In 1988, I went to the Amex to trade the XMI, the major market index, which is an index based on 20 blue-chip stocks.
Q: Did you trade on the day of the crash (1989)
Yes. I came in short…
Q: Wow, that’s great.
No, I came in short straddles. I was short 20 calls and 20 puts. What was ironic about that day is that not only did the puts skyrocket as the the market crashed, but the calls also went up because volatility exploded. So I was losing on both sides of the trade.
Larry Benedict im “Hedge Funds Market Wizard”- Interview