Optimal selloff event hedging strategy

tonyf said:
I am looking to protect my portfolio of naked put shorts against a sudden drop in pricing of the underlying because of another march 2020 black swan run-off.

A target would be for protection if SP500 drops more than 20% in a 2 week time frame, signalling a global non-arbitrary liquidity sell-off.

What would be the ideal and cheapest way of buying such protection? buying OTM SP500 or VIX puts seems the most obvious answer but I am not sure if most adequate.

Thank you
More...
You could simulate a backtest on your short puts and combine the returns with a long put like this one in SPY:
98e2bc9346c279b6c7180ac89ce11abf.png
 
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