Gold – Options Report – June 29, 2010
FMX | Connect (Reported 6/29/2010)
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.
Daily Recap:
Today was an interesting day for volatility players. Futures came in lower and volatility was firm which is to be expected these days, especially with the put demand coming from the ETF business. What was interesting was the demand from seemingly out of nowhere for December 2010 through June 2012 volatility. Straddles and puts were bid and it would seem that a deal was done in the June 1200 puts. Market makers and dealers scrambled to cover the volatility risk and in doing so slowly drove volatility higher across the whole curve. About mid way through the rally in volatility, the futures turned and our and rallied. So what started as a bid in straddles and puts ended with a bid in straddles and calls. Moves like this are rare but becoming more frequent in this new environment. Implications are either producers are hedging further out on the curve, or a macro volatility player is upping the ante. Stay tuned.
ATM Volatility Curve:
Technical Recap:
Volatility Smile:
***From NYMEX Settlement
Significant Activity:
1. Q10 1200 P.
2. V10 1300 C.
3. Q10 1250 C.
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