Never a problem with borrowing shares. You can roll the contract forward as it nears expiration if you are long-term bearish. Yes this costs, but you have to pay interest on a long-term short position also, right? Doesn't tie up margin. More bang for the buck. An ATM second or third month put costs (very very roughly) 5-10% of share price, but will return ~50% of the dollar move of the underlying. And most importantly IMHO is it limits your downside in case you are very wrong. What am I missing?