Jane Street’s Indian Options Trade Was Too Good

Last year, Jane Street Group sued Millennium Management for allegedly stealing its secret trade ideas. Jane Street had employed a couple of traders who discovered a trading strategy in the [redacted] market. Jane Street did some initial testing and found results that were “counterintuitive, unexpected, and initially met with significant skepticism and incredulity internally at Jane Street”: It made so much money that everyone thought it was a mistake. Jane Street started running the strategy in the [redacted] market and made a lot of money. Eventually the traders left for Millennium, and then Millennium allegedly started running the same strategy, eating into Jane Street’s incredible profits.

In its lawsuit, Jane Street did not describe the strategy, or even name the [redacted] market in which it was operating, because “even identifying the country involved would lead to others ‘picking apart’ the details.” But in a court hearing, Millennium’s lawyers repeatedly said that the strategy involved options trades in India, “at multiple points apologizing to the judge for doing so.” Oops! Oh well.