TRADE IDEA: Gold Option Implied Volatility Back Below 55% of Silver Implied

November 14, 2019 11:15 AM
Futures Options Trade Idea

Futures Options Trade Idea

Gold Implied Option Volatility back below 55% of Silver Implied – Trade Analysis


Trade Idea: 

A trade highlighted to us this morning. Feb Silver Option Implied Volatility vs Feb Gold Implied Volatility might be useful if you have a view between these 2 products. Gold Volatility back at sub 55% of Silver Volatility.

Scattering to the products over 3 years shows you the tight correlation, the yellow dot here shows Silvers elevated current Vol relative to Gold.

Chart above is also useful for working out your hedge ratios = gradient

To track the trade idea, we used the 2 straddles. Selling weighted Silver Vol should provide a good credit of any switch ideas, given its current high levels vs Gold Vol.



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.