I'm thinking of using straddles as portfolio protection. The idea is as following: With RUT currently at 592, sell a straddle with 2-3 strikes below the current price. For example, Feb. 570 straddle would give you downside protection of about 4%. The beauty here is that you are selling high IV, you have pretty good downside protection, but even if RUT reverses and goes up sharply, part of your loss will be offset by collapse in IV, and you might even make money. If your outlook is for bigger drop, sell even lower straddle. The general idea is to have protection, but buying it when IV is high, so compared to buyng puts for example, it's effective and not expensive.