reasonably compare this to the premium on an LEAP option that expired worthless.