University of Chicago Journal of business paper on 9/11 stock trading
Just got wind of this, but apparently it's been out there since July 2006. The money quote:
After September 11, 2001, there was a great deal of speculation that the terrorists or their associates had traded in the option market on advanced knowledge of the impending attacks. This paper generates systematic information about option market activity that can be used to assess the option trading that precedes any event of interest. Examination of the option trading leading up to September 11 reveals that there was an unusually high level of put buying. This finding is consistent with informed investors having traded options in advance of the attacks.