FMX | Connect (Reported 5/24/2011)
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 $1523.30 per troy ounce, a gain of $7.90 for the day. Futures rallied and traders squared up their position ahead of the June options expiry.
Options Commentary:
After trading as high as 1529 overnight gold opened closer to 1525. Activity was light to moderate the day before June expiration with the majority of trading occurring in June and July. Market participants squared up positions in anticipation and did not have a whole lot to do otherwise. Volatility was bid during the rally but returned to near unchanged after futures stabilized. July saw some put selling and a buyer of the 1550 Call during this time. The 1600 Call buyer in October and December was absent but the back months stayed firm for the most part. Skew was slightly offered towards the end of the day as market makers became increasingly confident they would not be run over by a gargantuan order. Be sure to check back tomorrow morning for our Pin Risk report.
Active Options
M 1530 C
N 1550 C
N 1420 P
ATM Volatility Curve:
As of 4:00 P.M.
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| M11 | 1525 | 8 | 12 |
| N11 | 1525 | 56 | 60 |
| Q11 | 1525 | 81 | 85 |
| V11 | 1525 | 127 | 131 |
| Z11 | 1525 | 160 | 164 |
| G12 | 1530 | 195 | 199 |
| J12 | 1530 | 225 | 229 |
| M12 | 1530 | 251 | 255 |
As of 4:00 P.M.
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