FMX | Connect (Reported 4/26/2011)
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 $1503.50 per troy ounce, a loss of $5.60 for the day. May options had their final day in the sun and none greater than the 1500 P. The option went as much as $8 in the money after being purchased between $2-4 by speculators the last two trading days.
Commentary & Analysis:
A lot was made in the past few days about the May 1520 C and 1500 P. Although we didn’t break the 1520 area we stopped and turned on a dime right beneath it. The call buyer was patient when he accumulated and bought calls on dips. He may have used it as a stop-out option but we can’t be sure. Moving forward, there is a buyer of the Q 1600 C. He buys dips and he’s patient. The order seems unfillable when it comes in. The patterns aren’t the same but they are close enough to make us think the blow-off rally won’t be done for another 2 months.
Gold traded lower overnight, setting a sharp contrast to the all-time highs a day prior. Volatility and call skew were offered decisively lower than they traded Monday this morning, perhaps winded by the washout in futures. Today’s movement was dominated by the May expiration and the inexorable pull of open interest at the 1500 strike. The open interest at the 1520 strike proved little more than a lost cause all though the longs may have sought to take their profits in a less transparent (and more difficult to manipulate) manner.
Volatility and skew struggled back to their feet from the aggressive offers this morning, helped along by the monstrous buying of the August 1600 call buyer. Nearly 5000 of the option traded on globex today and anyone who missed it the past few days is certainly paying attention now. While puts caught some bids near the day’s lows, particularly at the June 1400 and 1475 strike, there was more volume on the call side in both June and August, with two-way business prevalent throughout the day. Activity farther back was minimal. Skew climbed back from its lows on continual dip-buying but not to the astronomical levels we saw yesterday. Volatility also finished lower on the day but much higher than the early AM levels.
Active Options
K 1500 P
M 1400 P
Q 1600 C
ATM Volatility Curve:
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| M11 | 1505 | 47 | 51 |
| Q11 | 1505 | 96 | 100 |
| V11 | 1505 | 134 | 138 |
| Z11 | 1505 | 165 | 169 |
| G12 | 1510 | 198 | 202 |
| J12 | 1510 | 228 | 232 |
| M12 | 1510 | 254 | 258 |
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