image

FMX | Connect (Reported 6/08/2011)

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 $1538.70 per troy ounce, a loss of $5.30 for the day.  The market stumbled back from an early deficit and closed without any real resolution in options.

Options Commentary:

Futures were called lower after trading as low as 1531.80 overnight. They began to trek higher almost immediately however, as bullish speculators came in purchasing calls and ratio call spreads. First, the October 1600/1690 1x2 Call spread was purchased by a fund about a 1,000 times.  At that moment it seemed like the call wing would collapse under the weight of the two options that liquidity providers bought (the 1690s). Soon thereafter a buyer of the December 1850 Call surfaced on Globex, rapidly amassing over 1,500 contracts at prices between 10.8-11. We think this was a fund or a private bank buy recommendation.

Dealers started the day buying put and selling call in October in risk reversal form. By the end of the day they were seen selling straddles. On the day volatility was unchanged, and call skew was bid. Call buying in August was conspicuously absent, suggesting it may be past its prime and that speculators are turning their interest to December instead. All in all, it was an odd day. Today was especially peculiar because of impulsive call-buying during the sell-off, which didn’t seem to make sense. There didn’t seem to be any reason to rush; the market was down.

 

 Directional Analysis: 

Up until the close options were saying future dips should be bought. As we write this, however, calls are being offered and puts are being bid in July and August.

While it is tempting to interpret today’s activity as bearish we are cautiously neutral going forward. We may be seeing the return of range-bound trading and would not become directionally biased until a settlement of 1555 or above or 1520 or below. 1555 is a breakdown level and 1520 is the 20-day moving average for August.

 

image 

 

Active Options

V 1450/1650 Fence

V 1600/1690 1x2 C. spread

Z 1850 C

 

ATM Volatility Curve:

image

As of 4:00 P.M.

 

Volatility Smile:

image

***From NYMEX Settlement

 

End of Day Straddles

GC      
  Future Bid Offer
N11 1540 37 41
Q11 1540 64 68
V11 1540 109 113
Z11 1540 145 149
G12 1540 183 187
J12 1545 213 217
M12 1545 240 244

As of 4:00 P.M. 

 

 

Premium Subscribers

(click here to register):

Volumes & Open Interest

End Of Day Straddles

Trade Blotter

Settlements

 

-----

About FMX: FMX Connect is an information, data, and analytics portal for Commodities. The portal provides an all-in-one package including essential market data, independent third party research, industry news, and commodity trading tools. FMX Connect provides efficient, effective, and thorough data that bridges all aspects of commodities onto one screen. The Result; A user friendly application for hedge fund traders, OTC brokers, individual investors, and industry participants
-----
Note: The information presented, while from sources generally believed to be reliable, is not guaranteed and may not be complete. FMX | Connect makes no representations or warranties regarding the correctness of any opinions or information. Past results are not necessarily indicative of future results. Nothing in this report should be construed as a representation to buy or sell shares, futures or options, which contain considerable risks. For internal client distribution only. Any reproduction, re-transmission, or distribution of this report without permission is prohibited. Media correspondents or reporters may not quote any one page or section in its entirety and must attribute all quotes, ideas or concepts herein. Copyright FMX | Connect, ©2009-2010. All rights reserved.