FMX | Connect (Reported 5/02/2011)
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 $1540.40 per troy ounce, a loss of $16.70 for the day. Gold options were offered after futures wrenched lower overnight.
Commentary & Analysis:
The market started its day having been swept to $1516 and change last night. This happened during New Zealand hours, just as it had happened the night before to silver. This “flash crash” can most likely be attributed to physical sellers who had order flow or someone gunning for stops. Volatility was offered from the opening, aggressively and heavily, all day long and all during Comex hours. For example, the December 1550 straddle came in approximately $9 from yesterday, even with the market down as much as $15 at one point. Call selling was rampant, primarily in the June 1600 area, where profit taking was the motivation. August volatility was also finally put in line with the rest of the curve via selling of several sorts. Skew was heavily offered. Although there was no heavy put buying, puts were marked down less on the day than calls. While some big funds put out some complex structures (see active options below), for the most part, today was marked by participants avoiding falling knives.
Post-Comex close the market traded down to 1527 and is currently trading 1535. Options tone reversed aggressively. Straddles went bid, puts went bid and calls were not offered. It feels a little like panic on the downside with June leading the way in options bids. The June 1400 P is trading $1.50 as we speak, after an equivalent settlement of $1 on the Comex close. In conclusion, put tails are up, calls tails are stable, and tight fences moved toward the put. We will see what happens tomorrow.
To the professional who want to buy dips, he should put in his order tonight as New Zealand hours may bring about another round of selling.
Active Options
M 1600 C
Q 1450 P, Q 1650 C
M 1425/1525 C. Combo vs. Q 1500/1525 C. Combo
N 1525/1550 Strangle vs 2 Q 1450/1650 Strangle
ATM Volatility Curve:
As of 4:00 P.M.
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| M11 | 1540 | 48 | 52 |
| N11 | 1540 | 79 | 83 |
| Q11 | 1540 | 103 | 107 |
| V11 | 1545 | 145 | 149 |
| Z11 | 1545 | 179 | 183 |
| G12 | 1545 | 216 | 220 |
| J12 | 1545 | 249 | 253 |
| M12 | 1550 | 277 | 281 |
As of 4:00 P.M.
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End Of Day Straddles
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