Implied volatility (at bottom) in GLD options has disconnected from GLD realized volatility (at top) in recent weeks as shown in the chart below:
GLD (Weekly - 2 Year)
It's rare to see such a large disconnect between realized and implied volatility, especially in a market which has seen some decent sized moves in recent weeks. Current options pricing in GLD options is pricing in less than a $2/share net move over the next two weeks (by March 31st). Meanwhile, the 20-week rolling average true range (ATR) for GLD stands at $3.16. While weekly ATR represents a total weekly range and not an absolute directional movement it is clear that implied volatility through GLD options remains cheap relative to actual realized volatility in GLD.
From a technical standpoint it seems to me that gold is nearing a crucial moment in which either a move back up to the $1265 high of a couple weeks ago or a breakdown back below $1200 is likely to occur. While options traders may be betting that gold is set to calm down post-FOMC rate hike, i'm willing to bet that the opposite is about to occur as traders get a better grasp of the future path of GDP growth and inflation which directly influence the #1 economic variable affecting gold, real interest rates. And that's not to mention several other potentially destabilizing geopolitical factors such as North Korea, China, and a week abundant with Fedspeak next week:
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