FMX | Connect (Reported 4/08/2011)
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
June Gold settled at $1474.10 per troy ounce, a gain of $14.80 for the day. Longs had plenty to be happy about from Friday’s performance but option trading is showing more of a mixed message.
Brief Commentary & Analysis:
Gold gapped higher overnight but sellers weren’t budging an inch, offering volatility at unchanged from the open and progressively cheaper over the course of the day. Trading was largely range-bound with June futures staying between 1468 and 1477 comfortably most of the day. May and June calls were sold relentlessly, weighed down by an excess of June calls 1500 and above that threaten to expire worthless. Liquidation was the theme of the day, with some prominent spreads like the June 1425/1475 call spread and the December 1500/1600 call spread, put on what seems like ages ago, starting to ease out and take some profits. Over 400 of the the August 1650 calls were also sold at discount from what looked like some small producer hedging. Call skew was subdued, and while it performed in patches most bidding found sellers very quickly. Volatility finished unchanged to slightly lower, helped along by a small rally near the close.
Active Options
K 1500 C
M 1425/1475 C. sprd
Q 1650 C
Z 1400/1200/1000 P. Bfly
ATM Volatility Curve:
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| K11 | 1475 | 30 | 34 |
| M11 | 1475 | 55 | 59 |
| Q11 | 1475 | 97 | 101 |
| V11 | 1475 | 133 | 137 |
| Z11 | 1480 | 162 | 166 |
| G12 | 1480 | 193 | 197 |
| J12 | 1480 | 210 | 214 |
| M12 | 1485 | 238 | 242 |
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