HYG's puts are very cheap (imp vol of 4.4 to 8.4%). But it dropped only to about 72 in the early 2020 flash crash. So even if you're right, you don't make fat tail profits in a crash. VIX puts have triple imp vol, which puts them off limits for all but short term trading. The puts on the TNA 3x ultra long small cap ETF are about 57-60%, which is below historical average. A 10% correction would drop it from 85 to 60. A 15% correction would drop it to 45. You can buy February 18 puts at the 45 strike for .70 each. The imp vol on the UWM 2x Russell 2000 ETF is about 2/3 of TNA's. Look at the flash crash bottom for both and that's a good strike price for the put you sell as the bottom half of a bear put spread.