FMX | Connect (Reported 11/22/2011)
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 $1,702.40 per troy ounce, a gain of $23.80 for the day.
Market Recap:
It was December Gold options expiration today, and traders were focused on little else. While other markets were watching news item like GDP estimates, a revised credit program from the IMF and parsing the FOMC minutes for insights on quantitative easing, Gold was pulled and pinned to the 1700 strike. December 1700 Calls, December 1700 Puts, December 1700 Conversions and the sheer volume of open interest near the strike was stronger than the external forces on the metal. Volatility was sharply lower on the day.
Directional Commentary:
Options: While December options expiration was today’s main focus, options trading still showed a slightly bearish directional bias. There was more interest in buying puts than buying calls, and this was reflected in the prices. Volatility was also lower across the term structure, perhaps suggesting more relaxed expectations for the Holiday. We will be watching options behavior tomorrow or confirmation. Conclusion: Slightly Bearish
Technical: Gold prices were closely constrained to the 1700 strike because of December options expiration. Though gold settled higher on the day, we think the near-term trend is still bearish and the onus is on the bulls to revitalize the market and prevent further consolidation. Our first objective to the downside is 1600, very close to the 200-day moving average. The first objective for bulls is a settlement above 1715, followed by a settlement above 1750. A break below the 200-day MA could position gold for an extended consolidation period through the mid 1450s (or even lower). Conclusion: Slightly Bearish
Active Options
Z 1700 C, Z 1700 P
H 1550 P
G 1450 P
J 1850/2000 C. spread
ATM Volatility Curve:
As of 1:30 P.M.
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| Z11 | 1700 | 15 | 19 |
| F12 | 1705 | 96 | 100 |
| G12 | 1705 | 143 | 147 |
| H12 | 1710 | 182 | 186 |
| J12 | 1710 | 216 | 220 |
| K12 | 1710 | 245 | 249 |
| M12 | 1710 | 272 | 276 |
| N12 | 1715 | 300 | 304 |
| Q12 | 1715 | 324 | 328 |
| U12 | 1715 | 348 | 352 |
| V12 | 1715 | 367 | 371 |
| X12 | 1720 | 386 | 390 |
| Z12 | 1720 | 406 | 410 |
As of 1:30 P.M.
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