CBOE To Add Another Layer Of Gold Price Volatility, Launches Futures And Options On Gold VIX

Tyler Durden's picture

It's not quite a triple forward (or inverse) ETF on gold just yet, but it's a start. Capitalizing on the surge in volatility in the commodity space, which together with FX has become the go to arena for day traders seeking volatility, which has been completely eradicated from stocks courtesy of the Bernanke Put, the CBOE and CFE have "announced plans to launch futures and options on the CBOE Gold ETF Volatility Index (Ticker - GVZ). Pending regulatory approval, CBOE Futures Exchange (CFE) will begin trading GVZ futures on Friday, March 25, and CBOE will introduce GVZ options a few weeks later." The reason for this product to be pushed on investors is that after peaking near 25 in December, the ^GVZ has plunged to one year lows as gold has steadily remained just off its all time highs. So if the first volatility derivative isn't generating the much needed commission broker P&L, it is time to break out 2nd and further vol derivatives. We expect a triple or more-leveraged ETF on gold and silver to arrive shortly, then followed by an ETF which tracks the theta in the first ETF , and so forth, until the entire market is dominated by "synthetic CDO-like" derivatives and nobody cares about the actual underlying, just so traders have something to keep them occupied. After all diversion, is half the battle.

More from the CBOE:

The calculation of the CBOE Gold ETF Volatility Index ("Gold VIX") is based on the well-known CBOE VIX methodology applied to options on the SPDR Gold Trust  (Ticker - GLD).  The Gold VIX is an up-to-the-minute market estimate of the expected 30-day volatility of GLD, calculated using real-time bid/ask quotes of GLD options that are listed on CBOE.

"Each year we've added greater depth to our suite of volatility products," CBOE Holdings Chairman and CEO William J. Brodsky said. "Most recently we've extended the reach of our VIX methodology to new asset classes, including highly active commodity ETF options. With the addition of CBOE Gold ETF Volatility Index futures and options, market participants will have valuable products that will allow them to hedge volatility in a new way."

And here is how hard the CBOE is working to satisfy the dmands of all vol addicts out there:

Calculated and distributed by CBOE since 2008, the Gold VIX is one in a series of several VIX benchmarks created by CBOE.  CBOE also calculates the CBOE Crude Oil ETF Volatility Index (OVX) based on United States Oil Fund (USO) option prices; and the CBOE EuroCurrency ETF Volatility Index (EVZ) based on CurrencyShares Euro Trust (FXE) options.

For more information on CBOE Gold ETF Volatility Index futures and options, see http://www.cboe.com/GVZ. CBOE, known as the home of volatility indexes, currently publishes data on more than a dozen different volatility-related benchmarks and strategies. CBOE has launched three additional initiatives in the volatility space since the beginning of the year:

  • On February 23, CBOE began publishing values for the CBOE S&P 500 Skew Index (ticker symbol: SKEW), a benchmark measure of the perceived risk of extreme negative moves -- often referred to as "tail risk" or a "black swan" event -- in U.S. equity markets. See www.cboe.com/skew for more information.
  • On January 14, CBOE launched a web page displaying CBOE Volatility Index (VIX) term structure data, calculated every 15 seconds throughout the trading day.  See http://www.cboe.com/data/volatilityindexes/Default.aspx for more information.
  • On January 7, CBOE began publishing volatility values on options of five highly active equities: Apple (ticker symbol: VXAPL), Amazon (ticker symbol: VXAZN), IBM (ticker symbol: VXIBM), Google (ticker symbol: VXGOG), and Goldman Sachs (ticker symbol: VXGS). See www.cboe.com/EquityVIX for further information.

h/t themos mitsos