If you think the market will rebound up, then buy a smaller put to hedge some of the risk. You would still be long delta... Hedging always means you're taking some potential off the table, but you're also limiting the risk. PS. You think prices are expensive? You mean implied volatility? As always... there's a reason for that, since we've had multiple days of moves of 2% any IV below 24 is cheap... if we keep moving 1-2% daily that is. Which month do you have the short put?