I was at the CBOE Risk Management Conference last week and a bit out of touch with the US markets. The price action in the SPDR Gold Shares (GLD – 126.53) and CBOE Gold ETF Volatility Index (GVZ – 24.77) left me scratching my head a bit. GLD was down slightly on the week and GVZ moved up almost 10%. The front month GVZ futures contract gained over 8% and is pretty close to parity with GVZ. I assumed there was a wide range of activity in GLD, but after consulting the charts I think that was not the case either. This may be a forward looking case and as GLD grinds lower may be an assumption that GLD is creeping up on another downside leg.
The CBOE Crude Oil ETF Volatility Index (OVX – 21.49) was the only tradable volatility index that dropped last week. It appears the world is at peace and the risk premium continues to come out of the price of oil, on both a current and forward looking basis.