LOR therefore added an "override" check to the Black-Scholes strategy. "Every day we would say `if we were to take all the money out of the market and put it in cash and hold it through the expiration date, would we be able to deliver the floor?"' (Rubinstein interview). For certain clients-such as the Aetna Life Insurance Company, which was literally, not just figuratively, insuring portfolios-LOR added "jump protection," working out whether their positions would meet the conditions of the above override check if markets fell by a set amount (around 6 percent) so quickly that the portfolio could not be adjusted at all (Rubinstein interview).

Donald MacKenzie, An Engine, Not a Camera, loc. 806