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The Parties’ Experts
Mr. Natenberg
Respondent’s first expert witness, Sheldon Henry Natenberg,
received a B.A. in mathematics from the University of Illinois.
After working in unrelated fields for 10 years, he became an
independent option trader in 1982. Mr. Natenberg is an options
consultant and conducts educational seminars for traders all over
the world. He has written a book, Option Volatility and Pricing
Strategies, which was published in 1988 and revised in 1994. Mr.
Natenberg is a member of the Chicago Board of Trade.
Mr. Natenberg's report, rebuttal report, and testimony solely
addressed Tandrill's 1979 options spreads. Mr. Natenberg testified
that Tandrill’s options trades consisted of vertical put spreads,
with all the puts being in the money. Grouping the trades by
opening date and exercise price, he further testified that the
trades consisted of eight different put vertical spreads. Six
spreads were initially sold and later bought back, and two spreads
were initially purchased and later sold out. Mr. Natenberg opined
that in every one of the six spread positions initiated with the
sale of a vertical put spread, the spread was sold at a price so
low that a profit could be considered at best highly unlikely. He
further stated that when the spread positions were closed, they
then were bought back at a price greater than the maximum possible
spread value. Thus, according to Mr. Natenberg, profit was not the
motivation for the trades.
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