In the prospectus filed with the SEC[1], Goldman disclosed that "...with regard to your notes, from time to time, we and/or our affiliates: (1) expect to acquire, or dispose of positions in listed or over-the-counter options, futures or other instruments linked to the index stock, (2) may take or dispose of positions in the securities of the index stock issuer itself, (3) may take or dispose of positions in listed or over-the-counter options or other instruments based on indices designed to track the performance of the New York Stock Exchange or other components of the U.S. equity market, and/or (4) may take short positions in the index stock or other securities of the kind described above — i.e., we and/or our affiliates may sell securities of the kind that we do not own or that we borrow for delivery to purchaser."
Let me paraphrase Warren Buffett: if you're playing poker with the big boys and you don't know who the patsy is, you're the patsy.[2]
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[1] http://www.sec.gov/Archives/edgar/data/886982/00011046591300...
[2] Buffett's original quote: http://www.goodreads.com/quotes/29147-if-you-ve-been-playing...