I've blathered several times over the last week or two about watching the Naz because it seems to be the last to rollover when we start the next leg down. I have started legging into the short QQQQ position and am considering hedging this with some OTM calls in the SPY simply based on past correlations. In the event the market sustains a rally I feel the QQQQ will still underperform relative to the SPY. In the more likely event the market breaks down, I also expect the QQQQ to underperform. I should disclose that I feel there is zero chance of a recovery this year.
I will point out that the Spread-Ratio has been higher on both a Daily and a Weekly close (post-dot.com bust), which is why I've only put on 1/3rd of the position (but without the SPY calls).
