The following is the OptionBT sighting of    "NE Dec 03".
Go to Description Section
Title   :   "NE Dec 03"
Position Description   :
     Position taken   :     July 31,2002
     Seventeen Months out,
     Four part Call Backspread Combination (a Nord Express),
     (short)03Dec1100 Calls
     (long) 03Dec1200 Calls (times 2)
     (short)03Dec1300 Calls
Expiration/Settlement    :    Dec 19,2003 / Settlement = 1091.61
Count   :                           1000 pairs (times 2)
Credit or (Debit)   :            + $800,000
Margin   :                          $ 10 M
Results   :                          + $800,000 (SPX settlement was below 1100)


Comments   :   "NE Dec 03".

This is a Nord Express with a $10m margin requirement. As mentioned in other Nord Express write-ups and the studies, these guys are fantastic. This one however at the time of this writing (in the Summer 2003) appears a little close to the line. That is, if the SPX stays below 1100 then there is no problem. On the other hand if the SPX heads up it must charge the 1100 mark by December 2003 for "NE Dec 03" to bail in the black. If the SPX were to charge past 1100 then the center 03Dec1200 Calls will explode and the deeper in the money short 03Dec1100 Calls will not keep up. The position can still be closed with a profit if everything lines up. This is the beauty of the NE position.

After a year of holding this position "NE Dec 03" watched the SPX in June of 2003 pass over the 1000 point level briefly and then back off. Somehow these "NE" guys always seem to get it right.

If "NE Dec 03" is right then the SPX will be below 1100 at the December 2003 settlement. If this all works out then "NE Dec 03" will be posting an 8% gain on his margin. Not bad.

After Settlement Notes (December 2003):
After a year and a half of following "NE Dec 03" it is nice to see that the NE legend lives on. With the settlement of the SPX at 1091.61 on the 3rd Friday open in December 2003 our candidate made the Hall of Fame as an $800K winner.
Congratulations again.


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