Digging GLD Options Shorts

• Posted by Adam Warner
• on November 25th, 2009

So you’re sick of watching options volatility melt away like the Bronco’s lead in the AFC West. You’re looking for a safe haven amidst a sea of Un-Dead Buy Write animals.

Well, look no further than GLD. We have a veritable volatility explosion going on. As you can see in the lower graph of 30 day IV, options are barely down over the past 6 month’s in volatility terms. Not only that, they’ve rallied over 10% in the past few weeks (OK, 10% only translates to 2 points, but …at least they’re not imploding).

What’s more, there’s nary a skew. Options trade at pretty much the same volatility within cycle whether above or below the money.

And the beauty is there’s no particular reason for any of this. GLD options price from a world were Gold moves in opposition to stocks. Thanks to Big Ben’s Money Machin, that’s obviously not the case, The stock chart looks exactly like GOOG. So does the 10 Day HV chart, it’s just the options that have a mind of their own.

Does this spell opportunity?

Well, not going to say GLD options are a raging short here. But they sure look like a sale relative to other assets.

The information in this blog post represents my own opinions and does not contain a recommendation for any particular security or investment. I or my affiliates may hold positions or other interests in securities mentioned in the Blog, please see my Disclaimer page for my full disclaimer.

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