Have you thought about how you are going to transition from a long position to a short position?
What do you think of the Jan2015 UVXY puts, either the 10.00 or 15.00 puts. If the share price drops by just 5, these puts should double in value. I am thinking of scaling in my purchase. If it continues to rise, I would start buying higher strike puts. Ideally, short term ITM puts would be bought near the top.
That's an interesting play. Any idea what time period you will buy those? Keep us posted! Personally I would not buy any UVXY puts before October because I do think we're going to see minimum 10% and maybe 20% correction in the market.