FMX | Connect (Reported 9/30/2011)
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 $1,622..0 per troy ounce, a gain of $5.00 for the day.
Market Recap:
U.S. equities and commodity prices sagged on reports of a slowdown in Chinese manufacturing, overshadowing a better-than-expected Chicago Purchasing Manager Index (60.4 for September, up from 56.5 in August). Treasury bonds and the U.S. dollar rallied, while gold finished marginally higher. The market is still nervous about a European debt resolution, and volatility remains high as a consequence. Despite only small movement for the 2nd day in a row (and gold traded a tight $35 range) volatility remained quite firm going into the weekend, with the short-dated months taking the lion’s share of the losses. Puts remained bid, and while some market participants took advantage of the low call skew to load up on some November Calls (notably the 1800 and 2000 Calls), calls were still net offered across the term structure. Chinese markets will be closed next week for the National holiday.
Directional Commentary:
Options: We have not seen any significant changes in options temperament over the last couple of days. Today, volatility was lower in the front months ahead of the weekend, but remained firm across the term structure overall. Puts in November and December continue to receive high levels of interest, and calls continue to be offered overall. The short to intermediate view from options is bearish. Conclusion: Bearish
Technical: Gold traded a tight range, before settling $5 higher on the day. December gold remains below the 100-day moving average and is poised to trade sideways to lower. While we would look for a settlement above either the 50-day or 100-day moving average as focal points to regain momentum, we think gold is likely to retest the 200-day moving average near 1530 before it can rally in earnest. Moreover, as we mentioned before, 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 1800 C, X 2000 C
X 1550 P, X 1450 P
Z 1525 P, 1500 P
ATM Volatility Curve:
As of 1:30 P.M.
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| X11 | 1620 | 108 | 112 |
| Z11 | 1620 | 156 | 160 |
| F12 | 1625 | 198 | 202 |
| G12 | 1625 | 230 | 234 |
| H12 | 1625 | 255 | 259 |
| J12 | 1625 | 281 | 285 |
| K12 | 1625 | 302 | 306 |
| M12 | 1625 | 322 | 326 |
| N12 | 1630 | 343 | 347 |
| Q12 | 1630 | 359 | 363 |
| U12 | 1630 | 377 | 381 |
| V12 | 1630 | 392 | 396 |
| X12 | 1635 | 407 | 411 |
| Z12 | 1635 | 424 | 428 |
As of 1:30 P.M.
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