TRADE IDEA - Gold Straddle With 13 Days to Expiry Looks Interesting

August 14, 2019 10:45 AM
Futures Options Trade Idea

Futures Options Trade Idea

Comex gold options sep19 1510 straddle (GCU9)

We had the Sep Gold Straddle closing at $41.84 last night, this flagged in our system with a Z-Score 3.19 (1-Year), interesting level, especially with the 25 day realized vol dipping.


Looking at realized versus implied vol also looks telling


Payout Chart for Comex Gold Straddle


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.