FMX | Connect (Reported 12/02/2011)
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
February Gold settled at $1,751.30 per troy ounce, a gain of $11.50 for the day.
Market Recap:
Gold recorded a small gain on Friday, closing out a strong week for the underlying. Markets were pleasantly surprised by a decrease in U.S. employment to 8.6% from 9%, even though a sizeable decrease in the labor force (by 315,000) calls for some reservations. Options, straddles and volatility were well offered on the day. The selling, in structures like the April 1750 Straddle and January call spreads, was relentless. Traders were active across the entire term structure however, looking at items like 3-ways in June and Butterflies in December. Volatility was in 1-2% across the term structure.
Directional Commentary:
Options: Options were heavily offered on Friday, but the underlying trend in fences remains toward the calls. Volatility is yet to perform in a rally but that is more a symptom of the pace than of directional bias. Conclusion: Slightly Bullish
Technical: February Gold finished slightly higher on the day, touching 1767.10 but failing to sustain the momentum. One may recall that we noted 1770.5 as the next objective for bulls, and we will be looking for Gold to retest this next week. We think the near-term outlook for gold is positive, and selling in the past two days has not been able to hold futures below 1740. The first objective for bears is support at 1705, and from there they should look to breach support near 1670. Conclusion: Somewhat Bullish
Active Options
F 1750 C, F 1750 P
F 1760/1860 1x2 Call Spread
J 1750 Straddle
M 1600 P, M 1950 C
Z12 2400/2500/26000 Call Butterfly
ATM Volatility Curve:
As of 1:30 P.M.
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| F12 | 1750 | 67 | 71 |
| G12 | 1750 | 114 | 118 |
| H12 | 1755 | 154 | 158 |
| J12 | 1755 | 192 | 196 |
| K12 | 1755 | 222 | 226 |
| M12 | 1755 | 250 | 254 |
| N12 | 1760 | 279 | 283 |
| Q12 | 1760 | 304 | 308 |
| U12 | 1760 | 328 | 332 |
| V12 | 1760 | 348 | 352 |
| X12 | 1765 | 367 | 371 |
| Z12 | 1765 | 387 | 391 |
As of 1:30 P.M.
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End Of Day Straddles
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