The prices of both gold and oil can often move together reacting to global events or current business conditions. Currently the two markets are both on the lower end of their historical price range, but oil is in a different place than gold. What I mean by that is that the price of oil does not appear to have any support level, at least for the moment. The chart below probably explains the situation better than I can in words.
The result is a lot of uncertainty as to just how low the price of oil may go. Where there is uncertainty there is high implied volatility and that describes the current level of OVX. Of the tradable volatility indexes OVX was the only one that rose last week.
Gold is low, but unlike the oil market is holding support as can be seen below.
The implied volatility of options on the GLD ETF drifted lower as GLD did not make any moves to test that 114.50 level that seems to have held twice over the past few months. Any violation of that level and I would not be surprised if I am writing about GVZ at much higher levels.
The curves tell two different stories. The OVX term structure is in backwardation and probably will continue to look like the graph below until USO exhibits some price support. GVZ is all about normal and continued calm.