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FMX | Connect (Reported 4/29/2011)

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 $1556.40 per troy ounce, a gain of $25.20 for the day.


Commentary & Analysis:

Volatility and skew were bid in a continuation of yesterday’s pattern. Futures and volatility moved strongly post-comex close. Our data beneath is as of 4:00 PM. We will have a full report on Monday, as well as an update on our recommendation from 2 months ago predicting gold would touch 1550. In the meantime, the curves and straddles are accurate.

 

Active Options

Q 1650 C

M 1550 C, M 1575 C, M 1600 C

M 12 2000/2500 C. sprd

 

ATM Volatility Curve:

image

 

Volatility Smile:

image

***From NYMEX Settlement

 

End of Day Straddles

GC      
  Future Bid Offer
M11 1555 52 56
N11 1560 87 91
Q11 1560 111 115
V11 1560 154 158
Z11 1560 186 190
G12 1560 222 226
J12 1565 255 259
M12 1565 283 287

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Volumes & Open Interest

End Of Day Straddles

Trade Blotter

Settlements

 

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