A call option that insures the opposite event of a crash, i.e. a market rally. This event occurs when the underlying security price rises sufficiently enough to make the option in the money. This option pays the holder the amount of an increase in a position or portfolio over the option’s life, perhaps less a specific deductible. The payout can be made contingent on a market rally or similar event. Rally option resets its holder to the historical lowest level of the underlying asset price during the lifetime of the contract at the time of the market rally.

Sometimes, it is possible to negotiate a contract which would set the capital of its holder to a different level than the running lowest level at the time of the rally, for example, to the running average, or to some intermediate point between the running lowest point and the rally value.