Metal Options Update – November 2020

  • 30 Nov 2020
  • By CME Group

Metals volatility through the pandemic

Gold volatility

Gold implied volatility has found an equilibrium below 20% range after spiking above 40% in March. In the absence of election-related surprises, gold implied volatility has trended down over the last eight sessions.

Source: QuikStrike

Silver volatility

Silver volatility currently remains at multi-year highs in the 40% range. The five-year mean for silver volatility has been near 20%, and silver implied volatility has had periods above 60% volatility in March and August. While gold has been orderly relative to the amount of global macro news, silver has had a much more volatile year and remains at an elevated implied volatility level.

Source: QuikStrike

Copper volatility

Copper has found an equilibrium in the 20% range after a March spike to 40%. The prospects of a global recovery and increased consumption have contributed to a steady rally with copper trading close to the $3.50 level. Considering that copper has rallied from a low in the $2 range in April, implied volatility has been orderly given how much the price of copper has risen since May.

Source: QuikStrike

Copper options:

  • Copper has come back into focus as the price of copper has risen from below $2 to above $3
  • Copper options typically have a one vol. bid/ask spread on screen with deep liquidity available via block trades and RFQs.

Copper options screen liquidity:

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