TRADE IDEA - Gold/Silver Straddle Spread

October 8, 2019 11:15 AM
Futures Options Trade Idea

Futures Options Trade Idea

Gold/Silver Straddle Spread – Trade Analysis


Trade Idea: 
SIZ Straddle vs GCZ Straddle (1.72 Weighting) with 49.2 days to expiry

If you’re also looking at the Silver Options this might be a trade that’s worth a look. 

Fade the recent Silver Vol spike. If you approach the trade using Straddles you can quickly see that the Vega Straddle Spread (CIX 172 SIZ^-GCZ^= 151.7) matches the price action of the Silver/Gold Vol Spread.

If you backtest the Vega Weighted Straddle Spread (CIX 172 SIZ^-GCZ^= 151.7) you can find out what this switch has delivered on average and see its High/Low. If you’re keen to fade this move in Silver Vol the historic average performance does support this view.






Just remember, this is a trade idea only and not investment advice. Do your own research and consider your risk tolerance. Know your risk.

Disclosure: We may have trading positions in the same or highly correlated trading structures. 



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.