The CBOE Futures Exchange recently published a white paper introducing trading the volatility of gold through futures on the CBOE Gold ETF Volatility Index (GVZ). GVZ determines 30 day implied volatility of the price of gold through pricing of options on the SPDR Gold Shares Exchange Traded Fund (GLD). GLD is an excellent proxy for the price of gold and implied volatility of GLD options is a great indication of expected gold pricing volatility.
The paper describes the GVZ index, the relationship between GVZ and GLD, and methods for trading GVZ futures contracts. The paper may be downloaded for free at the following link –
The Options Institute