If I were a 100 mio USD hedge fund starting today then I wud buy crash protection across EM Asia. Ideally wud love to buy puts on the ASEAN markets of Thailand and Indonesia. Trigger is possible capital controls to stem the massive currency appreciation being driven by QE2 expectations.But practically those markets are illiquid and if you are not a really big hedge fund few broker dealers will oblige by selling you any options at a decent price.
Hence as a proxy I will spend 500k USD each on buying puts on Nifty and TWSE at the close. Nifty spot 6145.80 & TWSE at 8200.43. Buying 6200 Nifty Dec 10 puts Total size 89,400 options at a cost of 250 INR per option ( FX 44.7).Buying 8200 TWSE Dec 10 puts Total size 50k options at a cost of 310 TWD per option ( FX 31.07).
