Trade Idea: Gold Option Implied Volatility vs US 10-Year Implied Volatility

December 13, 2019 09:09 AM
Futures Options Trade Idea

Futures Options Trade Idea


Gold Option Implied Volatility vs US 10-Year IV – Trade Analysis


Trade Idea: 


Feb Gold Straddle vs Feb US 10-Year(TY) Straddle (Buy GCF^ Sell TYF^)


This is the same idea we had back in October which worked well that time, selling US 10-Year Vol (TY) vs Gold Vol, which as you can see here is diverging again.

A 3-Year scatter of Gold & US 10-Year Implied Vol is also showing how Gold Implied Vol is currently out of sync with US 10-Year (TY) IV.

Backtesting the structure using a CIX weighting shows it’s trading approx $10 below it’s historic (5-year) payout on this switch.

Notice how the top sheet here is the inverse of the Vol ratio top.


Just remember, this is a trade idea only and not investment advice. Do your own research and consider your risk tolerance. Know your risk.

Disclosure: We may have trading positions in the same or highly correlated trading structures. 



About the Author

George Austin is a co-founder of Pricing Monkey. Pricing Monkey provides financial derivative pricing and analytics software that helps improve understanding of complex derivative positions.