imageFMX | Connect (Reported 11/21/2011)

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

December Gold settled at $1,678.60 per troy ounce, a loss of $46.50 for the day.


Market Recap:

Markets opened on a grim note Monday morning; not only were risk assets systematically devastated by concerns out of Europe, the Super Committee went ahead and reminded the world that the largest economy has almost as large a lack of political leadership. The Super Committee's failure to find compromise over a budget could trigger a 1.2 trillion dollar spending cut across a wide swathe of government programs (including the military) starting January 2013. While expectations of the Committee were never particularly high to begin with the sheer scope of the cuts certainly does cast a shadow over other economic data, including better than expected U.S. existing home sales. Tomorrow, market participants can also expect revisions to the 2nd Quarter GDP as well as minutes from the last FOMC meeting.

December Gold traded lower overnight, and trended lower still during the day. December options expiration is tomorrow, and market participants have had their hands full managing the open interest with the aggressive sell-off. A week ago investors were thinking about whether to hold on to the 1800 Call or not. Who would have guessed that now even the 1700 Call may expire worthless? December calls, conversions, puts and put spreads were all heavily traded. Calls were offered and puts were bid across the term structure. As one might expect, volatility was also bid on the day. February straddles closed $8-10 higher than they opened.

 

Directional Commentary: 

Options: Options behavior was extremely bearish. Fences moved toward the put and away from the call on Friday. Today they moved farther still, and volatility was also broadly bid. This behavior suggests the market may be heading back to a put skew environment and extended consolidation. Conclusion: Bearish

Technical: On Friday we suggested the market was likely to test support at 1680. December Gold settled at 1678.60 after trading to 1667 on the low. The near-term trend is still bearish and is likely to push towards major support at the 1600 strike (also close to the notable 200-day average at 1591). A break below the 200-day MA could position gold for an extended consolidation period through the mid 1450s (or even lower). The first objective for bulls is a settlement at 1715 or higher but we expect the market will go lower before it goes higher. Conclusion: Somewhat Bearish

 

image 

 

Active Options

Z 1700 C

Z 1690 P, Z 1700 P

F 1900/1950 C. Spread

G 1880 C

M 2750/2950 C. Combo

Z 12 1350/1200 P. Spread

 

ATM Volatility Curve:

image

As of 1:30 P.M.

 

Volatility Smile:

image

***From NYMEX Settlement

 

End of Day Straddles

GC      
  Future Bid Offer
Z11 1680 22 26
F12 1680 107 111
G12 1680 153 157
H12 1685 191 195
J12 1685 226 230
K12 1685 253 257
M12 1685 278 282
N12 1685 305 309
Q12 1690 328 332
U12 1690 352 356
V12 1690 370 374
X12 1695 389 393
Z12 1695 407 411

As of 1:30 P.M. 

 

 

Premium Subscribers

(click here to register):

Volumes & Open Interest

End Of Day Straddles

Trade Blotter

Settlements

 

-----

About FMX: FMX Connect is an information, data, and analytics portal for Commodities. The portal provides an all-in-one package including essential market data, independent third party research, industry news, and commodity trading tools. FMX Connect provides efficient, effective, and thorough data that bridges all aspects of commodities onto one screen. The Result; A user friendly application for hedge fund traders, OTC brokers, individual investors, and industry participants
-----
Note: The information presented, while from sources generally believed to be reliable, is not guaranteed and may not be complete. FMX | Connect makes no representations or warranties regarding the correctness of any opinions or information. Past results are not necessarily indicative of future results. Nothing in this report should be construed as a representation to buy or sell shares, futures or options, which contain considerable risks. For internal client distribution only. Any reproduction, re-transmission, or distribution of this report without permission is prohibited. Media correspondents or reporters may not quote any one page or section in its entirety and must attribute all quotes, ideas or concepts herein. Copyright FMX | Connect, ©2009-2010. All rights reserved.