The following is the OptionBT sighting of    "Nord Express".
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Title   :   "Nord Express"      Position taken   :     February 26,2001
Position Description   :
Two Months out,
Four part Call Backspread Combination,
(short)01Apr1325 Call
(short)01Apr1425 Call
(long) 01Apr1375 Call (times 2)
Expiration/Settlement    :    April 2001 / Settlement = 1248.65
Count   :                           6000 pairs (times 2)
Credit or (Debit)   :            + $4,440,000
Margin   :                          $ 30 M
Results   :                          + $4,440,000

Comments   :
  "Nord Express" combinations are fairly rare which is good because they are difficult to comprehend. The near month volumes are very active and there is no way to accurately determine the exact count on this BigFoot. The idea that is represented by the "Nord Express" is clearly interesting. For the example above a count of 6000 was set for each leg of this combination.
The beauty of the "Nord Express" is not immediately obvious.
The thing that makes this combination special is the "safety factor". If you look at the margin required as the potential loss, then this spread combo appears dangerous. However because of the the middle long calls the risk is greatly reduced.
In the event that "Nord Express" were to guess wrong (which he didn't in this case) then the long middle calls would save the day. This is because as the near short calls are overrun then the long middle calls (which he owns twice as many of) would balloon up also. The more overrun then the bigger the middle long calls will become. This will give "Nord Express" the chance to bail that he would not have if it weren't for these middle long calls.
The truth is that the "Nord Express" was way out in front all the way.

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