Skew Analysis for 10 Options – VIX, GVZ, GLD, SLV, SPX, et al.

On Monday April 15th — the price of gold plunged 9.4% (its biggest daily drop in 30 years), the price of silver fell 11.3%, the CBOE Gold ETF Volatility Index (GVZ) rose 61.7% (a record one-day move), and new all-time records were established for daily trading volumes for VIX® futures, VIX options and GVZ futures.  Many investors are asking questions such as – What are the tools to help me gain a better idea of the cost of risk management strategies for a variety of asset types in my portfolio? What tools can help me gain a better idea if there is bullish, bearish or nervous sentiment for various securities One good set of tools is CBOE’s set of 20 implied volatility indexes that are presented and updated at www.cboe.com/volatility (and also shown in the tables at right below). 

The volatility skewness of various options also is an important consideration in the evaluation of costs of options strategies. In looking at the three line charts below, note that the implied volatility is higher for the 90% moneyness than for the 100% moneyness (or at-the-money) for the SLV, GLD, EEM, and SPX options; for all these options there could be great investor demand for out-of-the-money puts to hedge against disastrous downside moves.  

1Skewn Commod

 

On the other hand, note that the note that the implied volatility is higher for the 110% moneyness than for the 100% moneyness (or at-the-money) for the VIX and VXEEM options; for these two options on stock index implied volatility, there could be great investor demand for calls on volatility indexes to help protect against disastrous downside moves in the equity portfolios.

2Skewness Vol index

The blue tables at the right show implied volatility indexes that correspond to the underlying securities in the charts at the left.

3Skewness Stock Index

To learn more, please visit www.cboe.com/LearnCenter

  • jerrold minyard

    $GVZ maked a golden cross today. That is very bad for gold.