FMX | Connect (Reported 9/29/2011)

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 $1,617.30 per troy ounce, a loss of $.80 for the day.

Market Recap:

Gold traded lower in the overnight session before finding support on some U.S. economic numbers this morning. Initial jobless claims fell by 37,000 and 2nd-quarter U.S. GDP growth was revised up to 1.3%, an improvement on initial estimates of 1%. Despite the data and signs that Europe is getting closer to reinforcing the EFSF with additional funding, trading was choppy across the asset closes. For many, these glimmers of improvements do little to allay concerns of a continuing decline.

Gold was practically unchanged on the day, but volatility remained firm, a sign of heightened uncertainty and a symptom of the extended movements this market is experiencing. Puts and put spreads were bid in the front months, coalescing around the 1500 strike, and with interest all the way through the 1350 strike. Premium continued to bleed out from calls, moving fences toward the puts. Volume was light on the day, but this was mostly to be expected. The market temperament was much the same as it was yesterday.

 

Directional Commentary: 

Options: The trend in options behavior remains strong despite subdued futures movement. Volatility and puts remain bid, while calls are being sold cheaper and cheaper. Options are reflecting strong concerns of a sharp sell-off and decreased expectations of a rally. Conclusion: Bearish

 

Technical: December Gold traded to 1585 on the lows before finishing the day slightly lower than unchanged. Technically, very little from yesterday has changed, all though it should be noted bullion could not break above resistance at the 100-day moving average. The high was 1637.90 and the average is 1639.30. This supports our bear stance: We expect gold to trade sideways to lower, eventually retesting the 200-day moving average near 1530 and a break below the 200-day moving average could prompt a truly violent sell-off all the way to the mid-1200s. Conclusion: Bearish

 

 

 

Active Options

X 1500 P

G 1350 P

M 1575 Straddle

Q 2300 C

 

 

ATM Volatility Curve:

As of 1:30 P.M.

 

Volatility Smile:

***From NYMEX Settlement

 

End of Day Straddles

GC
	Future	Bid	Offer
X11	1615	117	121
Z11	1615	164	168
F12	1620	203	207
G12	1620	232	236
H12	1620	257	261
J12	1620	283	287
K12	1620	304	308
M12	1620	323	327
N12	1625	344	348
Q12	1625	361	365
U12	1625	380	384
V12	1625	394	398
X12	1630	409	413
Z12	1630	424	428

As of 1:30 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.