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Worried about stocks? Here's how to get protection

Earnings season is on, and if history is any indication, investors should tread lightly.

That's because according to Stacey Gilbert, head of derivative strategy at Susquehanna, the start of the period over the past five years has corresponded to a rocky time for stocks. In fact, according to her work, the average one-month move in the S&P 500 after Alcoa's "unofficial kickoff" to earnings season is down 4 percent.

Read MoreThis stock could be 'very attractive'—after earnings

Of course, not every earnings season has been met with negative results. Gilbert points out that of the 20 earnings periods since January 2010, stocks have, in fact, moved higher 14 times one month after Alcoa's results. However, the last three earnings seasons have been a particularly volatile time, with the S&P 500 nearly correcting in early October 2014. The last official correction came during earnings season in July 2011.

Yet, despite the strong seasonal patterns, the cost of insuring your portfolio remains historically low, with the VIX, which measure prices for puts and calls, hovering below 14.

"What I'm looking at is protection and I'm going to use these [past] returns to help me figure out what are the best strikes to trade," Gilbert said on Tuesday's "Trading Nation."

Read MoreThis stock is sliding ahead of its earnings report

She looked at the options in the SPDR S&P 500 ETF, the SPY, which expire in May. Specifically, she bought the May 208/198 put spread for $1.98.

The trade offers Gilbert protection if the SPY falls below $206.02 by May expiration. However, by selling the lower strike put, she has limited her hedge to the lower strike of the put that she sold, in this case, 198. That corresponds to a level of 1,980 on the S&P 500, which happens to be the lows reached during the last earnings season.

"This is a way to protect your portfolio as U.S. earnings get into full swing."

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