Tag Archive | "gld"

Volatility Tracker: No Runaway Reflation

Tuesday, October 13, 2009

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Volatility Tracker for the week of October 12, 2009 Traders have become increasingly focused on the role that the dollar is playing in exacerbating rallies in equities, gold, and other assets, with concern in some quarters about a more precipitous dollar decline to come. At least on the implied volatility front, there’s no sign of such worries yet. EVZ, the index that tracks VIX-style implied volatility for FXE (a EUR/USD ETF) is pushing to new all-time lows. Note that sudden…

CME Making Gold Options More Tradeable

Thursday, October 1, 2009

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CME Group published the following product update today: Effective Sunday, October 11, 2009 (trade date Monday, October 12), the following changes to the listing rules for COMEX Gold options will occur: The strike price interval will be set to $5.00 (CME Globex strike price increment=5) increments for all trading months on all venues regardless of the level of the underlying futures prices. Currently, the strike price interval is dependent on futures price levels as follows: $5.00…

Volatility Tracker: Overpaying for Options

Monday, September 28, 2009

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Volatility Tracker for the week of September 28, 2009 The spread between the volatility realized in the S&P 500 over the last 30 calendar days and the volatility implied in S&P 500 options 30 calendar days ago is about the widest that it has been  this year, with the exception of a similar instance in early August. [5,6] That means stocks haven’t been nearly as volatile as index option prices have assumed they would be. Put another way, it has…

Volatility Tracker: Equity Options are Overpriced

Monday, September 14, 2009

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Volatility Tracker for the week of September 14, 2009 The dollar continued slouching toward Harare, and it is anybody’s guess whether the trend will reverse anytime soon. I track price and volatility changes in FXE, the USD/EUR ETF, at [2,3]. The implied volatility index for gold closed down nearly 6%, in line with the expectations expressed last week. I can’t recommend enough giving a weekly glance at the Implied Daily Move table. These are simply the point and percentage changes…

Volatility Tracker: All That Glitters is Volatile

Tuesday, September 8, 2009

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Volatility Tracker for the week of September 8, 2009 The biggest mover last week on the volatility front was gold, as the “gold VIX” (GVZ) closed 40% higher. [2,3] Recall that when equity index prices rise, implied volatility typically falls; this inverse relationship does not hold for gold and many other commodities. On the contrary, the volatility implied by option prices will often rise with commodity price increases -a state of affairs with significant implications for option traders. We are…

Should Market-Neutral Options Traders Diversify?

Monday, August 31, 2009

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We generally restrict iron condor trades in our paid newsletter and managed accounts to index products. For those who prefer ETFs, we look at SPY, DIA, IWM, QQQQ; otherwise, SPX, RUT, NDX, DJX are bigger proxies, or on the futures side of things we’ll look at the Emini S&P 500 or Nasdaq 100 (ES and NQ). The reason we trade index products is that diversification reduces the impact of company-level surprises: an iron condor on, say, RIMM will get…

Volatility Tracker for the Week of July 13, 2009

Monday, July 13, 2009

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Volatility Tracker for July 13, 2009 On the equity front, I continue to expect flat-to-downward price momentum for the summer. Volatility futures have been pricing in a higher level of implied volatility for the late summer for quite some time – a fact to which “green shoots” proponents would do well to attend. [7] I want to call your attention this week to the situation in gold and oil.  Crude oil futures fell from a recent high of $72.92 on…

Volatility Tracker is a Gold Bug

Sunday, May 24, 2009

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Volatility Tracker for May 24, 2009 Equity indexes were relatively unchanged for the week, and investor sentiment seems to be split between those who anticipate a quiet, trendless summer and those looking for lower prices and higher volatility. While the spot VIX number received a great deal of attention, the real action in volatility was in gold and the dollar. [2] Notice that the substantial rise in implied volatility in gold coincided with a price rise over the same period…

Volatility Tracker for April 4, 2009

Saturday, April 4, 2009

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Volatility Tracker for April 4, 2009 As promised last week, we’ve expanded the scope of the Volatility Tracker to include some Gold (GLD, GVZ) charts.  Questions and comments are welcome. If it moves, we will track it.

Panic and the Shiny Metal

Friday, September 26, 2008

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The Associated Press reports that the US Mint can’t keep up with the demand for gold coins: The U.S. Mint is temporarily halting sales of its popular American Buffalo 24-karat gold coins because it can’t keep up with soaring demand as investors seek the safety of gold amid economic turbulence. Mint spokesman Michael White said Friday that the sales were being suspended because demand for the coins, which were first introduced in 2006, has exceeded supply and the Mint’s…

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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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