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9/11: Unusual volumes on Put
Options just before the attack. Swiss study
9/11
Blogger
Sunday September 30, 2007
September 11, 2001: Unusual volumes on Put Options
just before the attack. Swiss study
Says
the 11 September 2007 issue of Les Echos, the leading French financial
newspaper ]
The paper continues:
Six years after the attacks, a study has been released by two
professors of the university of Zurich on the atypical volumes
of put options placed before the attacks on World Trade Centre.
The authors, one specialist in derivatives, the other a specialist
in econometrics, studied the options to sell (put options), used
to speculate on the fall in the price of 20 large American groups.
(Read the full the French article below – Lesage translation)
“Atypical volumes, very rare on certain titles, lead to
suspicions of insider trading. " Six years after the attacks
of World Trade Center, it is the disconcerting conclusion of a
recent study by Marc Chesney and Loriano Mancini, professors at
the University of Zurich.
(Article continues below)
The authors, one a specialist in derivatives, the other a specialist
in econometrics, worked on the options to sell, used to speculate
on the fall, of 20 great American groups, in particular in aeronautics
and finance.
Their analysis relates to the transactions carried out between
the 6 and September 10, 2001 compared to the average volumes recorded
over long period (ten years for the majority of the companies).
The two specialists, in addition, calculated the probability
of several options of the same sector having significant volumes
in a few days.
"We tried to see whether the movements recorded on certain
titles little before the attacks were common. We show that, for
certain companies like American Airlines, United Airlines, Merrill
Lynch, Bank of America, Citigroup, Marsh & McLehnan, movements
are scarce from a statistical point of view, a fortiori in comparison
to the volumes observed for other values like Coke or Hewlett-Packard,
explains Marc Chesney, a former professor with (the prestigious
business school) HEC, author of "Money Laundering and Financing
of Terrorism" (published by Ellipses Editions).
“For example, 1.535 contracts of options to sell in the
term October 2001, with 30 dollars, were exchanged on American
Airlines on September 10, against a daily average of approximately
24 contracts over the three previous weeks "the fact that
the market is bear at the time" does not explain enough these
surprising volumes "
"Enormous" profits:
The authors also studied the profitability of the options to
sell, and of purchase, for an investor having bought a product
between the 6th and the 10th "For certain titles, the profits
were enormous. For example, investors having acquired options
to sell of Citigroup with a maturity at October 2001 could potentially
have gained more than 15 million dollars ",He said.
The conjunction of the data between volumes and profitability,
the two authors conclude "the probability that there were
offences of initiates (insider trading) is strong for American
Airlines, United Airlines, Merrill Lynch, Bank of America, Citigroup
and JP Morgan.
It is not a legal proof but it is the findings of statistical
methods confirming signs of irregularities ".
The study is certainly not the first on possible insider trading
in connection to the attacks but it is disconcerting in comparison
with the conclusions of the regulatory authorities. As of September
2001, the Securities Exchange Commission and its European counterparts
were interested in the atypical stock exchange movements before
the attacks.
In an official statement of July 2004, the American regulator
stated that it examined more than 9,5 million transactions in
the weeks preceding September 11, then delivered its conclusions
to the National Commission on the terrorist attacks (The 9/11
Comission).
According to this commission, unusual transactions certainly
took place but each had a non-criminal explanation. The authorities
evoke, for example, analyst’s investor advice to explain
certain rises of volumes.
Same tone from the ex-COB now the AMF (French SEC), which states
in its annual report of 2002: "the elements obtained forbid
to show any evidence that financial groups related to the instigators
of the attacks could have used the Stock Exchange to realise operations"
MARINA ALCARAZ
http://www.lesechos.fr/info/marches/4620847.htm
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