FMX | Connect (Reported 5/28/10)

With the market unchanged, option volatility was offered heavily primarily in August where the 1250 straddle actively traded. Dealers were squaring up positions for the long holiday. The entire curve was soft through the day until the last hour when volatility firmed up as the market made new lows. Upon rallying with the news from Spain, volatility softened slightly. On the day, options were worth less than they were in the beginning.

FMX | Connect (Reported 5/27/10)

Activity was light, with the most active option being 2-way business in the July 1500 dollar call, a three tick item. The December 11 2000/3000 call spread was quoted again but nothing traded. December 12 5000 calls traded 3.5 and 4. Why anyone would buy that options we have no idea. For that matter, why anyone would  sell that option we have no idea as well. It’s an outlier in every sense of the word and cannot be hedged with anything except with the very same option. Good luck with liquidity if you need to get out. Volatility was soft down, approx 1% in August, tailing off going further back in the curve.

FMX | Connect (Reported 5/26/10)

With the market up over $10, volatility was hit in the morning and proceeded to soften with every uptick in the futures. August option sellers materialized in strangle form and there were hedged call sellers  in December 10 through June 11. Late in the day, a  directional buyer materialized in call spread form in the  December 11 2000/3000 call spread. Vol proceeded to firm up the rest of the day as MM tried to get back the vol. they sold.

FMX | Connect (Reported 5/25/10)

A relatively uneventful day past the June expiration. October call spread were bought in the rally, other than that activity was very muted as most traders focused on squaring up June options expiring position. Most of the open interest was concentrated at the 1200 strike (click for pin risk alert), and the market did gravitate towards that area but failed to pin the strike. On the day, call skew firmed up slightly but real trading firmed to materialize.

FMX | Connect (Reported 5/24/10)

Reasonably slow day throughout today’s rally.  This  morning there were some 40 delta call buyers in July and August. As the market rallied there was call selling in December once again in the form of the 1200/1500 1*2 call spreads.  Straddles were offered heavy with April leading the way. The back month vol. seemed to be less bid in the rally. We’ll find out more tomorrow.

Gold ATM Volatility Curve:

Gold Volatility Smile:

   ***From NYMEX Settlements

Gold Options Top Open Interest By Month: