When we approach VIX in a historical context we often talk about VIX in terms of 2008. For instance saying something like, “VIX made a post-2008 low on so and so day”. For the CBOE Gold ETF Volatility Index (GVZ) the reference point has been April 15, 2013. For those with short memories the price of gold dropped dramatically over a two trading day period between April 11, 2013 and April 15, 2013. GVZ also was up over 100% over those two days. This past week GVZ was at a post April 15, 2013 low in the 13’s. Interestingly the last time GVZ closed lower was on April 9, 2013 – two days before there was a crash in the price of gold. Since GLD only rose 0.40 last week the low GVZ should not be too surprising.
The implied volatility of USO options remains at a pretty low level as well which continues to perplex market participants. The OVX closing at 15.42 on Friday is the third lowest closing price on history with lower closes occurring toward the end of December in 2013. OVX is also at a low level despite oil futures over $100 and USO climbing over 5% last week.
Both pricing curves are not terrible steep despite low price for the underlying indexes which may be taken that the market thinks orderly price changes are expected this summer. Of course as we saw last year in April things in the gold and oil markets can change very quickly.