The chart below does not do any justice to the price action around the implied volatility of gold this past week. GVZ closed Monday at 34.48 which was over 60% higher than the closing price on Friday. The rest of the week GLD trading started to become less volatile as that market seems to have found new support in the low 130’s. Resistance is hard to call as GLD grinds higher. Do keep in mind, GVZ may very well run up again if GLD has another 10 point move, but the move is to the upside. The implied volatility of the gold market tends to run up based on absolute volatility in GLD, not only moves to the downside.
USO was down on the week, but not nearly to the extent of GLD. OVX moved up on the week, but also not as much as GLD. Some of that move may have been in sympathy with what was going on in the gold market. A very smart volatility guy pointed out to me on Friday that the correlation between GVZ and OVX is fairly high. Testing that goes into the ‘notebook’ of things to do. Anything interesting in that area will prompt another posting in this space.