METALS #18 – Update on Pt-Pd-Au options strategy of 18th December 2023 – after only two weeks…take the gift.
30th December 2023
OPTIONS STRATEGY (this is a reposted section from Metals #16(b))
1. April 2025 options on Pt and Au; September 2024 Options on Pd.
2. Structure size will be 3xPt:1xAu:2xPd.
3. Platinum: purchase the April 2025 40 delta call (300 lots); sell the April 2025 25 delta put (300 lots) .
4. Gold: purchase the April 2025 25 delta put (100 lots).
5. Palladium: sell the September 2024 36 delta call (200 lots).
OPTIONS STRATEGY – DETAILS
A. Strike prices and premiums (15th December close)
A.1. Gold: Buy 100 April 2025 1,965 put (expiry 26 March 2025) – premium = 61.50. Reference = 2,153.30. Implied Vol = 15.01%
A.2. Platinum: Buy 300 April 2025 1,070 call (premium = 67.40) and sell 300 April 2025 870 put (premium = 44.90) (expiry 19 March 2025). Net premium = 22.50 (x3). Reference = 986.00. Implied Vol = 23.45% (call); 22.78% (put).
A.3. Palladium: sell 200 September 2024 1,390 call (premium = 75.00) (expiry 21 August 2024). Reference = 1,218.80. Implied Vol = 34.34%.
Net Premium (negative = outflow; positive = inflow):
Gold = -61.50
Pd = +150.00
Pt = 134.70 – 202.20 = -67.50
Net Premium Taken in = 150 – 61.50 – 67.50 = +21.00
A.4. Strike prices and premiums (latest numbers: 29th December close)
A.4.1. Gold: Sell-back 100 April 2025 1,965 put (expiry 26 March 2025) – premium = 51.80. Reference = 2,189.00. Implied Vol = 15.05%
A.4.2. Platinum: Sell-back 300 April 2025 1,070 call (premium = 86.80) and buy-back 300 April 2025 870 put (premium = 33.20) (expiry 19 March 2025). Net premium = 53.60 (x3). Reference = 1,033.20. Implied Vol = 23.48% (call); 22.75% (put).
A.4.3. Palladium: Buy-back 200 September 2024 1,390 call (premium = 58.70) (expiry 21 August 2024). Reference = 1,124.20. Implied Vol = 39.69%.
Net Premium (negative = outflow; positive = inflow):
Gold = +51.80 (x1) = +51.80
Pd = -58.70 (x2) = -117.40
Pt = +86.80 (x3) – 33.20 (x3) = +260.40 – 99.60 = +160.80
Net Premium Received = 160.80 + 51.80 – 117.40 = +95.20 (+21.00 of the Premium taken in on 15th December) = +116.20 (USD 1,162.00 per lot; USD 1,162,000.00 per 1,000 lots)**
** The first week dramatic bounce in Palladium was unexpected but mitigated. The ratio of 3xPt:2xPd:1xAu sorted out any adverse effects to the overall strategy.
Oh oh oh yeah!
OPTIONS STRATEGY – DETAILS (contd.)
B. Option Greeks as of 29th December close
B.1. Delta
B.1.1. Gold 1,965 put = 22.20
B.1.2. Platinum 1,070 call = 47.42; 870 put = 19.92
B.1.3. Palladium 1,390 call = 29.94
B.2. Vega
B.2.1. Gold 1,965 put = 7.1029
B.2.2. Platinum 1,070 call = 4.3388; 870 put = 3.1269
B.2.3. Palladium 1,390 call = 3.0977
B.3. Time Decay (Rho)
B.3.1. Gold 1,965 put = 0.0555
B.3.2. Platinum 1,070 call = 0.1772; 870 put = 0.0497
B.3.3. Palladium 1,390 call = 0.3920
B.4. Gamma
B.4.1. Gold 1,965 put = 0.0008
B.4.2. Platinum 1,070 call = 0.0014; 870 put = 0.0011
B.4.3. Palladium 1,390 call = 0.0010
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