Archive for the ‘Gold’ Category

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

More Certainty in Gold than Oil

Monday, January 26th, 2009

Reflecting on the post by Gregor, where he noted that gold was buying too much oil.The option market seems to think, that there is more uncertainty in the price of oil, than gold. Oil Gold Volatility I’d like to point out, that plotting them on the same graph, has very little value.It’s the range where they currently sit, relative to their historic respective highs and lows.Oil is off ~20% off it’s highs, while Gold is off ~40%.  Oil’s IV is 2x higher than its low, while gold is sitting at only 1.75x higher. 

Posted in Gold, Oil, Volatility | Comments