Upload
others
View
2
Download
0
Embed Size (px)
Citation preview
Harriet Hunnable
Managing Director, Metals Products, CME Group
Volatility in Global Precious Markets
© 2010 CME Group. All rights reserved 2
The information presented herein has been compiled by CME
Group for general purposes only. CME Group assumes no
responsibility for any errors or omissions. Additionally, all
examples in this document are hypothetical situations, used for
explanation purposes only, and should not be considered
investment advice or the results of actual market experience.
All matters pertaining to rules and specifications herein are made
subject to and are superseded by the official rules of the relevant
CME Group Exchanges. Current Exchange rules should be
consulted in all cases concerning contract specifications.
Copyright © 2010 CME Group
© 2010 CME Group. All rights reserved
Agenda
- Introduction
- Landscape
- Score Card (review of 2011)
- Volatility of the precious metals market
- Tools and Solutions for
- Risk Management (hedging)
- Investors (speculation)
- New metals products
3
© 2010 CME Group. All rights reserved
* As at Nov 2010
0
5000
10000
15000
20000
25000
30000
35000
40000
45000
50000
2008 2009 2010*
Nu
mb
er
of
Co
ntr
acts
in
Tho
usa
nd
s Global Gold Landscape
CME Group
NYSE
Tocom
SHFE
MCX
0
100000
200000
300000
400000
500000
600000
700000
800000
900000
2008 2009 2010*
Nu
mb
er
of
Co
ntr
acts
Global Silver Landscape
CME Group
NYSE
MCX
0
10,000,000
20,000,000
30,000,000
40,000,000
50,000,000
60,000,000
70,000,000
2008 2009 2010*
Nu
mb
er
of
Co
ntr
acts
Global Copper Landscape CME Group MCX LME SHFE
0
100000
200000
300000
400000
500000
600000
700000
800000
900000
2008 2009 2010*
Nu
mb
er
of
Co
ntr
acts
Global Platinum Landscape
CME Group
TOCOM
© 2010 CME Group. All rights reserved
Score Card – Several Annual Precious Metals Volume Records Set in 2011
5
Metals Futures Volume Y.T.D 2011
(In Contracts)
Volume Y.T.D 2010
(In Contracts) % Change
COMEX Gold 49,175,593 44,730,345 9.9%
COMEX Gold miNY 192,575 105,236 83.0%
COMEX E-Micro Gold 474,444 23,534 1,916.0%
COMEX Silver 19,608,557 12,826,666 52.9%
COMEX Silver miNY 106,576 24,722 331.1%
NYMEX Platinum 1,993,263 1,486,507 34.1%
NYMEX Palladium 1,139,529 901,584 26.4%
Metals Options Volume Y.T.D 2011
(In Contracts)
Volume Y.T.D 2010
(In Contracts) % Change
COMEX Gold 10,080,754 7,730,488 30.4%
COMEX Silver 2,124,108 1,640,232 29.5%
NYMEX Palladium 37,389 12,214 206.1%
Daily Volume and Open Interest Record:
E-micro Gold Futures open interest record: 4,908 10/4
Gold Futures daily volume record: 483,429 8/24
Gold options open interest record: 1,521,421 9/26
Silver Futures daily volume record: 319,204 4/25
Palladium options open interest record: 9,401 11/1
Platinum futures daily volume: 27,748 9/26
© 2010 CME Group. All rights reserved
Volatility strikes gold market
Why does volatility matter?
1.Rising Volatility has been a reliable predictor of
previous corrections in Gold price.
2.Volatility is damaging to the gold market for two
reasons:
1. It’s a sign of uncertainty.
2. Increase the cost of trading.
© 2010 CME Group. All rights reserved
Year Gold/Silver Ratio
1871 lo 15
1913 hi 40
1919 lo 17
1933 hi 85
1939 lo 50
1943 hi 100
1971 lo 17
1991 hi 90
2011 lo 30
Note: gold/silver price ratio marked ‘hi’ means an interim
low silver price, and one marked ‘lo’ means an interim
high silver price, that is, the relationship is inverse.
the above table shows the unprecedented
long-wave volatility in the history of prices
driven by pure psychology unrelated to any
supply/demand fundamentals.
© 2010 CME Group. All rights reserved
For Risk Management
• Liquidity - A liquid markets that enable market participants to
get in and out quickly.
• Financial Safeguards – As a central clearing house, we
guarantee the performance of every transaction to eliminate
counterparty risk.
• Global Access – CME Globex is a global electronic trading
platform – available around the clock and around the world.
• Transparency and Anonymity
• Flexibility - combination of standard-sized contracts with
smaller contract size (miNY and E-micro) on our benchmark
Gold and Silver may offer traders more flexibility.
© 2010 CME Group. All rights reserved
For Investors
• E-micro contracts are tailored to meet demand of individual
investors.
• Investors/Speculators prefer CME Globex as it has less
slippage and less risk of not executing the orders.
• Market orders with protection: to avoid cascading market
orders being filled at extreme prices.
• Price Banding: Without price banding, a limit bid at a price well
above the market or a limit offer at prices well below the market,
could trigger a sequence of market-moving trades that require
subsequent price adjustments.
• Iceberg: AKA max show orders. only certain quantity of orders
will be showed on screen.
• Non reviewable range: if the price of the trade is inside the
NRR, the trade shall stand.
© 2010 CME Group. All rights reserved
New Product Launches
•Gold Short-Dated Options
•London Gold Forward (clearing)
Coming Soon? Asian Kilo Gold contract
© 2010 CME Group. All rights reserved
CME Group Metals Education and Research Sites:
Please visit…..
CME Metals Product Page: http://www.cmegroup.com/trading/metals/
CME Group Market Commentary: http://www.cmegroup.com/education/market-commentary/index.html
• Morning market report
• Mid-session Market Report
• Recap Market Report (after U.S. closing)
CME Group Tools: http://www.cmegroup.com/tools-information/metals-tools.html
GOLD SURVEY 2011 - UPDATE 2
.
PHILIP KLAPWIJK
GLOBAL HEAD OF METALS ANALYTICS
HONG KONG, 17TH JANUARY 2012
ScotiaMocatta
Tanaka Precious Metals
Kinross Gold Corporation www.randrefinery.com
Barrick Gold Corporation
www.newmont.com www.IBKCapital.com
Johnson Matthey
www.gold.org
www.nyse.com/metals
INTL Commodities, inc.
www.intlfcstone.com
www.natixiscm.com
www.pamp.com
A Global Partner in Commodities
www.commodities.sgcib.com
Paulson & Co. Inc. www.valcambi.com
JPMorgan Chase Bank
www.ljgold.com
www.standardbank.com
Thomson Reuters GFMS gratefully acknowledge the generous support from the following companies for this year’s Gold Survey
and its two Updates
PRESENTATION OUTLINE
• PRICES
• SUPPLY
• DEMAND
• SUMMARY AND PRICE OUTLOOK
PRICES
500
1000
1500
2000
Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12
US
$/o
z
US DOLLAR GOLD PRICE
200-day moving average
US$/oz US$/oz 2010 2011
Average 1,224.52 1,571.64
Intra-Year 25.3% 10.3%
Year-on-Year 25.9 % 28.3%
Source: Thomson Reuters GFMS
400
600
800
1000
1200
1400
1600
Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12
Eu
ro/o
z
EURO GOLD PRICE
200-day moving average
Euro/oz
Euro €/oz 2010 2011
Average 924.83 1,128.91
Intra-Year 36.2% 13.7%
Year-on-Year 32.7 % 22.1%
Source: Thomson Reuters GFMS
90
100
110
120
130
140
150
160
170
Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11
Ind
ex
(4
th J
an
ua
ry 2
01
1 =
10
0)
GOLD PRICES IN DIFFERENT CURRENCIES
INDEXED DAILY SERIES Indexed Daily Series
Euro/oz
US$/oz
Rand/Kg
Rupee/10g
Source: Thomson Reuters GFMS
GOLD PRICE CORRELATIONS (BASED ON LOG-RETURNS ON DAILY PRICES)
10.Q4 11.Q1 11.Q2 11.Q3 11.Q4
US$/EURO RATE 0.47 0.45 0.39 0.07 0.43
US$/YEN RATE 0.58 0.12 0.18 0.16 0.17
SILVER 0.58 0.74 0.57 0.67 0.65
OIL (WTI) 0.29 0.32 0.42 -0.03 0.14
GSCI INDEX 0.36 0.34 0.44 0.01 0.30
CRB INDEX 0.32 0.23 0.21 0.12 0.40
S&P 500 0.16 0.12 0.03 -0.25 0.28
Source: Thomson Reuters GFMS
SUPPLY
GOLD MINE PRODUCTION
0
300
600
900
1200
1500
1800
H1 07 H1 08 H1 09 H1 10 H1 11
Europe CIS Oceania
Asia North America South America
Africa
Tonnes
2011E up 103t
or 3.8% y-o-y
Source: Thomson Reuters GFMS
MINE PRODUCTION: WINNERS AND LOSERS IN 2011*
-28
-24
-20
-16
-12
-8
-4
0
4
8
12
16
20
24
To
nn
es
China Canada
Eritrea Sudan
Argentina South
Africa Peru
Indonesia
Source: Thomson Reuters GFMS * Figures represent year-on-year change, i.e. 2011E less 2010
PRODUCTION COSTS 2000-2011E
Source: Thomson Reuters GFMS
0
200
400
600
800
1000
1200
1400
1600
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
US
$/o
z
2011E Total Cash Costs: $626
2011E All-In Cost: $935
Gold Price Total Cash Costs
OUTSTANDING DELTA ADJUSTED PRODUCERS HEDGE POSITION
0
500
1000
1500
2000
2500
3000
2001 2003 2005 2007 2009 2011
To
nn
es (
en
d-y
ea
r)
Source: Thomson Reuters GFMS
CHANGE IN SUPPLY FROM ABOVE-GROUND STOCKS
2011 COMPARED TO 2010
Source: Thomson Reuters GFMS
-400
-350
-300
-250
-200
-150
-100
-50
0
50
To
nn
es
Official Sector Scrap
CHANGE IN SUPPLY FROM ABOVE-GROUND STOCKS
2011 COMPARED TO 2001
-1000
-800
-600
-400
-200
0
200
400
600
800
1000
To
nn
es
Official Sector Scrap
Source: Thomson Reuters GFMS
NET OFFICIAL SECTOR SALES/PURCHASES
Source: Thomson Reuters GFMS
-600
-400
-200
0
200
400
600
800
2003 2004 2005 2006 2007 2008 2009 2010 2011
To
nn
es
CBGA
IMF (ON-MARKET SALES)
OTHER
Net Sales
Net Purchases
REGIONAL CHANGES IN SCRAP SUPPLY 2011 LESS 2010
Source: Thomson Reuters GFMS
Middle East
Indian S-C
East Asia
North America
Europe Rest of World
-80
-60
-40
-20
0
20
40
60
To
nn
es
DEMAND
JEWELLERY FABRICATION: WINNERS AND LOSERS (Figures represent year-on-year change, i.e. 2011 less 2010)
Source: Thomson Reuters GFMS
Indian S-C
East Asia CIS North America
Rest of World
Middle East
Europe
-60
-40
-20
0
20
40
60
To
nn
es
INDIAN JEWELLERY FABRICATION
0
5,000
10,000
15,000
20,000
25,000
30,000
0
50
100
150
200
250
300
Q1-07 Q1-08 Q1-09 Q1-10 Q1-11 Q1-12
Ru
pe
es/1
0g
T
on
ne
s
Local Gold Price
Forecast
Source: Thomson Reuters GFMS
CHINESE JEWELLERY FABRICATION
0
50
100
150
200
250
300
350
400
0
50
100
150
200
Q1-07 Q1-08 Q1-09 Q1-10 Q1-11 Q1-12
RM
B/g
To
nn
es
Local Gold Price
Forecast
Source: Thomson Reuters GFMS
100
200
300
400
500
600
700
800
900
04.Q1 05.Q1 06.Q1 07.Q1 08.Q1 09.Q1 10.Q1 11.Q1 12.Q1
To
nn
es
JEWELLERY FABRICATION & SCRAP SUPPLY
Jewellery Fabrication
Scrap Supply
Forecast
Source: Thomson Reuters GFMS
0
500
1000
1500
2000
2500
3000
3500
4000
1980 1984 1988 1992 1996 2000 2004 2008
To
nn
es
WORLD INVESTMENT* AND FABRICATION (EXCLUDING COINS)
1980-2011
Fabrication
World Investment
Source: Thomson Reuters GFMS
*World Investment is the sum of implied net investment, physical bar investment and all coins & medals
GOLD MARKET ‘SURPLUS’ IS EXPLODING IN VALUE TERMS
0
5
10
15
20
25
30
35
-
100
200
300
400
500
600
700
800
Q1-07 Q1-08 Q1-09 Q1-10 Q1-11 Q1-12F
US
$ B
illion
s
To
nn
es
*Surplus is defined as mine production plus scrap supply minus fabrication demand (excluding all coins)
Value
Source: Thomson Reuters GFMS
WORLD INVESTMENT*
0
5
10
15
20
25
30
35
40
45
0
100
200
300
400
500
600
700
800
900
Q1.08 Q1.09 Q1.10 Q1.11 Q1.12
US
$ B
illion
s
To
nn
es
*World Investment is the sum of implied net investment, physical bar investment and all coins & medals
Forecast
Value
Source: Thomson Reuters GFMS
400
600
800
1000
1200
1400
1600
1800
2000
0
50
100
150
200
250
300
350
Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12
US
$/o
z
Ne
t p
osit
ion
s (
co
ntr
acts
, th
ou
sa
nd
s)
*Non-commercial & non-reportable net positions in futures taken as proxy for investors’ positions.
Gold Price
INVESTORS’ NET POSITIONS ON COMEX*
Source: CFTC
GOLD EXCHANGE TRADED FUNDS
0
500
1000
1500
2000
2500
3000
Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11
To
nn
es
Others
iShares COMEX Gold Trust
SPDR Gold Trust
NewGold Gold Debentures
GBS LSE
Source: Respective issuers
As of 30/12/11, 154t increase from end-2010
PHYSICAL GOLD INVESTMENT*
Source: Thomson Reuters GFMS
-50
0
50
100
150
200
250
300
350
400
450
06.Q1 07.Q1 08.Q1 09.Q1 10.Q1 11.Q1
To
nn
es
India China Europe North America Other
* Including bars and all coins
INVESTMENT IN 2011 and 2012
• World Investment dropped in Q1 2011, largely due to profit
taking. However, investor interest rebounded in Q2 2011.
• Safe haven purchases picked up further in the summer as a
result of the US credit downgrade and rapidly developing debt
crisis in Europe.
• Selling in some areas, especially futures, in the final third of the
year amid new fears over the health of the banking sector in
Europe, coupled with profit taking and stop loss sales due to the
slide in the price. Demand strong, however, for physical bullion.
• Environment for gold investment in 2012 is expected to remain
supportive, with negative real interest rates in many countries,
currency values questioned and Eurozone debt crisis continuing.
SUMMARY AND PRICE OUTLOOK
MARKET OUTLOOK: NEXT SIX MONTHS
Positives:
• Macro-economic backdrop remains supportive for gold investment:
– Eurozone debt crisis continues; more aggressive monetary easing by ECB
– Further monetary stimulus by Fed
– Rising inflation expectations
– Short-term interest rates in major economies remain at low levels, close to zero
• Scrap supply is set to decline slightly
• Ongoing robust purchases from the official sector
Negatives:
• Stronger dollar
• Liquidity concerns/distress selling
• Slight increase in mine production
• Lower jewellery demand
QUARTERLY PRICE FORECASTS FOR 2012
Source: Thomson Reuters GFMS
600
800
1000
1200
1400
1600
1800
2000
2200
09.Q1 10.Q1 11.Q1 12.Q1
US
$/o
z
Average 2011: $1,571.64
2012 Forecast: $1,760
High
Average
Low
DISCLAIMER
The information and opinions contained in this presentation have been obtained
from sources believed to be reliable, but no representation, guarantee, condition
or warranty, express or implied, is made that such information is accurate or
complete and it should not be relied upon as such. Accordingly, Reuters Ltd
accepts no liability whatsoever to the people or organizations attending this
presentation, or to any third party, in connection with the information contained in,
or any opinion set out or inferred or implied in, this presentation. This presentation
does not purport to make any recommendation or provide investment advice to
the effect that any gold, silver, platinum or palladium related transaction is
appropriate for all investment objectives, financial situations or particular needs.
Prior to making any investment decisions investors should seek advice from their
advisers on whether any part of this presentation is appropriate to their specific
circumstances. This presentation is not, and should not be construed as, an offer
or solicitation to buy or sell gold, silver, platinum or palladium or any gold, silver,
platinum or palladium related products. Expressions of opinion are those of
Reuters Ltd only and are subject to change without notice.