What to do during Math PhD to have options in industry?
Based on my own interactions with graduate students and post-docs, I would suggest:


Develop skills that are useful to potential employers.  This includes basic communication skills and a broad background in data analysis and modeling as well as buzz-word computer skills (R, Python, Deep Learning, etc.)  
Develop cultural-competence for the corporate world.  Learn how to dress and act the part, preferably by immersing yourself in the corporate world through an internship.  
Have some examples of your work (besides your papers and dissertation) to show to potential employers.