Tag Archive | "gld"

Nothing gold can stay

Monday, April 15, 2013

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Gold is down 22% from its early October high and people are scrambling. None of the fundamental reasons supposedly favoring a continued rally in metals have proven true. Back in early February, when most banks still had price targets of $1800 or more, I reviewed the bull case for gold and found the arguments pretty weak. Fear of hyperinflation/central back activity isn’t an argument as much as a prophecy, and religion and investing don’t pair well; gold isn’t even a…

The Death Cross in Gold Looks Like Noise

Wednesday, February 20, 2013

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Whenever some slowish moving averages cross each other for a major asset class, you read headlines like this: Source: MidnightTrader, TD Ameritrade Now, there are plenty of reasons not to be bullish about gold. I discussed some of those reasons a few weeks ago, and the May strangle mentioned there has returned about 0.50x the capital risked in the interim. But the “death cross” idea is not one of those reasons. Here are the simple cumulative returns (not compounded,…

When will gold lose its luster?

Monday, February 4, 2013

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The outlook for gold in 2013 was more mixed than in years prior, but several investment banks maintained bullish price targets. Morgan Stanley, Barclays, Bank of America, and Société Générale all have year-ahead price targets of $1800 or higher. Here’s the thematic outlook from a recent report by the cross-asset team at Soc Gen: Our commodities team is calling for renewed price strength in gold prices into 2013. They currently forecast gold rising to an average of $1,850/oz…

More Thoughts on Dispersion

Tuesday, November 8, 2011

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My recent column for TheStreet on unusually high equity correlations and a dispersion trade idea – “Trading the End of the Risk On/ Risk Off Environment” – was picked up over at CNBC’s NetNet (thanks, John!). I have a few more comments to add in response to reader feedback. First, as I mentioned in the article, it’s definitely not optimal to limit the position to an index straddle and just one equity straddle. The more individual equities…

Volatility Tracker: Long Gamma Pays Off

Monday, February 8, 2010

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Volatility Tracker for the week of February 8, 2010 Except for a brief interlude in mid-November, equity index options haven’t been this fairly valued in about a year, meaning that realized volatility has more closely matched the volatility implied by options prices. [5,6] The February VIX futures contract closed above the March price on Friday -something that hasn’t happened on a weekly basis in quite some time. [7] It’s important not to read too much into this, since the…

Volatility Tracker: Options Fairly Priced

Monday, February 1, 2010

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Volatility Tracker for the week of February 1, 2010 This week saw realized volatility rise to meet last week’s spike in implied levels, although as I mentioned those spot implied levels weren’t easily sustainable. [2] I’m not the world’s greatest proponent of technical analysis, but the price charts for equities and oil deserve a look. Failure to revert toward recent averages would be further confirmation of the ill health of this market. [4,15] With a less than one-point range…

Volatility Tracker for the Week of January 10, 2010

Monday, January 11, 2010

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Volatility Tracker for the Week of January 10, 2010 The continuing rally in equities has resulted in some remarkable volatility readings. 21-day realized volatility in the S&P 500 closed below 10% on Friday [5], and the spread between 21-day realized volatility and spot implied volatility 30 (calendar) days ago is wider than at any time in 2009.[6] While option implied volatility regularly tends to run higher than the realized volatility in the underlying, current readings are extreme. Since equity…

Volatility Tracker: Negative Dollar Correlation

Monday, December 7, 2009

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Volatility Tracker for the week of December 7, 2009 The jump in volatility indexes noted in our previous report was met with a similar decline last week.[2] The VIX could easily make a new 52-week low before 2009 is through. Gold implied volatility advanced sharply on Friday’s price decline [3], with GVZ closing just shy of my 30% short-term target. The shift in the volatility skew in gold deserves attention: if traders continue to pay higher premiums for downside protection…

Volatility Tracker: No Surprises in Gold

Sunday, November 22, 2009

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Volatility Tracker for the week of November 23, 2009 News-making price changes in gold [11] have not been accompanied by any particularly noteworthy behavior in the options market. While it would be wrong to suggest that options in any way “anticipated” the gold rally, it is also fair to say that price action in the underlying has been roughly in line with the expectations given by option prices.  Notice that the CBOE’s VIX-style gold volatility index (GVZ) has drifted between…

Volatility Tracker: Gold Hysteria

Monday, October 26, 2009

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Volatility Tracker for the week of October 26, 2009 As I’ve noted on many occasions here, the relationship between spot VIX and longer-dated VIX estimates has not “worked” as a directional indicator for at least several months. [7,8] This looks like a genuine puzzle: the premium VIX futures traders are willing to pay and/or requiring in order to sell is too steep and has been too persistent to be dismissed as a phenomenon typical of the “wall of worry” that…

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Jared Woodard specializes in trading volatility as an asset class. With over a decade of experience trading options and other volatility products ... Read More

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