FMX | Connect (Reported 5/31/2011)
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
August Gold settled at $1536.80 per troy ounce, a loss of $0.50 for the day. Options trading was modest and volatility was offered.
Options Commentary:
Options activity mirrored the futures market today, with lackluster volumes and tepid interest. Today was first notice day in June futures and our guess is that bullion dealers were focused on that more than anything else. Volatility was offered heavily all day long for no particular reason except for a lack of activity and after thinking about it, that’s a good enough reason. Break-even is now $13 in July sloping up to $18.50 in February. After a 3-day weekend this was very disappointing for options longs. There was one large purchase of the August 1600 Call on the floor and while the buyer may have paid up a little relative to the other trades at the time, it was still lower compared to the opening levels.
Directional Analysis:
Options activity reasserted a bullish bias as puts were sold and calls were sold a little bit less, if you can call that bullish.
We remain at the high end of a trading range and while we are modestly bullish above 1532 we are wary of the break-down in the 1543 area we saw at the start of the month (see our last report for details). When you combine the moderately bullish sentiment shown from options and the trading range exemplified in the futures it seems wise to buy strength above 1543 if you are bullish. Conversely, bears may wish to sell here with a stop-out at that level.
Active Options
Q 1425 P
Q 1600 C
Z 1425 P
ATM Volatility Curve:
As of 4:00 P.M.
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| N11 | 1535 | 45 | 49 |
| Q11 | 1535 | 71 | 75 |
| V11 | 1540 | 116 | 120 |
| Z11 | 1540 | 151 | 155 |
| G12 | 1540 | 188 | 192 |
| J12 | 1540 | 218 | 222 |
| M12 | 1545 | 245 | 249 |
As of 4:00 P.M.
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