Archive for March, 2009

UPDATE:Implied Volatility of Gold, Post Treasury Bid

Sunday, March 22nd, 2009

We saw a surge in the implied volatility of gold, after the FOMC announcements on Wednesday. 

 Implied Volatility of Gold

(click to enlarge)

FWIW, I’m thinking now is a good time to dump my life savings into 2010 and 2011, bull call spreads on GLD, GVX, amongst other things…talk me out of it.

UPDATE. I wrote this post around 4:30 on sunday.  I realized, again, nobody online plots the historic implied volatility of oil and gold.  So, I added it to http://www.curvingfutures.com, and by 9:30 PM, I was finished parsing the CBOE data and plotting it.  Fun, fun.  Check out the Implied volatility page here.

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Posted in Future, Gold, Macro | Comments

Two Good Amigos

Thursday, March 5th, 2009

I owe a blogosphere thanks to two good amigos…

1. Ross Greenspan, who tried to help me get a job with impact…he equally wants to do some good for the planet, but somehow ended up like me…trading stuff, instead :)

and

2. Thiago Avila, who NEVER ceases to amaze me, coming up with great ideas. He’s the one who pointed me in the direction of the google chart API…for http://www.curvingfutures.com

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Curving Futures…starts

Wednesday, March 4th, 2009

I’ve been working on a little project, for like a week.  Check out the results below,

 

Users of the site can plot the futures curves, and monitor the contango (or if we ever see it again…backwardation) of oil.  It gets data from a couple places online, and is storing it in a database…so the options I’ll be able to offer users going forward, should be pretty cool.  Check it out at CurvingFutures.com or for the twitter updates, CurvingFutures.

I think this will help people understand why the contango is killing value in ETFs like USO.

But the curve is coming down, I think once it gets a little more flat, then we will actually start to see the front month rise.

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