Spotlight On Gold

By Craig Bewick
NOV 17 2021

US Equity prices were mixed today as the Nasdaq was up slightly, the Dow Jones Industrials and S&P 500 were down slightly and the small-cap Russell 2000 was down by over 1%.  Implied volatility in CME’s Equity Index options markets was little changed on the day. 

WTI Crude Oil futures prices were down by over 2% and are now down about 7% in the last couple of weeks.  With the decline in futures prices, implied volatility in the WTI Crude options has fallen and is trading just above the average closing level over the last six months. 

Wheat futures prices, about which we’ve written lately, rose again and are trading near recent highs though implied volatility in the options is trading near the lower end of the 6 month range. 

Finally, Gold prices rose again and are also trading near recent high levels.  Implied volatility in the Gold options is trading near the upper end of a one standard deviation move over the last 6 months and the Calls are trading higher relative to Puts than we’ve observed over that same time range.  As you can see in the QuikStrike graph below that depicts the 25 Delta Risk Reversal (Call IV minus Put IV), Calls are currently trading about .6% higher than the Puts.  The Puts traded about .2% higher than Calls on average based on the closing levels over the last six months. 


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. 

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