imageFMX | Connect (Reported 11/08/2011)

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 $1,799.20 per troy ounce, a gain of $8.10 for the day.


Market Recap:

Gold extended above 1800 on Tuesday on continuing bullish sentiment and political restructuring in Greece and Italy. Italy has been under intense focus the past couple of days and Prime Minister Silvio Berlusconi has offered to step down if Parliament approves the austerity measures the EU is seeking.

December Gold traded to 1799.90 on the highs yesterday and one got the sense that it was a matter of when, not if, the metal was going to push over 1800. Gold achieved this objective late morning but was not able to hold its gains for long, as profit-taking rebuffed earlier advances. Despite booking only an $8 gain on the day, volatility was firm, with back months outperforming the fronts. There was a frenzy of December Call trading, with calls, call spreads, and the 1800/1850/1900 butterfly all seeing sizeable volume. Back month options also continue to see interest, including straddle buyers in April and June.

 

Directional Commentary: 

Options:  Volatility was unchanged to higher or more specifically, mostly unchanged in the front months and higher in the back months. Options skews was mostly unchanged but the trend in fences has been towards the call. Options temperament is still bullish. Conclusion: Bullish

Technical: Gold trudged higher, pushing above 1800 but only barely, ultimately recording gains of $8.10. As we said yesterday, the near-term outlook is higher but we wouldn’t be surprised to see a pullback before achieving our next objective of 1850. Not only did Gold struggle to stay above 1800, daily stochastics also suggest the metal is overbought. Our first target to the downside is 1750, followed by 1711. We would not be surprised to see a retracement before the end of the week or even through the overnight session. Conclusion: Bullish but High Probability of a Retracement 

 

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Active Options

Z 1800 C

Z 1800/1850/1900 C. Butterfly

H 2000 C

J 1750 Straddle

 

 

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 1800 68 72
F12 1800 133 137
G12 1800 178 182
H12 1805 214 218
J12 1805 248 252
K12 1805 277 281
M12 1805 304 308
N12 1805 332 336
Q12 1805 354 358
U12 1810 377 381
V12 1810 396 400
X12 1810 415 419
Z12 1810 436 440

As of 1:30 P.M. 

 

 

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