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- WRITINGS, THOUGHTS, VIEWS & IMAGES by NEV R. AGN -

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.

Metals and Energy post gold-oil ratio derivatives trading

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

And the winner is ……….

Daily – Platinum

Daily – Palladium

Daily – Palladium-Platinum

Daily – Palladium/Platinum (ratio)

Daily – Gold

Daily – Palladium-Gold

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