New all-time highs in the S & P 500 have been welcomed by investors in the wake of the Federal Reserve going big on their first rate cut. Yet, the sustainability of this near year-long rally is being questioned. The SPDR S & P 500 (SPY) is up nearly 20% year to date, I want to spend some of my remarkable 2024 profits on downside protection in the event a breather to the rally or a downturn is imminent. .SPX YTD mountain S & P 500, year-to-date Measuring risk is always a challenge, specifically when various headwinds exist at the same time. Current geopolitical risk ( articulated by Jamie Dimon ), possible Fed policy misstep or slowing growth in the U.S. economy all serve as potential pain points for the fourth quarter. Although the Cboe Volatility Index does not show any signs of anxiety at 15.80, we all know that risk happens fast. The trade I want to own downside protection via put options in the SPY. I am not a bear by any means and continue to think that 2024 will be a double-digit year, but the S & P 500 is approaching overbought territory when viewing through the Relative Strength Index lens. Additionally, this is the richest valuation we have seen in quite some time with the S & P 500 trading at 24 times. The Trade (Selling a Risk Reversal): Sold the SPY (10.18.24) $581 call for $3.00 Bought the SPY (10.18.2024) $560 put for $3.70 This spread costs $0.70 or $70 per one lot This trade was executed when SPY was roughly trading $570 I chose a risk reversal to help finance my downside put ownership. In the event we see SPY move lower this week, I will consider adding a leg to this spread by spending a little more money to define my upside risk. I will look to potentially buy the $591 call if we see a 2% move lower in the S & P 500. (The $591 call was trading roughly $0.85 at the time of this trade; I want to buy this out-of-the-money call option closer to $0.50 if possible). This will cap losses if this rally still has more legs. However, since this spread is near zero-cost to an investor, if the S & P 500 trades back under 5,600, downside protection is in place and the profits of this trade is unlimited and solely determined by the magnitude of a pullback. DISCLOSURES: (Long SPY and this risk reversal.) All opinions expressed by the CNBC Pro contributors are solely their opinions and do not reflect the opinions of CNBC, NBC UNIVERSAL, their parent company or affiliates, and may have been previously disseminated by them on television, radio, internet or another medium. THE ABOVE CONTENT IS SUBJECT TO OUR TERMS AND CONDITIONS AND PRIVACY POLICY . THIS CONTENT IS PROVIDED FOR INFORMATIONAL PURPOSES ONLY AND DOES NOT CONSITUTE FINANCIAL, INVESTMENT, TAX OR LEGAL ADVICE OR A RECOMMENDATION TO BUY ANY SECURITY OR OTHER FINANCIAL ASSET. THE CONTENT IS GENERAL IN NATURE AND DOES NOT REFLECT ANY INDIVIDUAL’S UNIQUE PERSONAL CIRCUMSTANCES. THE ABOVE CONTENT MIGHT NOT BE SUITABLE FOR YOUR PARTICULAR CIRCUMSTANCES. BEFORE MAKING ANY FINANCIAL DECISIONS, YOU SHOULD STRONGLY CONSIDER SEEKING ADVICE FROM YOUR OWN FINANCIAL OR INVESTMENT ADVISOR. Click here for the full disclaimer.