If you happen to believe that almost all financial crises are manufactured events (with some lead time for the priviledged few), then a big bet on some "outlier" puts makes all the sense in the world.
In this case, why would you want to bet on a specific company (that, for all you know, might get rescued)? Why not pick up some puts on XLF or decide on the cheapest generic index?
If it's delisted, the shares and options would still trade on the pink sheets. If, however, GS goes back to being private via stock buyback, the stock will be fixed at the buyout price and the option will (for practical purposes) immediately.
