Apparently, she came across a Merrill research report earlier in the week that indicated that there was a HUGE put imbalance with $135 Billion delta ( exercise probability ) weighted open interest towards puts. As of the close on Friday, the 10th, this put exposure represented 40% of the open interest of the floor traded S&P futures contract. Historically, since 1997 there were 42 instances when the put imbalance on the 2nd Friday of the month before a non-triple witch expiry has been towards puts. Such an imbalance heading into non-triple witching expiry weeks produced an average of a 0.90% positive return in 27 of those cases, up until the Thursday before the Friday expiration. This comes to a 64% hit rate. She felt that the broker community was net short these puts to investors, and thus had to buy back futures in order to cover the "hedge" that they put on when they initially sold the puts to customers and sold futures. This is why we got the big rally on Thursday's last half hour, along with the rally off of the down opening on Friday. But apparently Miss Garnick got a bit too bullish for Friday's close. By the time the last hour came around, all of the "unwinding" had been completed.