Gold Prices Rally

By Craig Bewick
NOV 11 2021

US Equity Indexes were mixed today with the Dow giving up a bit over 100 points while the other major indexes were higher.  Implied volatility was near steady in the options markets.  US Treasury yields rose by about 3 basis points at the 2, 5, and 10-Year maturities and was little changed at the 30-Year point according to the Micro Treasury Yield futures prices.

With the increase in inflation numbers that we’ve seen lately, the price of Gold Futures have rallied by about 6% in the last week.  Historically, investors have viewed Gold as a hedge against inflation and that seems to be reflected in the recent market moves.  Implied volatility in the Gold options markets is also trading at relatively high levels versus the last 6 months but, perhaps as interesting, is the relationship between Call and Put prices.  As you can see in the QuikStrike graph below of the 25 Delta Risk Reversal (implied volatility of 25 Delta Calls minus Puts), Calls are trading as high relative to Puts as they have since late May as Call sellers demand more premium to protect against further upside moves.   

ABOUT THE AUTHOR

Craig Bewick has spent 25 years in futures and options markets, starting at CBOT and CME working in risk management, regulatory, technology, product management and client development. 

Connect with Craig at activetrader@cmegroup.com

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