FMX | Connect (Reported 4/25/2011)
The following is a report of Gold Option’s activity in the Over-The- Counter and Exchange traded venues. Information is compiled and summarized below.
Summary
June Gold settled at $1509.00 per troy ounce, a gain of $5.30 for the day. Volatility was bid tenaciously ahead of May expiration tomorrow. May open interest dictated much of the movement. Don’t miss this morning’s featured story: Market Manipulation: A Recipe in Three Parts.
Commentary & Analysis:
Gold climbed to fresh all-time highs overnight. As has frequently been the case in recent weeks, it sold off during the day only to eventually recover and resume its orderly rally. After trading as high as 1519.20 overnight, it traded as low as 1502 and settled at 1509. While this behavior seems more than a little bizarre the May expiration tomorrow is certainly a factor.
While gold futures sold off during the day, demand for options was largely insatiable. Volatility remained firm against the backdrop of May cleanup. The May 1500 P and 1520 C traded intermittently in size throughout the day. The other months were propped up by some sizeable bids of their own; the December 1700/1800 call spread traded over 3500 times this morning at prices between 11.90-12.20. The August 1600 call buyer, who was very active on Thursday, was back with a vengeance this afternoon. Over 2,000 of the call traded on globex, directing call skew sharply higher. Calls were bid aggressively across the term structure; volatility and skew finished the day marked significantly higher.
Anxiety is sure to run high going into what looks like an unusually precarious expiration tomorrow. Be sure to read our expiration commentary from this morning and check back tomorrow for an updated pin risk report. Good luck.
Active Options
K 1500 P
K 1520 C
Q 1600 C
Z 1700/1800 C. sprd
ATM Volatility Curve:
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| K11 | 1510 | 11 | 15 |
| M11 | 1510 | 51 | 55 |
| Q11 | 1510 | 98 | 102 |
| V11 | 1510 | 137 | 141 |
| Z11 | 1515 | 168 | 172 |
| G12 | 1515 | 202 | 206 |
| J12 | 1515 | 233 | 237 |
| M12 | 1520 | 259 | 263 |
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