Friday Night Special – Record Day for Gold Volatility

Today was a big day in the gold trading arena.  The SPDR Gold Shares ETF (GLD – 143.95) lost 7.10 or 4.7% on the day.  Until this week, the average weekly high low range for GLD in 2013 had been 3.31.  Today’s move was over twice the average weekly range.  I think we can classify today as a volatile day for the price of the yellow metal.

The implied volatility of gold as indicated by the CBOE Gold ETF Volatility Index (GVZ – 21.32) experienced the largest single day percentage gain on record.  The increase of 6.03 on the day was a 39.44% rise which shattered the previous record gain of 29.76% on August 5, 2011.  The chart below was lifted from the CBOE’s website and shows the progression higher for GVZ over the past week.

GVZ Weekly

As I like to do I did some digging into the numbers regarding the history of GVZ.  The table below shows the ten biggest percent gains for GVZ along with the percent changes for GLD.  Take note that on only six of the ten biggest gains for GVZ coincided with a drop in GLD.  This is very different than if we were exploring the ten biggest gains for VIX.  In that case all of those top ten VIX days were accompanied by a drop in the S&P 500.  The implied volatility of gold just acts differently with respect to the underlying market than volatility on equity indexes and may rise based on a rise or a drop in the price of gold.

GVZ Table

A more in depth study of GVZ and the behavior of implied volatility related to the price of gold can be found contained in the white paper at the link below –


  • Mark Sebastian

    I’m thinking that the activity yesterday is what finally gets this product moving. It was the busiest option day ever in the product

    • Thanks Mark – also you’d been pointing out that GVZ would get moving sooner rather than later.