Hi Folks, I've been observing and trading the options markets for a few years now and, let's say, have learned a few lessons. What strikes me is that, assuming you don't overtrade, it's the once or twice in a decade disasters that do the most portfolio damage for long strategies. This decade has actually had 3: high-tech bubble pop, 9/11, and of course GFC. To reduce the losses, I've considered employing the following low-maintenance index option strategy: Russell 2000 (RUT) currently trading at $562.77. Buy a June 2010 $350 call option @ for $214 - there is almost no time premium associated with this purchase. Deposit $350 in bonds or other debt instruments. It's now the end of May 2010... 1) If the market has gone up you'll have a trading profit of $EndPrice minus $562. 2) If the market has tanked to 400, the call will be worth at least $2.50 (but almost certainly more as IV will increase). You can sell the call and roll down to another long call that has no time premium. 3) If the market has tanked to 350, the call will be worth about $19 (but almost certainly more as IV will increase). You can sell the call and roll down to another long call with no time premium. With 2) and 3), on the way down you'll be significantly better off than a buy and hold investor because you won't have lost the entire difference between $562 and $EndPrice. But on the way back up again to $562 (and beyond) you'll keep all the profits. Thoughts?