Yea, it's very tough to say where he'll head next. I can't imagine they put the strap on him at this point.
Logic would say, he's a heel now - so he can fight all the faces he's previously teamed with - Sheamus, Orton, Jericho, etc. How to get those feuds started, meh, not too sure. He's mad he loses to Cena so he attacks Sheamus on Raw, problem oddly solved.
Another thought, he could go after the WHC, but that scares me. I don't want Dolph to lose that puppy for a long time, and I can't imagine them letting him get over on Ryback. They don't let him beat ANYONE clean EVER, and with the help of two people he still BARELY scrapes away the OCCASIONAL win. Sorry for the CAP use, just can't get over how frustrating his booking has been since long before and during his WHC reign.