What with all its recent records, you’d be forgiven for thinking that gold prices were dangerously extended.
However, Lombard Street Research makes a good point on Thursday. Despite all the recent records, when it comes to implied volatilty levels there isn’t a record in sight. Not yet anyway:
As LSR’s Chris Turner notes:
In the July monthly, we highlighted the low level of Gold implied vol relative to Swiss franc vol. Gold vol has been trickling up recently but still has scope to spike in this environment of DM central banks becoming more doveish and ongoing EA debt crisis.
So the question is, if gold volatility is breaking higher … which direction is it going to go in?
Related links:
What’s as good as gold, but potentially much more volatile? - FT Alphaville
The Swiss franc is as good as gold (literally) - FT Alphaville