Summary: if the S&P hits the 940 highs from earlier this year, start scaling into puts. If it happens I could see a move to 950 or even 1000, but think that's a good fade. Reasons: 1. shorts and sidelines cash-rich investors will probably capitulate if we break the 2009 highs, causing a temporary spike in prices driven by short-term emotional/margin-call factors rather than any underlying factors. Such capitulation moves are usually a good fade. 2. we've rallied a LOT in 6 weeks - biggest since the 1930s in % terms. One more week would make it extremely overextended. 3. shorts/sidelines guys haven't capitulated just yet, and longs aren't crowing yet, so I think it's worth waiting 4. long-term fundies still suck enough to generate bad newsflow later this year. IMO this works both as a short-term and long-term trade. However, the short-term should pay off quicker, with more bang for buck and less risk. I would start buying some puts at 930ish and then try to put the bulk of them on once I see a 1-2 day major spike up and media capitulation to the bull side. If this works you could make 5-10 times your money on a limited risk position.