The price of gold was pretty quiet last week as there was very little macro-economic drama in the world last week. The stock market was focused more on company specific events as earnings season kicked off and Europe is in a quiet period that seems to go along with summer vacations. The GLD was up slightly and the GVZ Index lost a little value. The lower GVZ was also reflected in lower futures prices. July was the weakest GVZ future but settled at almost a point premium to the index with two trading days until July expiration.
Oil volatility in the form of the OVX had been elevated over the past couple of weeks based on a dramatic drop in the price of oil. As that price action stabilized the OVX dropped by almost 10% as did the July futures contracts. Note that the OVX may rise based on a dramatic rise in the price of oil or a dramatic drop. This is different than the type of activity we see in equity related volatility indexes due to the nature of trading on oil options. Higher oil prices may create strong demand for calls and lower prices can create strong demand for puts. The result of higher demand in either is a higher OVX.