-37-
and then on the Chicago Board of Trade as an independent floor
trader. He also was a principal of Frontier Limited, a commodity
trading advisory firm, and a vice president of Hedged Portfolio
Advisors, Inc., a firm that provided sophisticated tactical trading
data and advice to institutions. Since 1991, he has traded solely
on the Chicago Board of Trade.
Mr. Borst’s report and testimony dealt with Tandrill’s
Treasury bill futures contracts and Treasury bill options contracts
during the last 4 months of 1979.31 His primary conclusion was that
Tandrill’s transactions “had the potential to earn a profit”.
Treasury Bill Futures Contracts
For the period beginning September 29, 1979, Tandrill shorted
90-day Treasury bill futures contracts. This initial strategy
reflected Tandrill’s expectation that interest rates would
increase.32
Treasury Bill Options Contracts
For the period beginning September 29, 1979, Tandrill’s
Treasury bill options trading consisted of “selling” vertical put
31 In addition to his expert report, Mr. Borst prepared a
rebuttal report which briefly discussed gold and silver commodity
futures, commodity trading, and the Black-Scholes Model.
32 Short Treasury bill futures positions increase in value
as the price of Treasury bills decrease in value (when interest
rates increase). Conversely, short Treasury bill futures
positions decrease in value as the price of Treasury bills
increases (when interest rates decrease).
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