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Gold Volatility is Contracting; Options are a Better Relative Value  Thumbnail

Gold Volatility is Contracting; Options are a Better Relative Value

Gold volatility is contracting; options are a better deal. 

What is it?

The Chicago Board Options Exchange Gold ETF Volatility Index (GVZ) measures the market's expectation of 30-day volatility implicit in the prices of near-term Gold ETF options. SPDR GLD ETF, the largest physically backed gold ETF in the world, is sponsored by World Gold Trust Services and listed since 2004. 

The Cboe Gold ETF Volatility Index (GVZ) is an estimate of the expected 30-day volatility of returns on the SPDR Gold Shares ETF (GLD). Like the Cboe VIX Index®, GVZ is calculated by interpolating between two time-weighted sums of option mid-quote values - in this case, options on GLD. The two sums essentially represent the expected variance of the price of gold up to two option expiration dates that bracket a 30-day period of time. GVZ is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.

The CBOE Gold Volatility Index is declining. 

What does it mean?

Listed options on the Gold ETF are becoming a better relative value. 

Mike Shell is the founder, President, and Chief Investment Officer of Shell Capital Management, LLC, and the portfolio manager of Asymmetry® Managed Portfolios.  Shell Capital Management, LLC is a registered investment advisor focused on asymmetric risk-reward and absolute return strategies. Shell Capital provides investment advice and portfolio management to clients with separate accounts at Goldman Sachs Advisor Solutions with an investment management agreement. The observations shared on this website are for general information only and should not be construed as investment advice to buy or sell any security. This information does not suggest in any way that any graph, chart, or formula offered can solely guide an investor as to which securities to buy or sell, or when to buy or sell them. Securities reflected are not intended to represent any client holdings or recommendations made by the firm. In the event any past specific recommendations are referred to inadvertently, a list of all recommendations made by the company within at least the prior one-year period may be furnished upon request. It should not be assumed that recommendations made in the future will be profitable or will equal the performance of the securities on the list. Any opinions expressed may change as subsequent conditions change. Please do not make any investment decisions based on such information, as it is not individualized advice and is subject to change without notice. Investing involves risk, including the potential loss of principal an investor must be willing to bear. Past performance is no guarantee of future results. All information and data are deemed reliable but are not guaranteed and should be independently verified. The presence of this website on the Internet shall in no direct or indirect way raise an implication that Shell Capital Management, LLC is offering to sell or soliciting to sell advisory services to residents of any state in which the firm is not registered as an investment advisor. If this website contains information regarding Options Trading, please read the Characteristics & Risks of Standardized Options, also known as the options disclosure document (ODD). Options involve risk and are not suitable for all investors. The views and opinions expressed in Asymmetry® Observations and Asymmetric Investment Returns are those of the authors and do not necessarily reflect the position of Shell Capital Management, LLC. The use of this website is subject to its terms and conditions.