-16-
Six of the options spreads were executed through Pershing.
These spreads were all credit spreads, so-called because Tandrill
received money or a credit to its account when it established the
spreads.10 These spreads involved the sale of put options having
a higher dollar exercise price and the purchase of puts with a
lower dollar exercise price. The other two options spreads were
executed through Arbitrage Management. Both of these spreads were
debit spreads, so-called because Tandrill paid money or suffered a
debit of its account when it established the spreads. These
spreads involved the sale of put options having a lower dollar
exercise price and the purchase of put options having a higher
dollar exercise price.
b. Futures Transactions
Tandrill's futures transactions generally had the following
characteristics: (1) Most took the form of straddles or spreads;
(2) Tandrill's British pound and Swiss franc futures trading took
place on the International Monetary Market; (3) the Treasury bill
futures trading took place on the Chicago Mercantile Exchange; (4)
the Treasury bond and GNMA futures trading took place on the
Chicago Board of Trade; (5) the sugar futures trading took place on
the Coffee, Cocoa and Sugar Exchange; (6) the gold, silver, and
copper futures trading took place on the COMEX; (7) the trading in
10 Vertical spreads, like individual options, can either
be purchased or sold. These spreads were sold by Tandrill.
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