image FMX | Connect (Reported 9/28/2011)

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

December Gold settled at $1,618.10 per troy ounce, a loss of $34.40 for the day.


Market Recap:

After trading sideways much of the day, Gold prices dropped abruptly mid-day, undercut by a surging dollar and cross-commodity selling. Volatility and puts were bid on fears of an imminent washout and calls above the market continue to be sold vociferously. December was particularly active, with more than 10,000 of the 1880 Calls being sold, first in the 1810/1880 1x2 Call spread and later in butterfly form with the addition of the 1930 Call. Calls were also sold via a February 1800/2000/2050 Call tree. November and December puts were bid, with speculators taking an interest in the 1500 strike. On the day volatility was 1-2% higher across the term structures, and fences traded toward the puts.

 

Directional Commentary: 

Options: Options behavior was bearish. Puts were bought and calls were heavily sold. Volatility was also bid, but this is not nearly as important a factor directionally. Options suggest the market is likely to sell lower. Conclusion: Bearish

 

Technical: Gold broke below the 100-day moving average, settling at 1618.80. From here gold is likely to trade sideways to lower and eventually retest the 200-day moving average near 1530. Gold bounced strongly after the initial sell-off Sunday but October options expiration may have helped exaggerate the movement. Our technical indicators are still showing weak buying sentiment and gold needs to establish a firmer base before it can rally again. Until it does we expect the attrition to continue. Conclusion: Bearish

 

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Active Options

V 1675 C, 1775 C

X 1375 P

G 1800C, 2000 C, 2050 C Call Tree

Z 1810/1880 1x2 Call Spread

Z12 2500 C

 

ATM Volatility Curve:

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As of 1:30 P.M.

 

Volatility Smile:

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***From NYMEX Settlement

 

End of Day Straddles

GC      
  Future Bid Offer
X11 1620 122 126
Z11 1620 163 167
F12 1620 202 206
G12 1620 232 236
H12 1620 256 260
J12 1620 281 285
K12 1625 301 305
M12 1625 321 325
N12 1625 339 343
Q12 1625 355 359
U12 1625 372 376
V12 1625 385 389
X12 1630 399 403
Z12 1630 413 417

As of 1:30 P.M. 

 

 

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