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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
Published by: The University of Chicago Press
Stable URL: http://www.jstor.org/stable/10.1086/503645
Page Count: 24
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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© 2006 by The University of Chicago. All rights reserved.