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

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

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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.

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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.