I'd like to address the business risk of some unprecendented event causing a broad market gap down of 30-50% while I happen to be sizably (for me) net long. I'm not concerned about the upside, or even a significant sell-off that doesn't come in the form of a halt/massive gap. The most obvious answer is to buy some puts but that feels expensive. I'm wondering if anyone is aware of some exotics that are available at the retail level where I could get a more customized and therefor cheaper structure. Short of that, I guess the question becomes what is the best solution if using vanillas only. The other issue is that I need to decide if I put the hedge on and take it off as my market exposure crosses above/below some threshold level...the alternative being that I just buy some protection and let it sit regardless of the market exposure of my strategies. All else equal, it seems appropriate to only put the hedge on when needed but there's one key issue with that: it's not all that common, but i can swing back and forth between sizable net long / net short exposure multiple times in a given trading day = bid/ask + comms adding up. That said, if I'm stuck using vanillas and want to hedge dynamically, the best idea I've come up with so far is leap puts. Less decay, and the smaller gamma will create less of a pnl effect with 'normal' intraday market moves (will size it based on notional rather than delta), but if a catastrophic event occurs they perform similar to delta 1. That kind of feels like crappy logic though, replacing a tiny bit of pnl vol with vega risk. Anyhow, brain is fried from this week but hopefully that's somewhat readable. Would be great to hear if anyone has thoughts on the above or alternatives.