GVZ Futures –
The CBOE Gold ETF Volatility Index (GVZ) measures the market’s expectation of 30-day volatility of gold prices by applying the VIX methodology to options on SPDR Gold Shares (GLD). Gold volatility was flat with the futures moving lower last week. The price action was a bit interested and disconnected from the equity related indexes. The farther dated equity market related futures lost less value than the near dated futures. GVZ futures that were father dated lost more value than the near dated GVZ futures. This could be an indication that risk of a big price move in September or October was being over estimated in the gold option market and that this risk is coming down a bit.