Weekly Options Volatility Tracking Report

The jump in volatility indexes noted in our previous report was met with a similar decline last week. The VIX could easily make a new 52-week low before 2009 is through. Gold implied volatility advanced sharply on Friday's price decline, with GVZ closing just shy of my 30% short-term target. The shift in the volatility skew in gold deserves attention: if traders continue to pay higher premiums for downside protection this week, that should be confirmation that the parabolic run in gold is over for the moment.

read more