To learn more about The Black Swan Option or portfolio insurance trade please contact Lew Goldman at lgoldman@goldmanlandowcapital.com or call 516-223-3932.

The Black Swan Option (Portfolio Insurance Trade) gives the option holder the sole right to cancel a long Repo position at will, at the same price the long Repo position was first established.  To capture the value of this option, the holder will have set a simultaneous short Repo position which matches the long Repo position, and will cancel the short Repo position when spreads widened due to large or small black swan events, or because spreads have widened (between the cash bond and term Repo) due to market forces.  The Black Swan Option is a means of protecting assets under management which could be at risk when a significant or mini black swan event occurs.  Goldman Landow’s clients are providers of U S Treasury collateral to cash providers.

The Black Swan Option or Portfolio Insurance trade