1/ Thread: I've put a lot of thought and research into this question and I can tell you what I'm doing these days when I get a risk off signal. It's slightly more complicated than what most people are probably doing.. https://twitter.com/doobeedoo2/status/1327030185678368769

2/ I'm looking 5 weeks out on something super liquid, for this example I'm going to use $VXX call spreads. You could use $SPY puts or anything else liquid. If it's not VERY liquid this won't work and you may get stuck paying a big premium for crash insurance that doesn't payoff..

3/ There are time of the day and times of the week where the bid-ask spreads will tend to narrow. I avoid the open and love to transact on Thursdays mid day. Friday lunch time also tends to be pretty good..

4/ I'm not looking for a moonshot 50/1 payoff, those won't be liquid. Instead, I'm looking for what will probably be the next trading range higher of the market goes down. $VXX is at $20, I'm looking at $24-$28. It could easily settle above that 5 weeks out and it's oom..

5/ the $24/$28 call spread is about $0.50, so my payoff can be as much as 8 to 1 on my money (700% return). It might not get there though and that's why I've set these criteria so far. Now for the trick:

6/ The one I bought for $0.50 is 5 weeks out. The one that is FOUR weeks out is also about $0.50, but expect it to be only slightly cheaper. If I hang on for a week and $VXX didn't go anywhere but sideways, I can roll from a 4 week to a 5 week for almost nothing..

7/ If instead $VIX collapses and we get a risk on signal, I can liquidate the position for between 4 and 5 weeks of time value (but lower $VXX). Because I kept rolling, there should always be some time value worth liquidating..

8/ If however $VXX starts higher and moves into my range I can start to let the clock run down. If it goes above my range then I can let it fall under two weeks and hold till expiry for max gain. I'm probably setting up another higher box too during that time.

9/ This trick has worked well for me but it must be very actively managed. Hopefully this can help you create a great crash insurance situation for yourself much more inexpensively than just buying and holding puts or deep oom $VXX call spreads. Lots of gotchas, it takes practice