imageFMX | Connect (Reported 10/27/2011)

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 $1,747.70 per troy ounce, a gain of $24.20 for the day.


Market Recap:

Gold extended its gains on Thursday as part of a broader relief rally. Collectively, markets breathed a sigh of relief at the apparent progress out of Europe and as U.S. 3rd Quarter GDP grew by 2.5%.  As part of the deal, the EU and IMF reportedly negotiated a 50 percent write-off with bankers on Greek debt; this number was chosen with the intention of reducing the Greek debt-to-GDP ratio to 120% by 2020 and staving off a default. Even viewed skeptically, some investors may take a measure of relief at the new levels of intervention the EU is prepared to take to stabilize the region.

December Gold rallied on Thursday, pushing to a new monthly high. Options activity was dynamic, with fresh buying continuing to come into the market. In particular, the December 1800 Call and April 1800/2000 Call Spread received a lot of attention. Volatility was offered on the higher move, and moved sharply lower on the temporary resolution out of Europe. On the day, call skew was higher and puts were offered.

 

Directional Commentary: 

Options: Options behavior was somewhat bullish. Skew trended toward the calls, but volatility was heavily offered. All in all, options activity was bullish but we will want to see if the trend persists through next week. Conclusion: Bullish

Technical: Gold continued its rally on Thursday, extending past 1750 on the highs.  The next upside objective is 1789, after which futures would face increased resistance. Slow stochastics are signaling that gold may be nearing overbought territory, which is consistent with the target. While we are bullish for the near-term a settlement below 1711 would likely signal the end of the rally, and a sell-off to the mid 1650s. Conclusion: Bullish

 

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Active Options

Z 1800 C, Z 2000 C

J 1750 P

J  1800/2000 Call Spread

 

 

 

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
Z11 1750 89 93
F12 1750 144 148
G12 1750 181 185
H12 1750 211 215
J12 1750 243 247
K12 1755 269 273
M12 1755 293 297
N12 1755 319 323
Q12 1755 342 346
U12 1755 364 368
V12 1755 382 386
X12 1760 400 404
Z12 1760 419 423

As of 1:30 P.M. 

 

 

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