Good questions. Short a call and long a put is the same as being short a future. It is also known as a synthetic future. If you are long a future and you short a synthetic future there is no risk but there is also no reward. Meteoxx has fine tuned this to make it profitable and does well Buying puts for protection alone will lose over time.
Stock777 has the answer, go home flat rather than a 100% hedge. If you want some protection and smaller cost than being 100% hedged you would buy the out of the money put/call for your long/short position. If you are long the 4 mini's, you could buy the at the money put and sell the out of the money to reduce your cost, reverse for short position, however we are talking about overnight protection and trades that last a day or two, just get flat.