The following is the OptionBT sighting of
"GMR (Gap Man Record)".
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"GMR (Gap Man Record)"
Position Description   :
Position taken   :
December 23, 2003
3 Months out,
Two long positions (the 04Mar500 Calls(Last=$591.10) and the 04Mar1500 Puts(Last=$406.00)),
Two short positions (the 04Mar500 Puts(Last=$0.05) and the 04Mar1500 Calls(Last=$0.05)),
No Margin required,
March 19,2004 / Settlement = 1120.18
7450 on each of the four legs.
Credit or (Debit)   :
No Margin Required.
+$2,235,000 (at Settlement)
The "GMR (Gap Man Record)" people are lenders. This is the biggest GapMan transaction recorded
to date. What is happening here is that the "GMR" group is lending $742,765,000 to someone who is
the short side of this transaction. As the Gap Man Study shows this is not an uncommon
occurance but the size of this one is a record. Understand that the gap is a result of the fact
that the premium paid for the 04Mar500 Call and the 04Mar1500 Put do not add up to 1000 points.
This means that at settlement this gap will be closed and the profit realized. The short
call and put on either end are just no margin required gravy to cover transaction cost.
Obviously the 500 put and the 1500 call are not going to go in the money but it really
doesn't make any difference since 'GMR' can not loose no matter what.
I have long wondered if The Gap Man was a foreshadow of a coming event. In this case the SPX
on the day of the trade closed at 1096.02. The SET for the SPX on the 19 of March 2004 was
1120.18. This surely doesn't qualify as a big move from December to March. Maybe this is what
the Gap Man is telling us. It's just that nothing is going to happen.
For sure someone needed to borrow $742M and that's what they got. I just want to know what
they used that $742M for. I know it is none of my business but a three month loan of this size
makes you wonder how the $2.2M cost could be justified. This money didn't just sit in someone's
As for the "GMR" group they are receiving a net plus of $2,235,000 for their
short term money which isn't that spectacular given that this is only .3% for
the three months from December '03 to March '04 settlement.
When I get more time I may go back and see if I can spot a borrower..
He would be the quy who is closing a lot of positions in order to pay back the loan probably
during the first part of March '04. This is not guaranteed you know. Nothing says that the
money you get from a loan from the Gap Man must be spent in the index options market.
Who knows, he might have done something entirely different with the money. Let's hope he showed
up with the $744M on settlement day or there will be someone out looking for him.
All kidding aside, "GMR" is still a Gap Man Record..
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