This is nicely put:

The Black Swan Protection Protocol bought puts and calls on a portfolio of stocks and S&P 500 Index futures, along with some European shares. The Black Swan Protocol doesn’t rely on commodities, currencies or insurance on bonds known as credit default swaps, [Nassim] Taleb said.
“We refused to touch credit default swaps,” Taleb said. “It would be like buying insurance on the Titanic from someone on the Titanic.”