Taleb's strategy gets paraphrased as "buy out of the money puts" but I'm sure there's quite a bit more going on than that at his funds, even if that's broadly t

Taleb's strategy gets paraphrased as "buy out of the money puts" but I'm sure there's quite a bit more going on than that at his funds, even if that's broadly the strategy. For starters you have to figure out which puts to buy. It almost certainly isn't about buying puts on the main index, since that's almost a default no-thinking risk management approach which drives the price of the puts up.