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Rajiv:
Thanks. I was not aware of it. I will take a look,
Catherine
Catherine,
I don’t know whether you were aware of the following article
http://www.journals.uchicago.edu/doi/abs/10.1086/503645
The Journal of Business, 2006, vol. 79, no. 4)
© 2006 by The University of Chicago. All rights reserved.
0021-9398/2006/7904-0002$10.00
DOI: 10.1086/503645
Unusual Option Market Activity and the Terrorist Attacks of September 11, 2001*
Allen M. Poteshman
Abstract:
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.
Link to the pdf of article
http://www.journals.uchicago.edu/doi/pdf/10.1086/503645