IMCV - Gold Volatility Spikes To 5-Year High On Haven Demand
2025-10-21 05:00:00 ET
By Mandy Xu
Cross-Asset Volatility : Implied volatilities were mixed across asset classes last week as investors weighed better-than-expected earnings against rising credit concerns among the regional banks. Not surprisingly, credit volatility increased, with VIXHY index (high-yield credit volatility) up 15 pts to 165 bps vol (72nd percentile high over the past year). Gold volatility continued its upward climb, with GLD 1M implied volatility hitting a 5-year high of 30% (4 std. dev. above its long-term average), levels last seen at the onset of the Russian invasion of Ukraine in 2022. GLD option volumes hit a record high last week as well, with over 2.1M contracts trading both Thurs and Fri (almost 5x the YTD ADV). Implied volatility is high not just in absolute terms but also relative to realized volatility, with the GLD 1M implied-realized vol spread widening to a high of 12.5%. While most of the demand for GLD optionality has come from the call side, with investors using options to chase the rally in gold, demand for puts surged on Friday (over 1.1M puts trading) driving a normalization in GLD skew (i.e., skew became less inverted)....
Gold Volatility Spikes To 5-Year High On Haven Demand