image FMX | Connect (Reported 6/20/2011)

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 $1542 per troy ounce, a gain of $2.90 for the day.  Options activity was lackluster and disinterested despite the European crises.

Market Recap:

The market opened and volatility was offered in every month except for July. This was merely a function of July premium being sold before the weekend. Trading was thin and disinteresting in all three venues; COMEX, GLOBEX and OTC.

The Euro was stronger today putting some pressure on the dollar. In light of the lack of resolve of the ECB to fix the Greek problem, we don’t see the reason for the Euro to rally. On the back of the weaker dollar, gold held its own. Options however did not. Straddles were lower by 7 ticks to a dollar across the board. The Dec 2012, 2000 call buyer was noticeably absent, but speculators were sellers of call spreads in August.

The other notable thing was that starting today the CME listed additional months in options. The metals contracts are continuous from spot till December 2012. And true to form, the first order in the new month September, was a straddle sale from a dealer to locals.


Directional Commentary: 

Options: Options activity gave no fresh clues as to the markets direction. Risk reversals were quoted by market makers looking to buy calls. In short, there is call demand out there, which is not necessarily bullish. However, we have yet to see dealers sell calls. Options Conclusion: Neutral

Technical's: Fund buying came in today in the early part and there are growing rumors of large stop loss orders in the 1553 area. This makes allot of sense considering the congestion and resistance just beneath it. The market has failed there several times and it is beginning to look like the next run up will pierce it decidedly.

The problem is we can’t get anywhere near 1550 now. It’s starting to feel like if we don’t get through 1550 soon, a major wash out could occur. For now we will stick with our numbers; Through 1550 gets you 1575, Settlement under 1536 gets you 1520 and below. Technical Conclusion: Neutral

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Active Options

N1600

N1500 call

Q1610

 

 ATM Volatility Curve:

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As of 4:00 P.M.

 

Volatility Smile:

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***From NYMEX Settlement

 

End of Day Straddles

GC    
  Future Straddle
N11 1540 23.026
Q11 1540 56.27
U11 1545 80.2
V11 1545 104.33
X11 1545 123.34
Z11 1545 140.4
F12 1545 160.28
G12 1545 175.96
H12 1545 189.97
J12 1545 207.06
K12 1550 220.3
M12 1550 238
N12 1550 249.8
Q12 1550 263.46
U12 1555 277.68
V12 1555 288.88
X12 1555 301.9
Z12 1555 315.18

As of 4:00 P.M. 

 

 

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