corresponded to the increment observed on September 10th and lead to a cumulative gain of more than one million (Gt = $1,179,171). The lower graph in Figure 1 shows the cumulative gain for all transactions selected using our three criteria. The trade in put options of AMR corresponds to the transaction that leads to the highest gains in the shortest time interval in the period we are considering. Figure 3 shows that the trading volume after September 17th was negligible meaning that the main gain was realized through exercise and not selling the options. Similar conclusions can be reached for the other trades selected using our procedure. For example two trading days before the terrorist attacks 4,179 put options (at 98.5% quantile of its two-year empirical distribution) on Boeing were issued. The underlying stock was traded at $45.18 and the option had a strike of $50. On September 17th, the stock was traded at $35.8. Six days afterwards these options were exercised leading to gains of more than $5 million. Concerning Bank of America, a large increment of 3,380 in open interest (at 96.3% quantile of its two-year empirical distribution) took place on September 7th for an option with a strike of $60 when the underlying asset had a value of $58.59 (on September 17th, the underlying stock had a value of $54.35). The exercise of those options in the following seven days resulted in net gains of almost $2 million; for Merrill Lynch, on September 10th, 5,615 put options (at 99.1% quantile of its two-year empirical distribution) with strike $50 were issued, the underlying stock had a value of $46.85. On September 17th the underlying stock was traded at $41.48. Less than six days later these options had been exercised leading to gains of around $4.5 million. For the remaining companies similar results can be reached from the reported tables. Based on Tables 2 and 4, the total gains in the airline sector amount to more than $16 million, whereas in the banking sector $11 million in gains have been computed. Interestingly, in nearly all cases the hypothesis of non-hedging cannot be rejected.12

12In the article “Not much stock in put conspiracy: the attacks on New York City and Washington have led to a new urban legend, namely that inside traders used put options on airline stocks to line terrorist pockets” published on June 3th, 2002 by Kelly Patricia O’Meara in Insight on the News, other repeated spikes of volumes of put options on American Airlines and United Airlines during the year before 9/11 are highlighted and used as argument that what occurred in the days leading up to 9/11 was not as unusual as other theories claim. Both our methods do not select those option trades mainly because those spikes in volume do not correspond to large increments in open interest.