What is interesting is that their fund was already down -4.74% in January. For those trading at the time, were to crack in the short vol trade already starting to show?
Mav I then stand corrected. I personally never seen it or heard about it. 9 points for 1000 points away expiring in 4 days. When did your story take place? And what time it happened? Want to look at the data and compare it to Feb 6.
Preparing for a comeback... In letters to clients this month, Caine, a veteran of the 1990s technology boom who later went into finance, said he had planned to resume investing despite the losses.
I purchased CBOE data for May of 2010, and the prices (what ever was traded) were no where near Feb 6 of this year. So yeah, the prices during this event were unprecedented.
You got bad data. When I blew our guy out the spreads on .10 puts the day before were $20 wide. Yes, 20 dollars on puts there were nickel bid at ten cent offer the day before.
Strange, it came straight from CBOE? Do you happen to remember strikes and expirations on those puts?
Not exactly. I believe SPX was around 1200 at the time and these puts were staggered like 700, 800, 900, etc.