Apr 8, 2011

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.

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