The following is the OptionBT sighting of    "Blade Runner".
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Title   :   "Blade Runner"      Position taken   :     November 28,2001
Position Description   :
7 Months out,
200 point vertical bear put spread for "credit",
long side out of money by 570 points,
short side out of money by 770 points.
Expiration/Settlement    :    June 2001 / Settlement = 991.33
Count   :                           200 pairs
Credit or (Debit)   :            $4,140,000
Margin   :                          $4,000,000
Results   :                          + $140,000

Comments   :   "Blade Runner"
  "Blade Runners" are extremely rare and if they don't cut it out they will become an extinct species. It is not clear whether they are planned or accidental.

On this day the S&P 500 Index (SPX) had the following range of values:
  O: 1149.5  
  H: 1149.5  
  L: 1128.29  
  C: 1128.52
By the end of the day the SPX was down 20.98 .

The "Blade Runner" bought the long side and sold the short side in two transactions. Having bought the 1700 put side, then the obvious choice would be to sell the 1500 put for the short to complete the vertical bear spread on puts. But, "au contraire", the "Blade Runner" recognized the fact (if not premeditated) that the market was plunging and all the puts were adding to their values very quickly so he later sold the 1900 puts instead.

If he had bought the 1700 and sold the 1500 in a single spread transaction for the bid and ask at the end of the day he would only have made about $26,000 and saved himself the burden of $4M in margin. However as it turns out a little over $4M is what he was able to pocket by the end of the day of this trade.

The idea here isn't about being clever, it's more about having the confidence (..let's hope it was that and not some screw up..) to let $10.8 million which he paid for the 1700 puts hang in the breeze for a couple of hours while the market retreats.

Well, congrats, it worked (but don't try this at home,kids)!!

For all his quick action and "legging in" the spread, "BR" only took home $140K. It's a shame that this level of courage isn't better rewarded. Maybe the plus side is having an extra $4,140,000 in your account for the seven months even though you have to give $4M of it back.
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