VIX was under pressure this past week as some macro-economic pressures seemed to dissipate. The same thing may be said for GVZ. Before we had volatility as an asset class the price of gold would rally during times of uncertainty. This is still somewhat true, but volatility has taken some of the steam out of gold being the only safe haven during times of uncertainty. However, the price gold still reacts to geopolitical and macro-economic events, rally based on uncertainty and pulling back when the storm has passed. Traders may have been buying GLD calls which elevated GVZ close to 20. With the passing of a storm and less worry in the markets GVZ was down over 12% on the week. The close on Friday of 16.65 was the lowest levels for gold volatility seen since early May.
GVZ futures prices basically moved in line with the price change in GVZ resulting in a parallel shift in the curve. Father dated futures held up a little better than the August contract which was off over 13% to close at 18.30. 18.30 is an all-time low for August GVZ Futures.
Crude oil futures were higher last week and so was OVX being the only tradable volatility index that rose on the week. This rise in OVX occurred with a gain in the USO of over 1%. The reaction of OVX futures contracts was a bit unusual as, with the exception of the November contract, they were all lower for the week. See the chart below comparing the curve from July 27th and August 3rd illustrates this awkward shift in prices.