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Unusual Option Market Activity and the Terrorist Attacks of September 11, 2001

Allen M. Poteshman
The Journal of Business
Vol. 79, No. 4 (July 2006), pp. 1703-1726
DOI: 10.1086/503645
Stable URL:
Page Count: 24
Subjects: Finance Business
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Unusual Option Market Activity and the Terrorist Attacks of September 11, 2001
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After September 11, 2001, there was a great deal of speculation that the terrorists or their associates had traded in the option market on advanced knowledge of the impending attacks. This paper generates systematic information about option market activity that can be used to assess the option trading that precedes any event of interest. Examination of the option trading leading up to September 11 reveals that there was an unusually high level of put buying. This finding is consistent with informed investors having traded options in advance of the attacks.

Notes and References

This item contains 14 references.

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