FMX | Connect (Reported 11/01/2011)
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 $1,711.50 per troy ounce, a loss of $13.40 for the day.
Market Recap:
Gold slipped lower on Tuesday, broadsided by news that Greek prime Minister George Papandreou would be putting the latest EU rescue plan to a public referendum. The Federal Open Market Committee began a meeting that will conclude tomorrow.
Volatility was sharply higher, suffused by a fresh wave of European distress. In early trading, puts were bid, both as outrights and in spread form. Both futures and options saw increased volumes from Monday, and more interest in back-dated options. While there was plenty of speculative activity in both calls and puts in December, today saw a variety of opinions across the term structure, including the purchase of both the April 1700/1550 1x2 Put Spread and the June 1800/2300 Call Spread. As the day wore on, gold gradually drifted back to yesterday’s levels. Futures were trading above 1720 approaching the Globex close.
Directional Commentary:
Options: Volatility was sharply higher on the day. Put skew was slightly higher, and call skew was mostly unchanged. Options aren’t giving strong directional indications. Conclusion: Neutral
Technical: Gold futures broke lower, touching 1682 on the low before settling at 1711.50. Today’s move is a bearish continuation, and combined with the overbought indications on the stochastics, likely to continue for the near-term. Bulls should look for a break above 1754, the October high,as an indication that the rally can continue. The next objective for bears is 1650, below the 20-day moving average of 1677. Conclusion: Somewhat Bearish
Active Options
Z 1690 P
Z 1750 C, 1800 C
G 2100 C
J 1700/1550 1x2 Put Spread
M 1800/2300 Ratio Call Spread
M 1500 P
ATM Volatility Curve:
As of 1:30 P.M.
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| Z11 | 1711.8 | 82 | 86 |
| F12 | 1713.9 | 136 | 140 |
| G12 | 1713.9 | 173 | 177 |
| H12 | 1715.6 | 203 | 207 |
| J12 | 1715.6 | 234 | 238 |
| K12 | 1717.4 | 261 | 265 |
| M12 | 1717.4 | 285 | 289 |
| N12 | 1719 | 310 | 314 |
| Q12 | 1719 | 332 | 336 |
| U12 | 1720.9 | 353 | 357 |
| V12 | 1720.9 | 370 | 374 |
| X12 | 1723 | 388 | 392 |
| Z12 | 1723 | 407 | 411 |
As of 1:30 P.M.
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End Of Day Straddles
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