May 1, 2011

Week in Volatility

This was a very boring week for equity indexes, with volatility practically unchanged for VIX and VSTOXX. My trading account is practically flat now because of all the volatility that I bought back. However gold rose 3% for the week, pushing GVZ from 15.70 last week to 20.25 on Friday, its highest closing value this year. Futures rose over 2 points, and implied volatility in GVZ contracts rose as well. As guys in Options Pit explained here, unlike VIX that has negative correlation with SPX levels, GVZ having both call and put skew could rise with the GLD, just like we saw this week. GV futures traded 27 contracts this week, and options traded 38.

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