Soiling your pair of shorts
I just wanted to point out that if you ever shorted a 3x leveraged ETF pair (FAS/FAZ, TNA/TZA, etc.) for a significant period of time, you got killed. For example, look at the 12-month chart for FAZ: yay! We made almost 90% on our short! Whoopee! Then look at the 12-month chart for its sister, FAS: Omigosh! We lost 170%! I didn't know it was possible for something to go down 170%, because I've never shorted anything before! I thought shorting 3x leveraged ETF pairs was a surefire way to make a killing in the market, so I ignored them for a year, and I lost more than 40% of my original combined FAS/FAZ position! Oh no!
It would be much harder than constructing this example to go back and figure out what you would have lost buying puts on each, but the percentage loss of capital would probably be closer to 90%, because mucho volatility is baked into the price of the puts, eliminating much of your gain on FAZ. However, your loss on FAS would have been capped at 100% (yay!).
Try the same with the other volatile 3x leveraged ETF pairs (i.e. the ones someone would have tried that strategy on) over the last 12 months, or 6 months, and what you see will not be good. In almost every case a good bit of money would have been lost using that strategy. That's because the same "decay" that happens when the leveraged ETF's scissor back is reversed when they trend one way consistently. The gains are compounded at 3x the rate.
So look before you leap, and be careful what pair of shorts you put on.