Ketamine is a promising treatment. In the U.S. it is most often given IV. However, a nasal spray has been developed and is FDA approved in the U.S. Ketamine works quite rapidly, so there is not the month long wait to see if it will work like other meds.
I have not tried it yet myself, but I intend to as soon as I can get access to it. It can be somewhat costly. However, major depression is so bad, almost any cost is worth it to me to get relief, since my life is so painful and terrible when suffering from it.