FMX | Connect (Reported 11/03/2011)
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 $1,765.10 per troy ounce, a gain of $35.50 for the day.
Market Recap:
Gold continued to rally on Thursday, bolstered by an EBC interest rate cut and rumors of Greek Prime Minister George Papandreou’s imminent resignation. Traders also noted an improvement
Gold trended higher on Thursday, and options trading reflected the heightened demand. Call buyers are loading up and ready to make the most of a continuing rally. One way this is notable is the increased number of long-dated options being purchased. One can see that back-month volatility has outperformed front months for the past two trading sessions (see our volatility curve farther down the page). Put skew also contracted significantly, indicating that volatility should perform in a rally again.
Directional Commentary:
Options: Option behavior today was overwhelmingly bullish. Puts were offered, calls were bid, and anyone on the wrong side of an early fence trade is still stinging. We have spoken at length about the transition of the market from a call skew to a put skew, and now we are on our way back from a put skew market to a call skew market again. Conclusion: Bullish
Technical: December futures recorded gains of $35.50 on the day, only slightly off the 1768.30 high. The market remains in a near-term bull trend, and we expect the rally to extend to 1789 before encountering increased resistance. Above 1800, bulls may try attempt to push the market back to all-time highs of 1923.40. The first objective to the downside is 1710, followed by the 20-day moving average at 1886.50. Conclusion: Somewhat Bullish
Active Options
Z 1800 C, Z 2000 C
Z 1600 P
G 1625 P
J 1800 C
Q 1800 C
ATM Volatility Curve:
As of 1:30 P.M.
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| Z11 | 1765.1 | 81 | 85 |
| F12 | 1767.2 | 143 | 147 |
| G12 | 1767.2 | 182 | 186 |
| H12 | 1769.1 | 215 | 219 |
| J12 | 1769.1 | 248 | 252 |
| K12 | 1771 | 276 | 280 |
| M12 | 1771 | 301 | 305 |
| N12 | 1772.7 | 328 | 332 |
| Q12 | 1772.7 | 350 | 354 |
| U12 | 1774.6 | 373 | 377 |
| V12 | 1774.6 | 392 | 396 |
| X12 | 1776.8 | 410 | 414 |
| Z12 | 1776.8 | 429 | 433 |
As of 1:30 P.M.
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End Of Day Straddles
Trade Blotter
Settlements
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