Cogito

Spot Gold will be $1478

Posted in Uncategorized by qmarks on November 7, 2010

Last post, I intorduced the VIX , the index that calculates the implied volatility of S&P500 for the next 30 days. Using VIX, the SP500 is forecasted as Index over Square Root of 12 (30 days = 1/12 years).

Today I will discuss about the Gold volatility Index that is traded at the CBOE/CME group. The details are here http://www.cmegroup.com/trading/options-volatility-indexes.html

As of November 5,2010 the Gold Volatility Index (.GVX) is 21.19. And the Gold Spot is closed at 1393.21 on November 5, 2010. Within 30 days the Gold price will change by 21.19/Sqrt(12) which is 6.11% with a 68% chance (1 std. deviation). That means it is expected that within a month gold price will be high at 1478.433 and low at 1307.98. However, don’t forget that index is calculated using VIX Methodology from bids, offers on COMEX Gold Option on the Globex trading platform. So any change in Gold Option prices will affect the volatility thus the spot price expectation.

Advertisements

Leave a Reply

Please log in using one of these methods to post your comment:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

%d bloggers like this: