Long-time professional traders watching the near implosion of the United States Oil Fund could only watch in wonder.

"It tells me people always want to make a quick buck," said John Davi, chief investment officer and founder of Astoria Portfolio Advisors. He was referring to retail investors who lost a boatload of money investing in this popular exchange-traded fund that trades under the symbol USO.

The USO invests in oil commodity futures contracts. Oil was in contango, which means the contracts farther out were more expensive than the front-month contracts and investors were guaranteed to lose money over time.

When the difference between the front-month contract and the contracts farther out reached an insane spread, investors lost a ton of money.

The dangers of investing in these type of futures investments has been known for years. And yet a slew of retail investors piled into the USO in the last few weeks, swelling its assets under management.

"It's inevitable that people would want to bottom-fish," Davi told me, noting that investors mistakenly thought they were buying a product that tracked the spot price of oil.

Why would investors pile into such a risky investment?

"I don't think a lot of people understood contango very well," he said, noting that retail investors often lose money. "Think about penny stocks and how many people lose money in them," he said.

Still, enough damage has been done that Davi believes the ETF industry and investment advisors will have to get more aggressive in protecting investors. "There should be a disclosure you sign before you are allowed to trade these futures-based products," he said. He feels the same way about the proliferation of leveraged and inverse ETFs. "Do you really need a 3 times levered ETF?" he asked.