Gold implied volatility in the form of the CBOE Gold ETF Volatility Index (GVZ) was down slightly on the week despite GLD not appearing to have developed a new support level. Despite dropping, GVZ at 21.38 is definitely elevated relative to this year’s average of 15.85 and is just a couple points lower than the 2014 high. Note the chart below showing weekly price action for GLD and the significant support level that was violated just a couple of weeks ago.
The oil market continues to languish at lower levels and OVX remains at relatively high levels. I spent a good part of the week last week traveling around Texas and I can tell you that there is some real concern among investors that energy prices may continue to move lower. OVX close to 30 is a good quantification of those concerns.
Taking a look at the curves, GVZ in more backwardation than the OVX term structure can be taken as an indication that the market expects support for gold prices before support or stabilization of oil prices.