FMX | Connect (Reported 10/13/2011)
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 $1,668.50 per troy ounce, a loss of $14.10 for the day.
Market Recap:
Gold slumped on Thursday, taking its cue from tepid economic data and a stronger dollar. While the recent trend has been higher, speculative interest has been somewhat lackluster overall, and call buying was sparse today. Volatility has been offered during the rally, and may encourage bulls to sell puts rather than purchase calls if they are taking a position in options. Opportunities abound for the sophisticated hedger. The majority of today’s option trades were in November and December, and the 45-30 delta calls remain well offered. A sizeable number of the December 1200 puts were sold, but the trend in fences across the term structure was gently toward the puts. This rally is showing signs of fatigue, and trading this closely to the 20-day moving average, gold is also well positioned for a break-out.
Directional Commentary:
Options: Yesterday’s tenor was mildly bullish and today options were more impassive. Call buying eased, volatility continued to contract, and the expectation of any continuing rally remains orderly. It’s difficult to draw too strong a conclusion overall, but with November options expiration coming up on the 26th we may see some more decisive trades in the day of ahead. Conclusion: Neutral
Technical: December Gold drifted lower on Thursday, failing to settle above resistance at the 20-day moving average (1680) but bouncing off support at the 50-day moving average (1654). Gold is trading a constricted range, and while the trend has been higher over the past several weeks we think gold is forming a bearish continuation pattern known as the ascending wedge. If gold breaks through the bottom trendline (near 1654) it is likely to retest the September 26th low (1535) and the vitally important 200-day moving average. Regardless of whether gold conforms to this pattern or not, we are reluctant to espouse buying until we see open interest start to pick up again. Conclusion: Bearish
Active Options
X 1800 C, X 1550 P
Z 1800 C, Z 2100 C
Z 1200 P
ATM Volatility Curve:
As of 1:30 P.M.
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| X11 | 1668.5 | 62 | 66 |
| Z11 | 1668.5 | 116 | 120 |
| F12 | 1670.4 | 164 | 168 |
| G12 | 1670.4 | 198 | 202 |
| H12 | 1672 | 226 | 230 |
| J12 | 1672 | 255 | 259 |
| K12 | 1673.6 | 279 | 283 |
| M12 | 1673.6 | 301 | 305 |
| N12 | 1675.2 | 324 | 328 |
| Q12 | 1675.2 | 344 | 348 |
| U12 | 1677 | 365 | 369 |
| V12 | 1677 | 382 | 386 |
| X12 | 1679.3 | 399 | 403 |
| Z12 | 1679.3 | 415 | 419 |
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.