FMX | Connect (Reported 12/06/2011)
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 $1731.80 per troy ounce, a loss of $2.70 for the day.
Market Recap:
Markets continued to fluctuate on ratings anxiety out of Europe, specifically a warning from the S&P that it was considering downgrading 15 countries in Europe, some by more than one tier, and including Germany and France. The fear seemed to mitigate by afternoon on rumors of new rescue proposals to be uncovered at the summit later this week.
February Gold sold lower in the overnight session before eventually finding support at 1705.70. From here, buying led futures all the way back to the open before settling slightly lower on the day. The most interesting part of the rally for us was the option trading, with market participants purchasing a veritable boatload of January 1800 Calls in outright and spread form. Long-dated calls also saw some sustained buy interest, including the June 2100 Call and December 2500 Call. After plenty of early excitement, volatility and fences finished the day near unchanged. It will be interesting to see how Gold responds to additional headlines out of Europe through the rest of the week.
Directional Commentary:
Options: Today’s option activity was slightly bullish, mostly because of the strong influx of call buying after the lows. Volatility and fences were mostly unchanged on the day, so there is an argument that the conclusion should be neutral. Nonetheless, we are giving the bulls a slight nod. Conclusion: Slightly Bullish
Technical: February Gold touched 1705.70 on the low, before finishing the day for a 2.70 loss. We are happy to report that today’s move complied extremely closely with our assessment from yesterday, bouncing from the 1705-1667 congestion zone we described on the lows before settling above the 100-day moving average once again. Going into tomorrow, we remain mostly neutral from a technical perspective but think there is more support to the immediate downside than there is resistance above. A higher open from a technical formation like this is somewhat bullish. Conclusion: Neutral
Active Options
F 1550 P
F 1800 C, F 1900 C
G 1800 C
M 1500 P/ 2100 C Fence
Z 2500 C
ATM Volatility Curve:
As of 1:30 P.M.
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| F12 | 1730 | 67 | 71 |
| G12 | 1730 | 112 | 116 |
| H12 | 1735 | 150 | 154 |
| J12 | 1735 | 188 | 192 |
| K12 | 1735 | 218 | 222 |
| M12 | 1735 | 245 | 249 |
| N12 | 1740 | 274 | 278 |
| Q12 | 1740 | 298 | 302 |
| U12 | 1740 | 322 | 326 |
| V12 | 1740 | 342 | 346 |
| X12 | 1745 | 363 | 367 |
| Z12 | 1745 | 383 | 387 |
As of 1:30 P.M.
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