You definitely don't want to be short wings if you know a drop is coming. No amount of short delta will be enough to hedge your risk.
You "successfully navigated" Brexit only because ES gave you an out on the morning of 6/24 right after Brexit - so don't kid yourself.
Bobby, short deltas don't hedge against market drops. Only long gamma does. All the short deltas do is spot you a few bucks at the start.
So be short ES futures. Any non-linear short exposure is going to kill you. There is no way around that.
I don't know if it's gonna kill you. I try to manage my delta/gamma to break even in a gap down of 100 on the ES (vega adjusted). If it blows past 100, so be it--an insurance company has to pay out once in a while. The risk of gapping to the upside is another story which would benefit my buy-and-hold-forever equity portfolio.
Well, the "so be it" part took a lot of guys out in 2008. Funny you should mention insurance companies since many of those that did blow out in 2008, that is what they are doing now, selling life insurance. LOL. And FYI, if the ES gaps down 100 the bid/offer spreads are going to part like the Red Sea.
Most of the people on 'Wall Street' are not actual traders -- but rather Salesmen -- selling and convincing random people to buy their products and offerings. Nearly all the wall street-themed movies out there...that's what they are doing in it...selling and convincing random people. I doubt, not that many of them...can actually trade/grow their own private small accounts into large one's. Everybody out there has a commision mentality -- make the kill/sale...then move onto a bigger fish. It's not my problem if the wheels fall off the car afterwards -- that's your, or someone else's, problem now.