14 October 2009

Gold Volatility 14 Oct '09

Gold volatility went into the tank today and with gold not far off those all time highs one has to wonder why. Below is the Chart of GLD with CBOE's $GVZ (The gold VIX).

The $GVZ plonked to 20 and a bit and while that is still a fair way above 30 day historical volatility at 16%, it represents a fall to close to the "normal" premium of IV over HV in gold options.

You'd have to suspect at least a pause/retracement from here if that means anything at all. Perhaps the talk is some quarters of a bottom in the dollar is easing concerns, though the dollar is still taking it where it hurts.

Countering that is the seasonal tendency in gold which resumes an upward bias right up to Christmas (depending whose dodgy data you use).

I'm still bullish after some sort of pull back. Markets just want to go up right now, but option traders seem skeptical.

1 comment:

bromoney said...

I'd expect to see gold drop in the coming weeks.