The rally is firmly in place now despite "common sense" that we should be seeing a 2nd wave down. I've mentioned in previous posts that we should find ways we can position ourselves should the rally happen and I've mainly done that through Calls which I believe give the best risk-reward in this lower volatility environment. VIX was then about 38.
Now that some of the Calls are ITM, I have to increasingly take care of the downside. The risks of another downturn are still there - I am still suspicious of the strength of the rally. Some say it's priced for perfection, and so the surprises are to the downside. Given the lower volatility environment we still find ourselves in, with VIX being at 25, we can consider a few things: (a) buying Puts, and (b) rolling the Calls to further OTM ones. I'm using strategy (b) for individual counters which have seen their prices severely depressed e.g. cruise liners for which I've already bought Calls for, so I don't want to be paying double premiums. Strategy (a) is more for general downside protection on indices.
These are just nascent ideas as of now, spurred by Friday's strong rally. Subject to correction in the future when I've thought through them more.