FMX | Connect (Reported 5/26/2011)
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 $1522.80 per troy ounce, a loss of $3.90 for the day. Volatility was offered on a slight down move for the underlying.
Options Commentary:
June futures expired yesterday around the 1525 area, which was essentially a pin of the strike. The market lingered there post-close in a range between 1523-1531, looking for direction after the options expired. It found it on the sell side during London time. Today the market came in around 1522, paused for a bit, and then sold off pretty hard. We think there was a large futures buyer over the last 2 week and also think that he is finished. The market looks like it is ready to roll over.
Today was a continuation of yesterday with a complete lack of interest in options on the buy side. The first selling came in the form of July puts. Everything from the 1150 strike up through the 1450 strike was easy to buy. After that, everything across the board started to come in. Even on the lows, there was no interest in put buying.
Today saw a distinct change in call behavior. Call skew came in in every month with October and December taking the brunt. It seems the 1600 Call buyer is done and the market is beginning to digest that. Other than the skew changes and the volatility offers, the market was lackluster in options.
Directional Analysis:
Little can be gleaned from today’s activity except this: we are range-bound. When the market sold off there were put offers. When the market bounced off the lows there were call offers. Directionally we view this as “trapped money,” and don’t expect the market to go anywhere.
The market remains in a trading range. Today’s high of 1531 was close to the high end of our range (1535). The cup and handle formation we saw on the hourly has broken down and our daily trading range is holding steady. If we were forced to make a prediction we would be slightly bearish, as we have formed an evening star over the last three days.
Active Options
N 1530 C, N 1550 C
V 1600/1700 C. sprd
Z 1530 Straddle
ATM Volatility Curve:
As of 4:00 P.M.
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| N11 | 1525 | 49 | 53 |
| Q11 | 1525 | 76 | 80 |
| V11 | 1525 | 120 | 124 |
| Z11 | 1525 | 152 | 156 |
| G12 | 1530 | 187 | 191 |
| J12 | 1530 | 217 | 221 |
| M12 | 1530 | 243 | 247 |
As of 4:00 P.M.
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