FMX | Connect (Reported 6/17/2011)
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 $1539.10 per troy ounce, a gain of $9.20 for the day. Futures broke for the upside on the latest wave of market anxiety.
Market Recap:
Gold options activity has been persistently jumpy the last couple of day. While the market longs for stability between ECB negotiations in Europe, discouraging economic indicators out of the U.S. and China, as well as large pullbacks in equities and energy, it finds itself trading in fits and starts. Reactions are kneejerk and explosive. Liquidity providers are skittish and maybe overexposed. The market witnessed another strong rally this morning and one gets the sense that option sellers are a little gun-shy. There was interest from straddle sellers this morning but after the market quickly ran up $12 they found themselves testing the waters come afternoon. Volatility has been bid across the term structure and speculators are taking a renewed interest in December 2012 options. The December 2012 1200 Put /2000 Call Strangle was bid and traded this morning, following an assortment of calls and ratio put spreads trading throughout the week.
Directional Commentary:
Options: Fresh money is starting to come into the market again, both near-term and backdated. Volatility is mostly firm in the face of even small moves and the possibility of range-bound trading. Plenty of calls remain to be sold in the front months but inventory isn’t being unloaded as aggressively as we’ve seen in the past (one exception, the August 1700 Call today). No one is sure that another bull move is coming but if it is, he does not want to get in the way. Options Conclusion: Neutral/Mildly Bullish
Technical's: Today’s settlement negates the bearish formation. A settlement above 1545 or print above 1550 could signal an advance higher. Futures have not traded below the the 50-day moving average (currently 1512) since February and it should be monitored closely during a sell-off. Technical Conclusion: Neutral
Active Options
Z 1800/2000 C.sprd vs. Z 1200 P. with V 1450 P. 4-Way
Q 1300 P
Q 1700 C
ATM Volatility Curve:
As of 4:00 P.M.
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| N11 | 1540 | 26 | 30 |
| Q11 | 1540 | 58 | 62 |
| V11 | 1540 | 105 | 109 |
| Z11 | 1540 | 140 | 144 |
| G12 | 1545 | 176 | 180 |
| J12 | 1545 | 207 | 211 |
| M12 | 1545 | 233 | 237 |
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.