Difference between revisions of "File:911 Abnormal Trading.pdf"

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{{Document
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|publication_date=2010/04/13
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|type=paper
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|description=Evidence of foreknowledge about the 9-11 terrorist attacks in the form of financial trading irregularities
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|leaked=No
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|draft=No
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|collection=No
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|authors=Wing-Keung Wong, Howard E. Thompson, Kweehong Teh
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|subjects=9-11/Insider Trading
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|source_name=SSRN
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|source_URL=http://ssrn.com/abstract=1588523
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|note=Wing-Keung Wong & Howard E. Thompson are from the School of Business, University of Wisconsin-Madison and Kweehong Teh is from the Department of Economics, National University of Singapore
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|declassified=No
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}}
 
<div align="center">
 
<div align="center">
===Was there Abnormal Trading in the S&P 500 Index Options Prior to the September 11 Attacks?===
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==Abstract==
 
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After the [[September 11 attacks]], several major newswires reported that there were insiders who tried to profiteer from the options market in anticipation of the event. We use the Student’s t-statistics and several non-parametric statistics to test whether there was abnormal trading in S&P 500 (SPX) index options prior to the September 11 attacks. Our findings from the out-of-the-money (OTM), at-the-money (ATM) and in-the-money (ITM) SPX index put options and ITM SPX index call options lead us to reject the null hypotheses that there was no abnormal trading in these contracts prior to the September 11 attacks. We also find evidence consistent with three bearish speculation strategies, namely the Put Purchase strategy, the Put Bear Spread strategy, and the Naked ITM Call Write strategy. In addition, we conclude that there is evidence of abnormal trading in the September 2001 OTM, ATM and ITM SPX index put options immediately after the 9-11 attacks. We also employ the CBOE VIX to confirm the conclusion drawn from the call and put options.  
'''Wing-Keung Wong'''<br/>
 
Department of Economics<br/>
 
Hong Kong Baptist University
 
 
 
'''Howard E. Thompson'''<br/>
 
School of Business<br/>
 
University of Wisconsin-Madison
 
 
 
And
 
 
 
'''Kweehong Teh'''<br/>
 
Department of Economics<br/>
 
National University of Singapore
 
</div>
 
 
 
==Abstract==  
 
After the September 11 attacks, several major newswires reported that there were insiders who tried to profiteer from the options market in anticipation of the event. We use the Student’s t-statistics and several non-parametric statistics to test whether there was abnormal trading in S&P 500 (SPX) index options prior to the September 11 attacks. Our findings from the out-of-the-money (OTM), at-the-money (ATM) and in-the-money (ITM) SPX index put options and ITM SPX index call options lead us to reject the null hypotheses that there was no abnormal trading in these contracts prior to the September 11 attacks. We also find evidence consistent with three bearish speculation strategies, namely the Put Purchase strategy, the Put Bear Spread strategy, and the Naked ITM Call Write strategy. In addition, we conclude that there is evidence of abnormal trading in the September 2001 OTM, ATM and ITM SPX index put options immediately after the 9-11 attacks. We also employ the CBOE VIX to confirm the conclusion drawn from the call and put options.  
 
  
 
'''This, in turn, is consistent with insiders anticipating the 9-11 attacks.'''
 
'''This, in turn, is consistent with insiders anticipating the 9-11 attacks.'''
 
[[Category:9/11]]
 
[[Category:9/11 Pre-Knowledge Evidence]]
 

Latest revision as of 12:15, 30 August 2015

Evidence of foreknowledge about the 9-11 terrorist attacks in the form of financial trading irregularities

Disclaimer (#3)Document.png paper  by Wing-Keung Wong, Howard E. Thompson, Kweehong Teh dated 2010/04/13
Subjects: 9-11/Insider Trading
Source: SSRN (Link)

Wing-Keung Wong & Howard E. Thompson are from the School of Business, University of Wisconsin-Madison and Kweehong Teh is from the Department of Economics, National University of Singapore

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Abstract

After the September 11 attacks, several major newswires reported that there were insiders who tried to profiteer from the options market in anticipation of the event. We use the Student’s t-statistics and several non-parametric statistics to test whether there was abnormal trading in S&P 500 (SPX) index options prior to the September 11 attacks. Our findings from the out-of-the-money (OTM), at-the-money (ATM) and in-the-money (ITM) SPX index put options and ITM SPX index call options lead us to reject the null hypotheses that there was no abnormal trading in these contracts prior to the September 11 attacks. We also find evidence consistent with three bearish speculation strategies, namely the Put Purchase strategy, the Put Bear Spread strategy, and the Naked ITM Call Write strategy. In addition, we conclude that there is evidence of abnormal trading in the September 2001 OTM, ATM and ITM SPX index put options immediately after the 9-11 attacks. We also employ the CBOE VIX to confirm the conclusion drawn from the call and put options.

This, in turn, is consistent with insiders anticipating the 9-11 attacks.

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