Thank you all for your advice. I think you've pointed me in the right direction.
I looked at the Dec 05 SPX 975 puts and calls at about $90 each vs. the Jun 04 at about $72 each. For a hedge insurance policy, this seems like a reasonably low Theta.
The liquidity does not seem great, but...
I am rather new to futures trading, but have had some encouraging results so far trading the e-mini.
The thing that scares me the most is a world shaking event that halts trading and moves the market 20-30 handles or more (like 9/11). Is this a valid concern? I know that the markets were...