The following is the OptionBT sighting of    "After 9/11".
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Title   :   "After 9/11"      Position taken   :     September 28,2001
Position Description   :
Nine Months out,
300 point vertical bear call spread for credit,
Margin required per pair $30,000/pair,
Short side out of the money by 360 points
Expiration/Settlement    :    June 2002 / Settlement = 991.33
Count   :                           1700 pairs
Credit or (Debit)   :            $357,000
Margin   :                          $30,000 per pair * 1700 = $51,000,000
Results   :                          Net = + $357,000

Comments   :   "After 9/11"

  "After 9/11" is a good example of the mind set of the S&P 500 index option traders after the suspension of trading for a week. There was serious doubt among the traders that the market would rebound any time soon.
"A9/11" represents a group that had correctly judged that the situation would not correct itself right away and a crippled market would have no large upside risk. Even though the margin requirement for this trade was incredible ($51M) there was little risk that the margin would be forfeited. The great likelyhood here is that the investors said to one another that even though this was a lot to tie up and the results were to be meager, it still made sense. Under these traumatic conditions the $357,000 earned from this trade was probably just enough to keep the lights burning.

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