GVZ (GOLD VIX) Futures & Options
Well, yesterday GVZ futures traded 8 contracts, which is better than CME's GVX futures, but still far worse than VIX futures that traded over 200 contracts on their debut back in 2004. Meanwhile I came across a quality post from OptionPit that discusses trading dynamics of GLD to infer about GVZ options. For example since there is both call and put skew on GLD, GVZ will increase on down and up moves - unlike the VIX there will very little directional correlation. My only criticism is that the author writes that VIX is a vega weighted index, which is not true.
Subscribe to:
Post Comments (Atom)
Weekly market report
Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...
-
As I am sure all of you know Russia has began a full scale war against my home country Ukraine. Please make no mistake - Putin's goal ...
-
Many investors are looking at VIX and VSTOXX indexes as a leading indicators of volatility in equity markets, however many are confused by t...
-
Deutsche Bank Currency Volatility Index was developed to provide an implied volatility benchmark for major currency markets. The index is d...
No comments:
Post a Comment