FMX | Connect (Reported 4/06/2011)
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
June Gold settled at $1458.50 per troy ounce, a gain of $6.00 for the day. May and June unperformed in the face of fresh all-time highs.
Analysis & Commentary:
The market gapped higher overnight, which makes perfect sense after settling on new highs. We think a couple more gaps are in order before this move runs out of steam. Options activity was straightforward. In February to December 2012 there were call buyers and put sellers. In August there was a call seller in the 1510 call, probably small producer relating hedging. October and December saw two-way business, some call buying and put buying. June, if you’re long it, it underperformed. The call wing did not do well considering the rally; there are just too many trapped longs between the 1500-1600 calls. May continues to be pummeled on the 40 delta put side. Mysteriously (or not so much) 200 lot put orders hit the screen while large futures orders hit the market. If we were option traders and knew our futures book was going to enter a large futures order on the buy side it would be pretty hard to resist selling some at-the-money puts.. but what do we know. As a result of the May put selling, May continues to underperform as well.
Volatility is stable and we believe some pain is coming to the people selling it, we just don’t know when.
Active Options
K 1440 P
M 1500 C
M 1450 Straddle trades 500x OTC
Q 1510 C
G 12 1200/100 p. sprd
ATM Volatility Curve:
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| K11 | 1460 | 33 | 37 |
| M11 | 1460 | 57 | 61 |
| Q11 | 1460 | 99 | 103 |
| V11 | 1460 | 135 | 139 |
| Z11 | 1465 | 164 | 168 |
| G12 | 1465 | 193 | 197 |
| J12 | 1465 | 215 | 219 |
| M12 | 1470 | 245 | 249 |
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