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According to this Bloomberg article, Universa was up 3,600% in March 2020, by hedging with extremely out-of-the-money puts: https://www.bloomberg.com/news/articles/2020-04-08/taleb-advised-universa-tail-risk-fund-returned-3-600-in-march

Near the end of the article, and according to a chart from the fund, it's described that "a portfolio invested 96.7% in the S&P 500 and 3.3% in Universa’s fund would have been unscathed in March, a month in which the U.S. equity benchmark fell 12.4%."

What put options might they have bought?

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    $\begingroup$ Yes: What options did they buy and how many did they buy. Would be good to know. $\endgroup$
    – nbbo2
    Commented Jul 31, 2020 at 2:04
  • $\begingroup$ Most likely it was with credit default swaps similar to what Weinstein did at Saba Capital Management (+3,000%). $\endgroup$
    – Bob Baerker
    Commented Aug 16, 2020 at 17:02

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