If you expect a pullback, go for an OTM put.

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The primary reason is that the probability of an option being out of the money on expiration day (Prob OTM in the graphic above) is 58% in this example.

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Out-of-the-money puts on the index are generally more expensive than equally OTM calls because more investors want to protect their stock portfolios on the downside by buying puts than tend to speculate on a rise in the index.

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