Despite a rather large decline in at-the-money implied volatility, skew still remains relatively high on the S&P 500. The spread between 90% three month implied volatility and 110% three month implied volatility is at 10.5%, which is well over the 3 year average of 9.39%:
High skew makes buying “crash protection” very expensive. My suggestion would be to purchase put spreads for downside protection, or purchasing your crash protection on Asian or emerging markets that look much cheaper. I personally like to take advantage of steep skew by buying put ratio spreads. A put ratio spread is when you sell more out of the money puts than the near or at-the-money puts that you purchase. The positions often result in a net credit, so it provides cheap protection for smaller market corrections. On the downside, if the market truly crashes, you find yourself with a losing position. This could be mitigated by buying the put ratio spreads in markets with expensive skew (S&P 500) and purchasing out of the money puts in markets where skew is cheap.