Universa Investments run by Mark Spitznagel popularized the idea of portfolio insurance (also known as tail hedge) protecting the investor against severe market declines (tail risks). By using this tail hedge, the investor can increase their share in riskier assets (stocks) while bringing the total risk of the portfolio down.
In my understanding, a retail investor can implement a tail-hedging strategy by purchasing deep OTM SPY puts. How exactly is this achieved? How to estimate the number of puts and how to rotate them? How much of capital should be allocated to this tail-hedging strategy? Or maybe it is easier to purchase a ready-to-use solution (e.g., ETF)?
Thanks in advance for your help. The question was intended to be broad.