Self Directed Investor Inc
SDI: "Empowering investors with ideas and education"
Symbol Lookup »  
Topics:ChinaETFsEarningsEconomyEnergyForexGoldIncomeLessonsIdeasTrading

  • Other news: News from PR Newswire
| More

Recent Developments in Gold and Gold Volatility

Tue, Sep 8, 8:11 PM ET, by Bill Luby

With the price of gold topping $1000 per ounce today for the first time since February, there has been a great deal of discussion about gold prices and the volatility of gold prices.

While there is no disputing that gold prices are high (today they also matched their 52 week high), the comments I have seen about elevated volatility in gold are not supported by the numbers. In fact, the CBOE's gold volatility index (GVZ), which is sometimes known as the "Gold VIX," closed today at 26.97, which is in just the 20th percentile of the GVZ's range since the index was launched in June 2008. This means that the implied volatility in the gold ETF (GLD) is not pricing a large move in the commodity in the coming months.

Looking back at historical volatility, the numbers show volatility at historically low levels. A week ago today, for instance, GLD set a new record low for 20-day historical volatility. While historical volatility has risen slightly in the last week, it is still only in the 6th percentile for HV data going back to June 2008.

A related, but little discussed phenomenon is the correlation between gold and gold volatility. I track this in several different ways, including using 10-day and 20-day rolling correlations between GLD and GVZ. In each of the last three days, the 10-day and 20-day rolling correlations have set new records, indicating that GLD and GVZ have been moving upward almost in lockstep lately, particularly for the past five trading sessions.

The correlation data do have some interesting historical precedents associated with them. For instance, the last time the 10-day rolling correlations set a new high was at the beginning of June, just as gold was topping out just below 990.

In the chart below, I have captured the movements of GLD and GVZ since the launch of GVZ. In addition, I have also highlighted some of the instances when GLD and GVZ have had a persistent negative correlation in the past.

Sometime in the near future, I will pick up the theme of extreme positive correlations between GLD and GVZ.

For additional posts on gold and gold volatility, readers are encouraged to check out:


SDI Glossary: "CBOE" Definition
SDI Glossary: "price" Definition
SDI Glossary: "Indicator" Definition
SDI Glossary: "VIX" Definition
This Article's Word Cloud:   Gold   June   Three   Tree   While   about   also   back   been   beginning   below   between   correlation   correlations   data   different   discussed   extreme   fact   gold   have   high   historical   index   instance   just   last   months   movements   numbers   past   percentile   precedents   prices   related   rolling   since   some   still   that   there   time   today   topping   using   volatility   ways   week   when   which

| More

April 17th Utilities Collapse Intraday Breadth Update and Stock Scan
Thu, Apr 17, 1:31 PM ET, by Corey Rosenbloom

What a difference a day makes! In yesterday’s mid-day update, I highlighted a broader bullish ...

Utilities and Stocks Breaking to New 52 Week Highs
Wed, Apr 16, 7:11 PM ET, by Corey Rosenbloom

Sometimes the simplest things are effective for finding candidates to trade on a short-term or ...

April 16 Bullish Sector Breadth and Trending Stocks
Wed, Apr 16, 2:21 PM ET, by Corey Rosenbloom

We finally have broad bullish sector breadth for today’s bullish bounce session. Let’s take a ...

The Correction As Seen in the ETP Landscape
Tue, Apr 15, 3:11 PM ET, by Bill Luby

Since stocks bottomed in March 2009, I have periodically been publishing an SPX pullback table ...

Tax Day Bearish Sector Breadth and Stock Scan
Tue, Apr 15, 2:11 PM ET, by Corey Rosenbloom

April 15th brings a lunar eclipse (blood moon) and “tax day.” Putting those things behind ...

Seven New 52 Week Highs and One New Low for April 14
Mon, Apr 14, 2:21 PM ET, by Corey Rosenbloom

Following-up on this morning’s intraday Breadth and Trending Stock Scan update, let’s take a quick ...

Bullish Sector Breadth with Caution and Trending Stock Scan for April 14
Mon, Apr 14, 1:21 PM ET, by Corey Rosenbloom

While the broader US Stock Market rallies sharply off an inflection low today, the Sector ...

April 11 Breakdown Sector Breadth and Trending Update
Fri, Apr 11, 1:41 PM ET, by Corey Rosenbloom

With the broader market breaking a key support level this morning, let’s take a quick ...

Essential April Fibonacci Retracement Levels for Dow NASDAQ and SPX
Fri, Apr 11, 12:41 PM ET, by Corey Rosenbloom

With the US Equity Markets correcting lower against recent highs, let’s take a moment to ...

April 10 Another Collapsing Breadth and Downtrending Stock Update
Thu, Apr 10, 1:31 PM ET, by Corey Rosenbloom

We’re seeing another sharp rotation of money flow out of stocks as seen by price ...

Gaps and Traps with Breaks and Fakes for ISRG
Wed, Apr 9, 3:51 PM ET, by Corey Rosenbloom

Intuitive Surgical (ISRG) is the weakest performing stock today (largest percentage loser) in the S&P ...

Tricks and Traps with Breaks and Fakes for ISRG
Wed, Apr 9, 3:31 PM ET, by Corey Rosenbloom

Intuitive Surgical (ISRG) is the weakest performing stock today (largest percentage loser) in the S&P ...

Bounce Continues for April 9 Sector Breadth and Trending Stock Update
Wed, Apr 9, 1:31 PM ET, by Corey Rosenbloom

Well that was a relief! Price continued to rally up off the key support level ...

April 8 Reversal Sector Breadth and Trending Stock Scan
Tue, Apr 8, 1:21 PM ET, by Corey Rosenbloom

With a sudden reversal off expected support in the S&P 500, let’s dig a little ...

Traps Trendlines and Current Reference Levels for US Equity Futures
Tue, Apr 8, 11:31 AM ET, by Corey Rosenbloom

After a Bull Trap outcome sent equity prices back to the lower support boundary, let’s ...

Study Lesson on Lengthy Market Internal Divergences and Snapbacks
Mon, Apr 7, 2:41 PM ET, by Corey Rosenbloom

Students of Market Internals know that Friday’s and Monday’s sharp downside reversal in the US ...

April 7 Collapsing Sector Breadth and Intraday Trending Stocks Scan
Mon, Apr 7, 1:31 PM ET, by Corey Rosenbloom

At the halfway point of an extended sell-off in the Stock Market, what message does ...

April 4th Reversal Day Breadth and Trending Stocks
Fri, Apr 4, 1:41 PM ET, by Corey Rosenbloom

What a day this has been so far! Let’s get right to our intraday Sector ...

Quick Charting April Market Internals at the Highs
Wed, Apr 2, 3:21 PM ET, by Corey Rosenbloom

While the S&P 500 is breaking again to all-time highs in today’s session, let’s peek ...

April 2 Midday Stock Market Breadth and Trend Update
Wed, Apr 2, 2:11 PM ET, by Corey Rosenbloom

With the trading day more than halfway complete, let’s take a look at the top ...

April Pullback Retracement Play in Facebook FB
Tue, Apr 1, 3:11 PM ET, by Corey Rosenbloom

Facebook (FB) shares face a major “make or break” support challenge at a key opportunity ...

March 31 Intraday Sector Breadth and Trending Stock Scan
Mon, Mar 31, 1:21 PM ET, by Corey Rosenbloom

What does “Sector Breadth” reveal about today’s session (and which sector should we be avoiding ...

Quick SP500 Trend and Range Surfing Update
Mon, Mar 31, 1:11 PM ET, by Corey Rosenbloom

As we end March and the first quarter 2014, let’s take a quick look at ...

CBOE RMC 2014: A Retrospective
Mon, Mar 31, 8:11 AM ET, by Bill Luby

Earlier this month, I had the pleasure of attending the CBOE Risk Management Conference (RMC) ...

The Turnaround in Emerging Markets and VXEEM
Sun, Mar 30, 8:11 AM ET, by Bill Luby

While I have a long way to go before I become the next Manny Mota, ...

Three Aggressive Reversal Plays from Consecutive Down Days
Fri, Mar 28, 3:51 PM ET, by Corey Rosenbloom

As we end the week, let’s look at three stocks that top the “Most Consecutive ...

Key Support Pivot Forming in Amazon AMZN
Thu, Mar 27, 3:41 PM ET, by Corey Rosenbloom

Amazon.com (AMZN) shares hit a confluence support target today, as I highlighted originally in the ...

Key Inflection Planning Level for SP500 Topping Pattern
Thu, Mar 27, 3:11 PM ET, by Corey Rosenbloom

The S&P 500 continues to play out the “Repeat Topping Pattern” scenario I mentioned to ...

Intraday Sector Breadth and Trending Stock Update for March 26
Wed, Mar 26, 2:11 PM ET, by Corey Rosenbloom

With a strong mid-day downside reversal, let’s update our current Sector Breadth Chart (the message ...

Focusing on Key Support and an Open Air Pocket for Netflix NFLX
Tue, Mar 25, 1:11 PM ET, by Corey Rosenbloom

A quick glance at the Daily Chart of Netflix (NFLX) shows a critical support-test happening ...

Simple Repeating Top Pattern in the SP500
Mon, Mar 24, 12:41 PM ET, by Corey Rosenbloom

Is the market topping or is this just another in a string of smaller “repeat ...

Bearish Signals from the Sector Performance Grid in March
Mon, Mar 24, 10:51 AM ET, by Corey Rosenbloom

With the S&P 500 tipping to a weak all-time high Friday, what does the Sector ...

March 21 Intraday Sector Breadth and Trending Stocks
Fri, Mar 21, 1:51 PM ET, by Corey Rosenbloom

What is Sector Breadth revealing about the health of today’s rally, and which stocks are ...

March 20 Intraday Sector Breadth and Trending Stocks
Fri, Mar 21, 1:31 PM ET, by Corey Rosenbloom

What is Sector Breadth revealing about the health of today’s rally, and which stocks are ...

Exploring a Hidden Resistance Level in Amazon AMZN
Fri, Mar 21, 1:11 PM ET, by Corey Rosenbloom

On the surface, Amazon (AMZN) shares triggered a mini-Bull Trap on a break through daily ...

The New Options Trading Secrets Free Video
Thu, Mar 20, 6:11 PM ET, by Corey Rosenbloom

If you’re new to options trading, it can be helpful to learn as many strategies ...

March 20 Sector Breadth and Intraday Trending Stock Scan
Thu, Mar 20, 1:51 PM ET, by Corey Rosenbloom

Which stocks are “Trend Day” Candidates and what is Sector Breadth revealing about today’s session? ...

Setting Up a Bollinger Band Squeeze and Triangle Play in Apple AAPL
Thu, Mar 20, 1:11 PM ET, by Corey Rosenbloom

While most traders have gone cold on Apple (AAPL) – understandably so – it may ...

March 19 Fed Day Trending Stocks and Breadth Update
Wed, Mar 19, 1:41 PM ET, by Corey Rosenbloom

On today’s special “Fed Day” session, which stocks are the strongest intraday trenders (there are ...

Head and Shoulders Reversal Trade Planning for Celgene CELG
Tue, Mar 18, 12:31 PM ET, by Corey Rosenbloom

Despite a strong uptrend, Celgene (CELG) shares face a critical challenge at a make-or-break(down) support ...

A Lesson and Swing Trade Planning from Caterpillar CAT
Mon, Mar 17, 2:11 PM ET, by Corey Rosenbloom

I’ve been covering the price breakout and impulsive trend move up for Caterpillar (CAT) shares. ...

March 17 Intraday Trading Stocks and Breadth Grid Update
Mon, Mar 17, 1:11 PM ET, by Corey Rosenbloom

As we trade through St. Patrick’s Day, which stocks top the list of intraday uptrenders ...

Strength and Breakouts in Sleeper Utilities XLU
Fri, Mar 14, 2:21 PM ET, by Corey Rosenbloom

We don’t see Utility Stocks gain as much media coverage or trader attention as high-flying ...

VIX March Futures and Options Expiration on Tuesday, Not Wednesday
Fri, Mar 14, 2:11 PM ET, by Bill Luby

Just a quick reminder for those who may not be aware of it that the ...

Top Trending Stocks and Sector Snapshot for March 14
Fri, Mar 14, 1:31 PM ET, by Corey Rosenbloom

On a sideways range day in the US Equity Market, we may be less interested ...

Charting the March Breakout into Open Air for Gold
Wed, Mar 12, 2:11 PM ET, by Corey Rosenbloom

Gold prices broke through a ceiling of resistance this morning into an Open Air pocket, ...

Top Trending Intraday Stock Scan for March 12
Wed, Mar 12, 1:51 PM ET, by Corey Rosenbloom

Which stocks call our attention as the top “Trend Day” trading candidates? Let’s start with ...

Similar Retracement Pathway Planning for the Euro EURUSD
Tue, Mar 11, 12:31 PM ET, by Corey Rosenbloom

As I highlighted this morning in the S&P 500 “Pullback Pathway Planning,” we’re seeing a ...

Pullback Pathway Planning for the SP500
Tue, Mar 11, 10:11 AM ET, by Corey Rosenbloom

What S&P 500 levels are we watching and what are we planning for the immediate ...

CBOE Risk Management Conference, the VIX and Volatility Summit, Begins in One Week
Tue, Mar 11, 8:11 AM ET, by Bill Luby

The CBOE calls it the CBOE Risk Management Conference and I like to think of ...

  More articles:  1 2 3 4 5 6 7 next »

ABOUT US »   ADVERTISE »   CONTACT US »   TERMS OF USE & PRIVACY POLICY »

Recent Developments in Gold and Gold Volatility | Self Directed Investor | Copyright © 2008 - 2014, All Rights Reserved

Any ideas and opinions presented in Self Directed Investor content are for informational and educational purposes only, and do not reflect the opinions of BNK Invest, Inc. or any of its affiliates, subsidiaries or partners. In no way should any content contained herein be interpreted to represent trading or investment advice. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. All site visitors agree that under no circumstances will BNK Invest, Inc,. its subsidiaries, partners, officers, employees, affiliates, or agents be held liable for any loss or damage caused by your reliance on information obtained. Read Full Disclaimer.

SDI is associated with: ValueForum.com -- a subscription-based online social networking forum of over 1000 individual investors. | MarketNewsVideo.com -- videos appearing on SDI are produced by Market News Video. | TickerTech.com -- stock quote content appearing on SDI is at least 20 minutes delayed and is powered by Ticker Technologies. | GoldStockStrategist.com -- Edited by Scott V. Nystrom, PhD, Gold Stock Strategist provides analysis on gold mining companies.