Gold Implied Vol To Surge? Gold Sept15/Dec15 $3300 Calendar Spread Trades
Too lazy to bring up the chart but take our word for it: a block trade $3,330 Gold September/December 2015 calendar spread just hit the tape at 8:46 am on the CME at an 18.5 bps spread. Looks like someone is starting to believe that the CME interventions in gold via margin hikes will merely compress the implied vol which will explode sooner or later. Also, without knowing the details behind the trade, we wonder if the strike is an indication of where gold is headed or merely a arbed matrix glitch in the implied vol curve. We will try to bring you more on any other odd Greeks we notice in the gold market which is increasingly positioning itself as a reserve currency.
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