Abstract
On October 23, 1992, a series of improper trades by two individuals involving positions in an estimated 12,000 December Treasury bond futures contracts and more than 24,000 put option contracts disrupted the Treasury bond futures market. This study describes the events and the traders' strategy, and it investigates the impact of this trading activity on the variance of returns. Empirical tests show that return volatility increased sharply following the trades and that the market took almost 149 minuses to settle from the time the trades were executed. The effects took another one hour to decay.