I agree that this is a pretty good alternative. SPYders offer a great deal of scalability since they are 1/5th the value of the ES. Therefore, you can hedge yourself across a larger distribution of prices and improve your cost basis. You also have a direct hedge, as opposed to going out to December, 2005 and exposing yourself to the sensitivies and dynamics of an options position. On the other hand, if you are making a bet that volatility is low enough(which it probably is) and will more than compensate you for the theta risk, you will more than likely have an opportunity to adjust your hedge going forward. If this is to protect an account that is long only and has to maintain long only exposure, I understand the reason for the hedge, but otherwise I am a bit confused as to why you are going out 16 months to complete this hedge...